Efficient simulation of clustering jumps with CIR intensity

DOI10.1287/OPRE.2017.1640MaRDI QIDQ4602466zbMATH OpenOpenAlexFDO

Authors Angelos Dassios, Hongbiao Zhao

Publication date 11 January 2018

Published in Operations Research (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/74205/7/Dassios_Efficient%20simulation%20of%20clustering%20jumps.pdf

zbMATH Keywords

CIR processcontagion riskexact simulationHawkes processjump clusteringMonte Carlo simulationportfolio riskself-exciting point processself-exciting point process with CIR intensitysquare-root processstochastic intensity model

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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Cited in

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• A general framework for time-changed Markov processes and applications
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
• Household lifetime strategies under a self-contagious market
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1
• On the optimal design of the randomized unbiased Monte Carlo estimators
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• Surrender contagion in life insurance
• Cluster point processes and Poisson thinning INARMA
• Optimal liquidation problem in illiquid markets
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
• Exact simulation of point processes with stochastic intensities
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• An ephemerally self-exciting point process
• Efficient simulation of Lévy-driven point processes
• Nonlinear Poisson autoregression and nonlinear Hawkes processes
• Multivariate Hawkes process allowing for common shocks
• A multi-layer stochastic differential investment and reinsurance game with a dynamic contagion claim model
• Limit theorems for Cox-Ingersoll-Ross process with externally and self-exciting jumps and application to finance
• Duality and transform analysis for non-decreasing functionals of stochastic processes and their applications

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