Exact simulation of quadratic intensity models

DOI10.1287/IJOC.2023.0323MaRDI QIDQ6896356zbMATH OpenFDO

Authors Yan Qu, Angelos Dassios, Anxin Liu, Hongbiao Zhao

Publication date 21 November 2025

Published in INFORMS Journal on Computing (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationpoint processesexact simulationportfolio credit riskCox processesdoubly stochastic Poisson processesself-exciting processself-correcting processquadratic intensity modelsstochastic intensity models

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

This page was built for publication: Exact simulation of quadratic intensity models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6896356)