Angelos Dassios

Available identifiers

zbMath Open dassios.angelosWikidataQ102354546 ScholiaQ102354546MaRDI QIDQ252298

List of research outcomes

Publication	Date of Publication	Type
An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options	2024-05-06	Paper
INAR approximation of bivariate linear birth and death process	2024-02-06	Paper
Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression	2023-08-29	Paper
Exact simulation of Poisson-Dirichlet distribution and generalised gamma process	2023-07-25	Paper
A first-order binomial-mixed Poisson integer-valued autoregressive model with serially dependent innovations	2023-06-19	Paper
A Cox model for gradually disappearing events	2023-06-16	Paper
Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models	2023-02-10	Paper
First hitting time of Brownian motion on simple graph with skew semiaxes	2022-07-28	Paper
Cluster point processes and Poisson thinning INARMA	2022-04-01	Paper
Explicit asymptotics on first passage times of diffusion processes	2021-08-04	Paper
Exact simulation of two-parameter Poisson-Dirichlet random variables	2021-07-21	Paper
Exact simulation of Ornstein–Uhlenbeck tempered stable processes	2021-06-28	Paper
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds	2021-03-23	Paper
Efficient simulation of Lévy-driven point processes	2019-12-09	Paper
A variation of the Azéma martingale and drawdown options	2019-12-05	Paper
Exact simulation of generalised Vervaat perpetuities	2019-07-15	Paper
Moments of renewal shot-noise processes and their applications	2018-12-14	Paper
Testing Independence of Covariates and Errors in Non‐parametric Regression	2018-10-08	Paper
Recursive formula for the double-barrier Parisian stopping time	2018-09-26	Paper
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion	2018-03-01	Paper
Efficient Simulation of Clustering Jumps with CIR Intensity	2018-01-11	Paper
A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK	2017-03-30	Paper
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing	2016-09-07	Paper
A study of the power and robustness of a new test for independence against contiguous alternatives	2016-03-03	Paper
A risk model with renewal shot-noise Cox process	2015-12-14	Paper
Exact simulation of Hawkes process with exponentially decaying intensity	2014-09-22	Paper
A bivariate shot noise self-exciting process for insurance	2014-06-23	Paper
Stationarity of Bivariate Dynamic Contagion Processes	2014-05-22	Paper
A consistent test of independence based on a sign covariance related to Kendall's tau	2014-05-05	Paper
Ruin by dynamic contagion claims	2014-04-10	Paper
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time	2014-01-23	Paper
A Risk Model with Delayed Claims	2013-10-17	Paper
Stochastic Boundary Crossing Probabilities for the Brownian Motion	2013-06-26	Paper
On barrier strategy dividends with Parisian implementation delay for classical surplus processes	2012-02-10	Paper
Perturbed Brownian motion and its application to Parisian option pricing	2011-11-27	Paper
A dynamic contagion process	2011-10-10	Paper
Double-Barrier Parisian Options	2011-04-05	Paper
The distribution of the interval between events of a Cox process with shot noise intensity	2009-04-01	Paper
The square-root process and Asian options	2007-05-09	Paper
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts	2005-08-25	Paper
On the quantiles of Brownian motion and their hitting times	2005-03-11	Paper
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity	2004-03-16	Paper
A Cox process with log-normal intensity.	2003-11-16	Paper
Sample quantiles of additive renewal reward processes	1997-07-20	Paper
Sample quantiles of stochastic processes with stationary and independent ents	1997-05-05	Paper
The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options	1995-12-11	Paper
Martingales and insurance risk	1989-01-01	Paper

Research outcomes over time

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