| Publication | Date of Publication | Type |
|---|
| Exact simulation of a truncated Lévy subordinator | 2024-09-08 | Paper |
| Random variate generation for exponential and gamma tilted stable distributions | 2024-08-08 | Paper |
| Exact simulation for a class of tempered stable and related distributions | 2024-08-06 | Paper |
| EM estimation for bivariate mixed Poisson INAR(1) claim count regression models with correlated random effects | 2024-06-04 | Paper |
| Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models | 2024-05-14 | Paper |
| 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 |
