| Publication | Date of Publication | Type |
|---|
Importance sampling for a simple Markovian intensity model using subsolutions
ACM Transactions on Modeling and Computer Simulation | 2024-11-14 | Paper |
A generative model of a limit order book using recurrent neural networks
Quantitative Finance | 2023-08-02 | Paper |
Asymptotic behaviour of sampling and transition probabilities in coalescent models under selection and parent dependent mutations
Electronic Communications in Probability | 2022-07-08 | Paper |
Exact simulation of coupled Wright–Fisher diffusions
Advances in Applied Probability | 2021-11-29 | Paper |
| Almost sure convergence of the accelerated weight histogram algorithm | 2021-09-09 | Paper |
A dual process for the coupled Wright-Fisher diffusion
Journal of Mathematical Biology | 2021-01-28 | Paper |
| Weak convergence of the scaled jump chain and number of mutations of the Kingman coalescent | 2020-11-13 | Paper |
Infinite Swapping Algorithm for Training Restricted Boltzmann Machines
Springer Proceedings in Mathematics & Statistics | 2020-08-26 | Paper |
On importance sampling with mixtures for random walks with heavy tails
ACM Transactions on Modeling and Computer Simulation | 2018-04-16 | Paper |
Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations
ACM Transactions on Modeling and Computer Simulation | 2016-10-24 | Paper |
| Importance sampling for a simple Markovian intensity model using subsolutions | 2016-10-20 | Paper |
| Exact and efficient simulation of tail probabilities of heavy-tailed infinite series | 2016-09-06 | Paper |
Large deviations for weighted empirical measures arising in importance sampling
Stochastic Processes and their Applications | 2015-12-08 | Paper |
Ruin probabilities under general investments and heavy-tailed claims
Finance and Stochastics | 2014-12-17 | Paper |
Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
Journal of Applied Probability | 2014-07-11 | Paper |
| Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation | 2014-06-13 | Paper |
A simple time-consistent model for the forward density process
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
Risk and portfolio analysis. Principles and methods.
Springer Series in Operations Research and Financial Engineering | 2012-04-27 | Paper |
Large deviations for point processes based on stationary sequences with heavy tails
Journal of Applied Probability | 2010-04-08 | Paper |
| Efficient calculation of risk measures by importance sampling -- the heavy tailed case | 2009-09-17 | Paper |
Tail probabilities for infinite series of regularly varying random vectors
Bernoulli | 2009-03-02 | Paper |
Regular variation for measures on metric spaces
Publications de l'Institut Math?matique (Belgrade) | 2008-07-02 | Paper |
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
The Annals of Probability | 2007-05-08 | Paper |
On Kesten's counterexample to the Cramér-Wold device for regular variation
Bernoulli | 2006-11-06 | Paper |
Functional large deviations for multivariate regularly varying random walks
The Annals of Applied Probability | 2006-07-10 | Paper |
On regular variation for infinitely divisible random vectors and additive processes
Advances in Applied Probability | 2006-06-19 | Paper |
A note on Wick products and the fractional Black-Scholes model
Finance and Stochastics | 2006-05-24 | Paper |
Approximating some Volterra type stochastic integrals with applications to parameter estimation.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Extremal behavior of regularly varying stochastic processes
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Multivariate extremes, aggregation and dependence in elliptical distributions
Advances in Applied Probability | 2003-09-24 | Paper |
