The following pages link to Angelos Dassios (Q252298):
Displaying 50 items.
- (Q309173) (redirect page) (← links)
- The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (Q309175) (← links)
- (Q589880) (redirect page) (← links)
- Perturbed Brownian motion and its application to Parisian option pricing (Q650763) (← links)
- On barrier strategy dividends with Parisian implementation delay for classical surplus processes (Q659119) (← links)
- Exact simulation of Hawkes process with exponentially decaying intensity (Q743034) (← links)
- A risk model with renewal shot-noise Cox process (Q896743) (← links)
- The distribution of the interval between events of a Cox process with shot noise intensity (Q1009401) (← links)
- A Cox process with log-normal intensity. (Q1413360) (← links)
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (Q1424705) (← links)
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
- On the quantiles of Brownian motion and their hitting times (Q1767480) (← links)
- The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options (Q1901080) (← links)
- A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
- Exact simulation of two-parameter Poisson-Dirichlet random variables (Q2042754) (← links)
- Cluster point processes and Poisson thinning INARMA (Q2121089) (← links)
- First hitting time of Brownian motion on simple graph with skew semiaxes (Q2157409) (← links)
- Ruin by dynamic contagion claims (Q2444709) (← links)
- A consistent test of independence based on a sign covariance related to Kendall's tau (Q2448720) (← links)
- Sample quantiles of stochastic processes with stationary and independent ents (Q2564703) (← links)
- Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models (Q2683494) (← links)
- A Risk Model with Delayed Claims (Q2854075) (← links)
- Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time (Q2873142) (← links)
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
- Sample quantiles of additive renewal reward processes (Q3122867) (← links)
- A dynamic contagion process (Q3173006) (← links)
- The square-root process and Asian options (Q3437388) (← links)
- Martingales and insurance risk (Q3831908) (← links)
- Moments of renewal shot-noise processes and their applications (Q4562034) (← links)
- Efficient Simulation of Clustering Jumps with CIR Intensity (Q4602466) (← links)
- Recursive formula for the double-barrier Parisian stopping time (Q4684939) (← links)
- Testing Independence of Covariates and Errors in Non‐parametric Regression (Q4685437) (← links)
- Exact simulation of generalised Vervaat perpetuities (Q4968511) (← links)
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
- Explicit asymptotics on first passage times of diffusion processes (Q5005031) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- A variation of the Azéma martingale and drawdown options (Q5204852) (← links)
- Stochastic Boundary Crossing Probabilities for the Brownian Motion (Q5299567) (← links)
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts (Q5312843) (← links)
- Double-Barrier Parisian Options (Q5391078) (← links)
- Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds (Q5855964) (← links)
- A study of the power and robustness of a new test for independence against contiguous alternatives (Q5965326) (← links)
- A Cox model for gradually disappearing events (Q6104957) (← links)
- Exact simulation of Poisson-Dirichlet distribution and generalised gamma process (Q6176165) (← links)
- Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression (Q6177011) (← links)
- INAR approximation of bivariate linear birth and death process (Q6190219) (← links)
- An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options (Q6497107) (← links)
- Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models (Q6536917) (← links)
- EM estimation for bivariate mixed Poisson INAR(1) claim count regression models with correlated random effects (Q6550186) (← links)
- Exact simulation for a class of tempered stable and related distributions (Q6583730) (← links)
