Angelos Dassios - researchr alias

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Viewing Publication 1 - 17 from 17

2023

Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regressionZezhun Chen, Angelos Dassios, George Tzougas. cstat, 38(2):955-977, June 2023. [doi]

Shot-noise cojumps: Exact simulation and option pricingYan Qu, Angelos Dassios, Hongbiao Zhao. jors, 74(3):647-665, March 2023. [doi]

Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical modelsJunyi Zhang, Angelos Dassios. sac, 33(1):30, 2023. [doi]

2021

Random Variate Generation for Exponential and Gamma Tilted Stable DistributionsYan Qu, Angelos Dassios, Hongbiao Zhao. tomacs, 31(4), 2021. [doi]

Exact simulation of Ornstein-Uhlenbeck tempered stable processesYan Qu, Angelos Dassios, Hongbiao Zhao. jap, 58(2):347-371, 2021. [doi]

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumpsYan Qu, Angelos Dassios, Hongbiao Zhao. jors, 72(2):471-484, 2021. [doi]

2020

Exact Simulation of a Truncated Lévy SubordinatorAngelos Dassios, Jia Wei Lim, Yan Qu. tomacs, 30(3), 2020. [doi]

2019

Exact simulation of generalised Vervaat perpetuitiesAngelos Dassios, Yan Qu, Jia Wei Lim. jap, 56(1):57-75, 2019. [doi]

2018

Recursive formula for the double-barrier Parisian stopping timeAngelos Dassios, Jia Wei Lim. jap, 55(1):282-301, 2018. [doi]

Exact Simulation for a Class of Tempered Stable and Related DistributionsAngelos Dassios, Yan Qu, Hongbiao Zhao. tomacs, 28(3), 2018. [doi]

2017

Efficient Simulation of Clustering Jumps with CIR IntensityAngelos Dassios, Hongbiao Zhao. ior, 65(6):1494-1515, 2017. [doi]

2016

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricingAngelos Dassios, You You Zhang. fs, 20(3):773-804, 2016. [doi]

2013

Stochastic Boundary Crossing Probabilities for the Brownian MotionXiaonan Che, Angelos Dassios. jap, 50(2):419-429, 2013. [doi]

Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping TimeAngelos Dassios, Jia Wei Lim. siamfm, 4(1):599-615, 2013. [doi]

A Risk Model with Delayed ClaimsAngelos Dassios, Hongbiao Zhao. jap, 50(3):686-702, 2013. [doi]

2010

Perturbed Brownian motion and its application to Parisian option pricingAngelos Dassios, Shanle Wu. fs, 14(3):473-494, 2010. [doi]

2003

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensityAngelos Dassios, Ji-Wook Jang. fs, 7(1):73-95, 2003. [doi]

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