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~person:"Dassios, Angelos"
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Dassios, Angelos
Gil-Alaña, Luis A.
21
Leung, Tim
12
Caporale, Guglielmo Maria
11
Turinici, Gabriel
9
Papin, Timothée
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Li, Xin
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Spierdijk, Laura
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Stein, Jeremy C.
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Wong, Hoi Ying
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Bobenrieth H., Eugenio S.
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Chort, Isabelle
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De Angelis, Tiziano
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Ferrari, Giorgio
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A generalised
CIR
process with externally-exciting and self-exciting jumps and its applications in insurance and finance
Dassios, Angelos
;
Jang, Jiwook
;
Zhao, Hongbiao
- In:
Risks
7
(
2019
)
4
,
pp. 1-18
In this paper, we study a generalised
CIR
process with externally-exciting and self-exciting jumps, and focus on the …
Persistent link: https://www.econbiz.de/10013200521
Saved in:
2
A generalised
CIR
process with externally-exciting and self-exciting jumps and its applications in insurance and finance
Dassios, Angelos
;
Jang, Jiwook
;
Zhao, Hongbiao
- In:
Risks : open access journal
7
(
2019
)
4/103
,
pp. 1-18
In this paper, we study a generalised
CIR
process with externally-exciting and self-exciting jumps, and focus on the …
Persistent link: https://www.econbiz.de/10012128012
Saved in:
3
Efficient simulation of clustering jumps with
CIR
intensity
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Operations research
65
(
2017
)
6
,
pp. 1494-1515
Persistent link: https://www.econbiz.de/10011777769
Saved in:
4
A generalized contagion process with an application to credit risk
Dassios, Angelos
;
Zhao, Hongbiao
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011686792
Saved in:
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