Correlated default risk plays a significant role in financial markets. Dynamic intensity-based models, in which a firm default is governed by a stochastic intensity process, are widely used to model correlated default risk. The computations in these models can be performed by Monte Carlo...

Point processes with stochastic arrival intensities are ubiquitous in many areas, including finance, insurance, reliability, health care and queuing. They can be simulated from a Poisson process by time-scaling with the cumulative intensity. The paths of the cumulative intensity are often...

Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization...