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2020 – today
- 2023
[j17]Zezhun Chen
, Angelos Dassios, George Tzougas:
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. Comput. Stat. 38(2): 955-977 (2023)- [j16]Yan Qu, Angelos Dassios, Hongbiao Zhao:
Shot-noise cojumps: Exact simulation and option pricing. J. Oper. Res. Soc. 74(3): 647-665 (2023) - [j15]Junyi Zhang, Angelos Dassios:
Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models. Stat. Comput. 33(1): 30 (2023) - 2021
- [j14]Yan Qu, Angelos Dassios, Hongbiao Zhao:
Exact simulation of Ornstein-Uhlenbeck tempered stable processes. J. Appl. Probab. 58(2): 347-371 (2021) - [j13]Yan Qu, Angelos Dassios, Hongbiao Zhao:
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps. J. Oper. Res. Soc. 72(2): 471-484 (2021) - [j12]Yan Qu, Angelos Dassios, Hongbiao Zhao:
Random Variate Generation for Exponential and Gamma Tilted Stable Distributions. ACM Trans. Model. Comput. Simul. 31(4): 19:1-19:21 (2021) - 2020
- [j11]Angelos Dassios, Jia Wei Lim, Yan Qu:
Exact Simulation of a Truncated Lévy Subordinator. ACM Trans. Model. Comput. Simul. 30(3): 17:1-17:17 (2020)
2010 – 2019
- 2019
- [j10]Angelos Dassios, Yan Qu, Jia Wei Lim:
Exact simulation of generalised Vervaat perpetuities. J. Appl. Probab. 56(1): 57-75 (2019) - 2018
- [j9]Angelos Dassios, Jia Wei Lim:
Recursive formula for the double-barrier Parisian stopping time. J. Appl. Probab. 55(1): 282-301 (2018) - [j8]Angelos Dassios, Yan Qu, Hongbiao Zhao:
Exact Simulation for a Class of Tempered Stable and Related Distributions. ACM Trans. Model. Comput. Simul. 28(3): 20:1-20:21 (2018) - 2017
- [j7]Angelos Dassios, Hongbiao Zhao:
Efficient Simulation of Clustering Jumps with CIR Intensity. Oper. Res. 65(6): 1494-1515 (2017) - 2016
- [j6]Angelos Dassios, You You Zhang:
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Finance Stochastics 20(3): 773-804 (2016) - 2013
- [j5]Xiaonan Che, Angelos Dassios:
Stochastic Boundary Crossing Probabilities for the Brownian Motion. J. Appl. Probab. 50(2): 419-429 (2013) - [j4]Angelos Dassios, Hongbiao Zhao:
A Risk Model with Delayed Claims. J. Appl. Probab. 50(3): 686-702 (2013) - [j3]Angelos Dassios, Jia Wei Lim:
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time. SIAM J. Financial Math. 4(1): 599-615 (2013) - 2010
- [j2]Angelos Dassios, Shanle Wu:
Perturbed Brownian motion and its application to Parisian option pricing. Finance Stochastics 14(3): 473-494 (2010)
2000 – 2009
- 2003
- [j1]Angelos Dassios, Ji-Wook Jang:
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Finance Stochastics 7(1): 73-95 (2003)
Coauthor Index
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