Angelos Dassios

19 papers A 1Journal 18
YearRankTypeTitle / Venue / Authors
2025 J jnl
Exact Simulation of Quadratic Intensity Models.
INFORMS J. Comput.
Yan Qu, Angelos Dassios, Anxin Liu, Hongbiao Zhao
2025 A conf
Truncated Inverse-Lévy Measure Representation of the Beta Process.
AISTATS
Junyi Zhang, Angelos Dassios, Zhong Chong, Qiufei Yao
2023 J jnl
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression.
Comput. Stat.
Zezhun Chen, Angelos Dassios, George Tzougas
2023 J jnl
Shot-noise cojumps: Exact simulation and option pricing.
J. Oper. Res. Soc.
Yan Qu, Angelos Dassios, Hongbiao Zhao
2023 J jnl
Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models.
Stat. Comput.
Junyi Zhang, Angelos Dassios
2021 J jnl
Exact simulation of Ornstein-Uhlenbeck tempered stable processes.
J. Appl. Probab.
Yan Qu, Angelos Dassios, Hongbiao Zhao
2021 J jnl
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps.
J. Oper. Res. Soc.
Yan Qu, Angelos Dassios, Hongbiao Zhao
2021 J jnl
Random Variate Generation for Exponential and Gamma Tilted Stable Distributions.
ACM Trans. Model. Comput. Simul.
Yan Qu, Angelos Dassios, Hongbiao Zhao
2020 J jnl
Exact Simulation of a Truncated Lévy Subordinator.
ACM Trans. Model. Comput. Simul.
Angelos Dassios, Jia Wei Lim, Yan Qu
2019 J jnl
Exact simulation of generalised Vervaat perpetuities.
J. Appl. Probab.
Angelos Dassios, Yan Qu, Jia Wei Lim
2018 J jnl
Exact Simulation for a Class of Tempered Stable and Related Distributions.
ACM Trans. Model. Comput. Simul.
Angelos Dassios, Yan Qu, Hongbiao Zhao
2018 J jnl
Recursive formula for the double-barrier Parisian stopping time.
J. Appl. Probab.
Angelos Dassios, Jia Wei Lim
2017 J jnl
Efficient Simulation of Clustering Jumps with CIR Intensity.
Oper. Res.
Angelos Dassios, Hongbiao Zhao
2016 J jnl
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing.
Finance Stochastics
Angelos Dassios, You You Zhang
2013 J jnl
A Risk Model with Delayed Claims.
J. Appl. Probab.
Angelos Dassios, Hongbiao Zhao
2013 J jnl
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time.
SIAM J. Financial Math.
Angelos Dassios, Jia Wei Lim
2013 J jnl
Stochastic Boundary Crossing Probabilities for the Brownian Motion.
J. Appl. Probab.
Xiaonan Che, Angelos Dassios
2010 J jnl
Perturbed Brownian motion and its application to Parisian option pricing.
Finance Stochastics
Angelos Dassios, Shanle Wu
2003 J jnl
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity.
Finance Stochastics
Angelos Dassios, Ji-Wook Jang