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5 research outputs found

A Dynamic Contagion Process and an Application to Credit Risk

Author: A Dassios
A Dassios
A Dassios
Angelos Dassios
D Duffie
Hongbiao Zhao
M H A Davis
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Portfolio Credit Risk of Default and Spread Widening

Author: A Dassios
C Albanese
C Romano
D Blamont
D Duffie
D Madan
D X Li
D Y Tang
E Altman
F Longstaff
G Gupton
H Zhao
Hongbiao Zhao
I Iscoe
J Hull
J Hull
K D�llmann
M Bruche
Moodys
P Alessandri
P Embrechts
P H Kupiec
P Hartmann
P Madigan
P Sch�nbucher
R C Merton
R Jarrow
R Jarrow
R Jarrow
R Nelsen
S Azizpour
T Breuer
Publication venue: 'Elsevier BV'
Publication date: 01/01/2011
Field of study

Efficient Simulation of Clustering Jumps with CIR Intensity

Author: Angelos Dassios
Asmussen S
Dassios A
Hawkes AG
Hongbiao Zhao
Lamberton D
Ogata Y
Publication venue: 'Institute for Operations Research and the Management Sciences (INFORMS)'
Publication date
Field of study

Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps

Author: Angelos Dassios
Barndorff-Nielsen O.
Bertoin J.
Bertoin J.
Bianchi M. L.
Cartea Á.
Cont R.
Hongbiao Zhao
Kyprianou A.
Qu Y.
Sato K.-I.
Schoutens W.
Yan Qu
Publication venue: 'Informa UK Limited'
Publication date
Field of study

A risk process with delayed claims and constant dividend barrier

Author: A. Dassios Hongbiao Zhao
B. De Finetti
D. C. M. Dickson H. R. Waters
H. Albrecher J. Hartinger, R. Tichy
H. Albrecher O. J. Boxma
H. Albrecher S. Asmussen
H. R. Waters A. Papatriandafylou
H. U. Gerber E. S. W. Shiu
H. U. Gerber E. S. W. Shiu
J. Trufin H. Albrecher, M. Denuit
Jie-hua Xie Wei Zou
Jie-hua Xie Wei Zou
K. C. Yuen J. Y. Guo
Kam C. Yuen Junyi Guo, Kai W. Ng
P. Boogaert J. Haezendonck
P. Brémaud
X. S. Lin K. P. Pavlova
Yi Lu Shuanming Li
Publication venue: 'Steklov Mathematical Institute'
Publication date: 01/01/2019
Field of study

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