Efficient simulation of clustering jumps with CIR intensity
Angelos Dassios, Hongbiao Zhao
| Year of publication: |
November-December 2017
|
|---|---|
| Authors: | Dassios, Angelos ; Zhao, Hongbiao |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 65.2017, 6, p. 1494-1515
|
| Subject: | contagion risk | jump clustering | stochastic intensity model | self-exciting point process | self-exciting point process with CIR intensity | Hawkes process | CIR process | square-root process | exact simulation | Monte Carlo simulation | portfolio risk | Simulation | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2017.1640 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011777769