Efficient Simulation of Clustering Jumps with CIR Intensity (Q4602466)
From MaRDI portal
scientific article; zbMATH DE number 6824226
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Simulation of Clustering Jumps with CIR Intensity |
scientific article; zbMATH DE number 6824226 |
Statements
Efficient Simulation of Clustering Jumps with CIR Intensity (English)
0 references
11 January 2018
0 references
contagion risk
0 references
jump clustering
0 references
stochastic intensity model
0 references
self-exciting point process
0 references
self-exciting point process with CIR intensity
0 references
Hawkes process
0 references
CIR process
0 references
square-root process
0 references
exact simulation
0 references
Monte Carlo simulation
0 references
portfolio risk
0 references
