Affine Point Processes: Approximation and Efficient Simulation

DOI10.1287/moor.2014.0696zbMath1331.60084OpenAlexW2134078778MaRDI QIDQ3465933

Kay Giesecke, Xiaowei Zhang, Jose H. Blanchet, Peter W. Glynn

Publication date: 29 January 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-74584/1/APP_final.pdf

zbMATH Keywords

central limit theoremlarge deviationsrare-event simulationaffine jump diffusionaffine point processes

Mathematics Subject Classification ID

Related Items (12)

Pricing insurance premia: a top down approach ⋮ Transform analysis for Hawkes processes with applications in dark pool trading ⋮ An ephemerally self-exciting point process ⋮ Matrix calculations for moments of Markov processes ⋮ Staffing many‐server queues with autoregressive inputs ⋮ Large and moderate deviations for a discrete-time marked Hawkes process ⋮ Large deviations and applications for Markovian Hawkes processes with a large initial intensity ⋮ Asymptotic analysis for affine point processes with large initial intensity ⋮ Precise deviations for Hawkes processes ⋮ Asymptotic Inference for Jump Diffusions with State-Dependent Intensity ⋮ Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues ⋮ Default Clustering in Large Pools: Large Deviations

Cites Work

• Unnamed Item
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Large deviations for the empirical mean of an M/M/\(1\) queue
• Fluctuation analysis for the loss from default
• Process-level large deviations for nonlinear Hawkes point processes
• The law of large numbers for self-exciting correlated defaults
• Heterogeneous credit portfolios and the dynamics of the aggregate losses
• Credit contagion and aggregate losses
• Large portfolio losses: A dynamic contagion model
• The Fourier-series method for inverting transforms of probability distributions
• Affine processes and applications in finance
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• A comparison of the Moore and Miranda existence tests
• Default clustering in large portfolios: typical events
• Saddlepoint approximations for affine jump-diffusion models
• Density approximations for multivariate affine jump-diffusion processes
• Some limit theorems for Hawkes processes and application to financial statistics
• Genealogical particle analysis of rare events
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• Central Limit Theorem for Nonlinear Hawkes Processes
• Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
• Affine Point Processes and Portfolio Credit Risk
• Multivariate Hawkes processes: an application to financial data
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Large Deviations of Poisson Cluster Processes
• PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
• Default Clustering in Large Pools: Large Deviations
• Asymptotic properties of stationary point processes with generalized clusters

This page was built for publication: Affine Point Processes: Approximation and Efficient Simulation