Efficient Simulation of Clustering Jumps with CIR Intensity

DOI10.1287/opre.2017.1640zbMath1405.91545OpenAlexW2609187960MaRDI QIDQ4602466

Hongbiao Zhao, Angelos Dassios

Publication date: 11 January 2018

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

Full work available at URL: http://eprints.lse.ac.uk/74205/7/Dassios_Efficient%20simulation%20of%20clustering%20jumps.pdf

zbMATH Keywords

Monte Carlo simulationexact simulationCIR processHawkes processjump clusteringsquare-root processcontagion riskportfolio riskself-exciting point processstochastic intensity modelself-exciting point process with CIR intensity

Mathematics Subject Classification ID

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