Perturbed Brownian motion and its application to Parisian option pricing

von Dassios, Angelos
Veröffentlicht in Finance and stochastics (2010)

Efficient simulation of clustering jumps with CIR intensity

von Dassios, Angelos
Veröffentlicht in Operations research (-2017)

Ruin by dynamic contagion claims

von Dassios, Angelos
Veröffentlicht in Insurance / Mathematics & economics (2012)

On barrier strategy dividends with Parisian implementation delay for classical surplus processes

von Dassios, Angelos
Veröffentlicht in Insurance / Mathematics & economics (2009)

A generalized contagion process with an application to credit risk

von Dassios, Angelos
Veröffentlicht in International journal of theoretical and applied finance (2017)

A bivariate shot noise self-exciting process for insurance

von Jang, Jiwook
Veröffentlicht in Insurance / Mathematics & economics (2013)

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing

von Dassios, Angelos
Veröffentlicht in Finance and stochastics (2016)

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

von Dassios, Angelos
Veröffentlicht in Finance and stochastics (2003)

An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options

von Dassios, Angelos
Veröffentlicht in Mathematical finance (2017)

Moments of renewal shot-noise processes and their applications

von Jang, Jiwook
Veröffentlicht in Scandinavian actuarial journal (-2018)

A risk model with renewal shot-noise Cox process

von Dassios, Angelos
Veröffentlicht in Insurance / Mathematics & economics (2015)