Angelos Dassios

Publication Activity (10 Years)

Years Active: 2003-2023
Publications (10 Years): 12

Top Topics

Hierarchical Models

Brownian Motion

Joint Distribution

Top Venues

J. Appl. Probab.

ACM Trans. Model. Comput. Simul.

J. Oper. Res. Soc.

Finance Stochastics

Publications

Yan Qu, Angelos Dassios, Hongbiao Zhao
Shot-noise cojumps: Exact simulation and option pricing. J. Oper. Res. Soc. 74 (3) (2023)
Zezhun Chen, Angelos Dassios, George Tzougas
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. Comput. Stat. 38 (2) (2023)
Junyi Zhang, Angelos Dassios
Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models. Stat. Comput. 33 (1) (2023)
Yan Qu, Angelos Dassios, Hongbiao Zhao
Random Variate Generation for Exponential and Gamma Tilted Stable Distributions. ACM Trans. Model. Comput. Simul. 31 (4) (2021)
Yan Qu, Angelos Dassios, Hongbiao Zhao
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps. J. Oper. Res. Soc. 72 (2) (2021)
Yan Qu, Angelos Dassios, Hongbiao Zhao
Exact simulation of Ornstein-Uhlenbeck tempered stable processes. J. Appl. Probab. 58 (2) (2021)
Angelos Dassios, Jia Wei Lim, Yan Qu
Exact Simulation of a Truncated Lévy Subordinator. ACM Trans. Model. Comput. Simul. 30 (3) (2020)
Angelos Dassios, Yan Qu, Jia Wei Lim
Exact simulation of generalised Vervaat perpetuities. J. Appl. Probab. 56 (1) (2019)
Angelos Dassios, Yan Qu, Hongbiao Zhao
Exact Simulation for a Class of Tempered Stable and Related Distributions. ACM Trans. Model. Comput. Simul. 28 (3) (2018)
Angelos Dassios, Jia Wei Lim
Recursive formula for the double-barrier Parisian stopping time. J. Appl. Probab. 55 (1) (2018)
Angelos Dassios, Hongbiao Zhao
Efficient Simulation of Clustering Jumps with CIR Intensity. Oper. Res. 65 (6) (2017)
Angelos Dassios, You You Zhang
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Finance Stochastics 20 (3) (2016)
Angelos Dassios, Hongbiao Zhao
A Risk Model with Delayed Claims. J. Appl. Probab. 50 (3) (2013)
Angelos Dassios, Jia Wei Lim
Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time. SIAM J. Financial Math. 4 (1) (2013)
Xiaonan Che, Angelos Dassios
Stochastic Boundary Crossing Probabilities for the Brownian Motion. J. Appl. Probab. 50 (2) (2013)
Angelos Dassios, Shanle Wu
Perturbed Brownian motion and its application to Parisian option pricing. Finance Stochastics 14 (3) (2010)
Angelos Dassios, Ji-Wook Jang
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Finance Stochastics 7 (1) (2003)