Angelos Dassios

According to our database, Angelos Dassios authored at least 17 papers between 2003 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression.

Zezhun Chen, Angelos Dassios, George Tzougas

Comput. Stat., June, 2023

Shot-noise cojumps: Exact simulation and option pricing.

Yan Qu, Angelos Dassios, Hongbiao Zhao

J. Oper. Res. Soc., March, 2023

Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models.

Junyi Zhang, Angelos Dassios

Stat. Comput., 2023

2021

Random Variate Generation for Exponential and Gamma Tilted Stable Distributions.

Yan Qu, Angelos Dassios, Hongbiao Zhao

ACM Trans. Model. Comput. Simul., 2021

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps.

Yan Qu, Angelos Dassios, Hongbiao Zhao

J. Oper. Res. Soc., 2021

Exact simulation of Ornstein-Uhlenbeck tempered stable processes.

Yan Qu, Angelos Dassios, Hongbiao Zhao

J. Appl. Probab., 2021

2020

Exact Simulation of a Truncated Lévy Subordinator.

Angelos Dassios, Jia Wei Lim, Yan Qu

ACM Trans. Model. Comput. Simul., 2020

2019

Exact simulation of generalised Vervaat perpetuities.

Angelos Dassios, Yan Qu, Jia Wei Lim

J. Appl. Probab., 2019

2018

Exact Simulation for a Class of Tempered Stable and Related Distributions.

Angelos Dassios, Yan Qu, Hongbiao Zhao

ACM Trans. Model. Comput. Simul., 2018

Recursive formula for the double-barrier Parisian stopping time.

Angelos Dassios, Jia Wei Lim

J. Appl. Probab., 2018

2017

Efficient Simulation of Clustering Jumps with CIR Intensity.

Angelos Dassios, Hongbiao Zhao

Oper. Res., 2017

2016

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

Angelos Dassios, You You Zhang

Finance Stochastics, 2016

2013

Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time.

Angelos Dassios, Jia Wei Lim

SIAM J. Financial Math., 2013

A Risk Model with Delayed Claims.

Angelos Dassios, Hongbiao Zhao

J. Appl. Probab., 2013

Stochastic Boundary Crossing Probabilities for the Brownian Motion.

Xiaonan Che, Angelos Dassios

J. Appl. Probab., 2013

2010

Perturbed Brownian motion and its application to Parisian option pricing.

Angelos Dassios, Shanle Wu

Finance Stochastics, 2010

2003

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

Angelos Dassios, Ji-Wook Jang

Finance Stochastics, 2003