Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. - Angelos Dassios; Ji-Wook Jang (Finance Stochastics, 2003)

Perturbed Brownian motion and its application to Parisian option pricing. - Angelos Dassios; Shanle Wu (Finance Stochastics, 2010)

Stochastic Boundary Crossing Probabilities for the Brownian Motion. - Xiaonan Che; Angelos Dassios (J. Appl. Probab., 2013)

A Risk Model with Delayed Claims. - Angelos Dassios; Hongbiao Zhao (J. Appl. Probab., 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)

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)

Efficient Simulation of Clustering Jumps with CIR Intensity. - Angelos Dassios; Hongbiao Zhao (Oper. Res., 2017)

Recursive formula for the double-barrier Parisian stopping time. - Angelos Dassios; Jia Wei Lim (J. Appl. Probab., 2018)

Exact Simulation for a Class of Tempered Stable and Related Distributions. - Angelos Dassios; Yan Qu; Hongbiao Zhao (ACM Trans. Model. Comput. Simul., 2018)

Exact simulation of generalised Vervaat perpetuities. - Angelos Dassios; Yan Qu; Jia Wei Lim (J. Appl. Probab., 2019)

Exact Simulation of a Truncated Lévy Subordinator. - Angelos Dassios; Jia Wei Lim; Yan Qu (ACM Trans. Model. Comput. Simul., 2020)

Exact simulation of Ornstein-Uhlenbeck tempered stable processes. - Yan Qu; Angelos Dassios; Hongbiao Zhao (J. Appl. Probab., 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)

Random Variate Generation for Exponential and Gamma Tilted Stable Distributions. - Yan Qu; Angelos Dassios; Hongbiao Zhao (ACM Trans. Model. Comput. Simul., 2021)

Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models. - Junyi Zhang; Angelos Dassios (Stat. Comput., 2023)

Shot-noise cojumps: Exact simulation and option pricing. - Yan Qu; Angelos Dassios; Hongbiao Zhao (J. Oper. Res. Soc., 2023)

Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. - Zezhun Chen; Angelos Dassios; George Tzougas (Comput. Stat., 2023)

Truncated Inverse-Lévy Measure Representation of the Beta Process. - Junyi Zhang; Angelos Dassios; Zhong Chong; Qiufei Yao (AISTATS, 2025)