Number of items: 3.
Qu, Yan, Dassios, Angelos and Zhao, Hongbiao
(2021)
Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps.
Journal of the Operational Research Society, 72
(2).
pp. 471-484.
doi:10.1080/01605682.2019.1657368
ISSN 0160-5682.
Dassios, Angelos, Jia Wei, Lim and Yan, Qu
(2020)
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds.
Mathematical Finance, 30
(4).
pp. 1497-1526.
doi:10.1111/mafi.12248
ISSN 0960-1627.
Dassios, Angelos, Lim, Jia Wei and Qu, Yan
(2020)
Exact simulation of truncated Lévy subordinator.
Transactions on Modeling and Computer Simulation, 30
(3).
17.
doi:10.1145/3368088
ISSN 1049-3301.
This list was generated on Tue Apr 23 11:37:43 2024 BST.