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EM Estimation for the Bivariate Mixed Exponential Regression Model.
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- Risks, 2022, v. 10, n. 5, p. 105, doi. 10.3390/risks10050105
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- Article
Parisian Time of Reflected Brownian Motion with Drift on Rays and Its Application in Banking.
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- Risks, 2020, v. 8, n. 4, p. 127, doi. 10.3390/risks8040127
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- Article
A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance.
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- Risks, 2019, v. 7, n. 4, p. 103, doi. 10.3390/risks7040103
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- Article
Book Reviews.
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- 2002
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- Book Review
Truncated two‐parameter Poisson–Dirichlet approximation for Pitman–Yor process hierarchical models.
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- Scandinavian Journal of Statistics, 2024, v. 51, n. 2, p. 590, doi. 10.1111/sjos.12688
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- Article
Testing Independence of Covariates and Errors in Non‐parametric Regression.
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- Scandinavian Journal of Statistics, 2018, v. 45, n. 3, p. 421, doi. 10.1111/sjos.12301
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- Article
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity.
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- Finance & Stochastics, 2003, v. 7, n. 1, p. 73, doi. 10.1007/s007800200079
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- Article
Explicit asymptotics on first passage times of diffusion processes.
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- Advances in Applied Probability, 2020, v. 52, n. 2, p. 681, doi. 10.1017/apr.2020.13
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- Article
Efficient simulation of Lévy-driven point processes.
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- Advances in Applied Probability, 2019, v. 51, n. 4, p. 927, doi. 10.1017/apr.2019.44
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- Article
Efficient simulation of Lévy-driven point processes.
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- Advances in Applied Probability, 2019, p. 927, doi. 10.1017/apr.2019.44
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- Article
A DYNAMIC CONTAGION PROCESS.
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- Advances in Applied Probability, 2011, v. 43, n. 3, p. 814, doi. 10.1239/aap/1316792671
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- Article
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds.
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- Mathematical Finance, 2020, v. 30, n. 4, p. 1497, doi. 10.1111/mafi.12248
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- Article
A variation of the Azéma martingale and drawdown options.
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- Mathematical Finance, 2019, v. 29, n. 4, p. 1116, doi. 10.1111/mafi.12202
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- Publication type:
- Article
AN ANALYTICAL SOLUTION FOR THE TWO-SIDED PARISIAN STOPPING TIME, ITS ASYMPTOTICS, AND THE PRICING OF PARISIAN OPTIONS.
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- Mathematical Finance, 2017, v. 27, n. 2, p. 604, doi. 10.1111/mafi.12091
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- Publication type:
- Article
Exact simulation of generalised Vervaat perpetuities.
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- Journal of Applied Probability, 2019, v. 56, n. 1, p. 57, doi. 10.1017/jpr.2019.6
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- Publication type:
- Article
RECURSIVE FORMULA FOR THE DOUBLEBARRIER PARISIAN STOPPING TIME.
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- Journal of Applied Probability, 2018, v. 55, n. 1, p. 282, doi. 10.1017/jpr.2018.17
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- Publication type:
- Article
A RISK MODEL WITH DELAYED CLAIMS.
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- Journal of Applied Probability, 2013, v. 50, n. 3, p. 686, doi. 10.1239/jap/1378401230
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- Publication type:
- Article
STOCHASTIC BOUNDARY CROSSING PROBABILITIES FOR THE BROWNIAN MOTION.
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- Journal of Applied Probability, 2013, v. 50, n. 2, p. 419, doi. 10.1239/jap/1371648950
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- Publication type:
- Article
Exact Simulation of Poisson-Dirichlet Distribution and Generalised Gamma Process.
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- Methodology & Computing in Applied Probability, 2023, v. 25, n. 2, p. 1, doi. 10.1007/s11009-023-10040-3
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- Publication type:
- Article
First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 3, p. 1805, doi. 10.1007/s11009-021-09884-4
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- Article
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing.
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- Finance & Stochastics, 2016, v. 20, n. 3, p. 773, doi. 10.1007/s00780-016-0302-6
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- Article
Perturbed Brownian motion and its application to Parisian option pricing.
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- Finance & Stochastics, 2010, v. 14, n. 3, p. 473, doi. 10.1007/s00780-009-0113-0
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- Article
The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity.
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- Journal of Applied Mathematics & Stochastic Analysis, 2008, p. 1, doi. 10.1155/2008/367170
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- Publication type:
- Article
A Cox model for gradually disappearing events.
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- Probability in the Engineering & Informational Sciences, 2023, v. 37, n. 1, p. 214, doi. 10.1017/S0269964821000553
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- Publication type:
- Article
Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression.
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- Computational Statistics, 2023, v. 38, n. 2, p. 955, doi. 10.1007/s00180-022-01253-0
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- Article
Efficient Simulation of Clustering Jumps with CIR Intensity.
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- Operations Research, 2017, v. 65, n. 6, p. 1494, doi. 10.1287/opre.2017.1640
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- Publication type:
- Article
An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion.
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- Methodology & Computing in Applied Probability, 2018, v. 20, n. 1, p. 189, doi. 10.1007/s11009-017-9542-y
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- Publication type:
- Article
A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 1, p. -1, doi. 10.1142/S0219024917500030
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- Article