| 1. |
Dassios, Angelos and Zhang, You You
(2016)
The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing.
Finance and Stochastics, 20
.
pp. 773-804.
ISSN 0949-2984
Item availability restricted. | | |
| 2. |
Dhar, Subhra Sankar, Dassios, Angelos and Bergsma, Wicher
(2016)
A study of the power and robustness of a new test for independence against contiguous alternatives.
Electronic Journal of Statistics, 10
(1).
pp. 330-351.
ISSN 1935-7524
| ![[img]](/65387/1.hassmallThumbnailVersion/Contiguous%20alternatives.pdf)  Preview |
| |
| 3. |
Dassios, Angelos, Jang , Jiwook and Zhao, Hongbiao
(2015)
A risk model with renewal shot-noise Cox process.
Insurance: Mathematics and Economics, 65
.
pp. 55-65.
ISSN 0167-6687
Item availability restricted. | | |
| 4. |
Dassios, Angelos and Lim, Jia Wei
(2015)
An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options.
Mathematical Finance
.
ISSN 0960-1627
| ![[img]](/60154/1.hassmallThumbnailVersion/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Dassios%2C%20A_Analytical%20solution_Dassios_Analytical%20solution_2014.pdf)  Preview |
| |
| 5. |
Dassios, Angelos and Zhao, Hongbiao
(2014)
A Markov chain model for contagion.
Risks, 2
(4).
pp. 434-455.
ISSN 2227-9091
| ![[img]](/60155/1.hassmallThumbnailVersion/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Dassios%2C%20A_Markov%20chain%20model_Dassios_Markov%20chain%20model_2014.pdf)  Preview |
| |
| 6. |
Bergsma, Wicher and Dassios, Angelos
(2014)
A consistent test of independence based on a sign covariance related to Kendall's tau.
Bernoulli, 20
(2).
pp. 1006-1028.
ISSN 1350-7265
| ![[img]](/54469/1.hassmallThumbnailVersion/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Bergsma%2C%20W_Bergsma_consistent_%20test_independence_2014_Bergsma_consistent_%20test_independence_2014.pdf)  Preview |
| |
| 7. |
Dassios, Angelos and Zhao, Hongbiao
(2013)
A risk model with delayed claims.
Journal of Applied Probability, 50
(3).
pp. 686-702.
ISSN 0021-9002
Not available from LSE Research Online. | | |
| 8. |
Dassios, Angelos and Zhao, Hongbiao
(2013)
Exact simulation of Hawkes process with exponentially decaying intensity.
Electronic Communications in Probability, 18
.
ISSN 1083-589X
| ![[img]](/51370/1.hassmallThumbnailVersion/Dassios_exact_simulation_hawkes.pdf)  Preview |
| |
| 9. |
Che, Xiaonan and Dassios, Angelos
(2013)
Stochastic boundary crossing probabilities for the Brownian motion.
Journal of Applied Probability, 50
(2).
pp. 419-429.
ISSN 0021-9002
Not available from LSE Research Online. | | |
| 10. |
Dassios, Angelos and Lim, Jia Wei
(2013)
Parisian option pricing: a recursive solution for the density of the Parisian stopping time.
SIAM Journal on Financial Mathematics, 4
(1).
pp. 599-615.
ISSN 1945-497X
| ![[img]](/58985/1.hassmallThumbnailVersion/Dassios_Lim_Parisian-option-pricing_2013.pdf)  Preview |
| |
| 11. |
Jang, Jiwook and Dassios, Angelos
(2013)
A bivariate shot noise self-exciting process for insurance.
Insurance: Mathematics and Economics, 53
(3).
pp. 524-532.
ISSN 0167-6687
Not available from LSE Research Online. | | |
| 12. |
Dassios, Angelos and Zhao, Hongbiao
(2012)
Ruin by dynamic contagion claims.
Insurance: Mathematics and Economics, 51
(1).
pp. 93-106.
ISSN 0167-6687
Not available from LSE Research Online. | | |
| 13. |
Dassios, Angelos and Wu, Shanle
(2011)
Brownian excursions in a corridor and related Parisian options.
Department of Statistics, London School of Economics and Political Science, London, UK.
(Unpublished)
| ![[img]](/32042/1.hassmallThumbnailVersion/Brownian_excursions_in_a_corridor_and_related_Parisian_options_%28LSERO%29.pdf)  Preview |
| |
| 14. |
Dassios, Angelos and Wu, Shanle
(2011)
Brownian excursions outside a corridor and two-sided Parisian options.
Department of Statistics, London School of Economics and Political Science, London, UK.
(Unpublished)
| ![[img]](/32045/1.hassmallThumbnailVersion/Brownian_excursions_outside_a_corridor_and_two-sided_Parisian_options_%28LSERO%29.pdf)  Preview |
| |
| 15. |
Dassios, Angelos and Nagaradjasarma, Jayalaxshmi
(2011)
Pricing of Asian options on interest rates in the CIR model.
Department of Statistics, London School of Economics and Political Science, London, UK.
| ![[img]](/32084/1.hassmallThumbnailVersion/Pricing_of_Asian_options_on_interest_rates_in_the_CIR_model_%28LSERO%29.pdf)  Preview |
| |
| 16. |
Dassios, Angelos and Wu, Shanle
(2011)
Barrier strategies with Parisian delay.
Department of Statistics, London School of Economics and Political Science , London, UK.
| ![[img]](/32024/1.hassmallThumbnailVersion/Barrier_Strategies_with_Parisian_Delay_%28LSERO%29.pdf)  Preview |
| |
| 17. |
Dassios, Angelos and Wu, Shanle
(2011)
Double-barrier Parisian options.
Journal of Applied Probability, 48
(1).
pp. 1-20.
ISSN 0021-9002
Not available from LSE Research Online. | | |
| 18. |
Dassios, Angelos and Zhao, Hongbiao
(2011)
A dynamic contagion process and an application to credit risk.
In: LSE Research Day 2011: The Early Career Researcher, 26 May 2011, London School of Economics and Political Science, London, UK.
(Unpublished)
| ![[img]](/36337/1.hassmallThumbnailVersion/Portrait_Zhao.pdf)  Preview |
| |
| 19. |
Dassios, Angelos and Zhao, Hongbiao
(2011)
A dynamic contagion process.
Advances in Applied Probability, 43
(3).
pp. 814-846.
ISSN 0001-8678
Not available from LSE Research Online. | | |
| 20. |
Dassios, Angelos and Wu, Shanle
(2010)
Perturbed Brownian motion and its application to Parisian option pricing.
Finance and Stochastics, 14
(3).
pp. 473-494.
ISSN 0949-2984
Not available from LSE Research Online. | | |
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