Items where Author is "Qu, Yan"

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366, Liu, Anxin and Zhao, Hongbiao (2024) Exact simulation of quadratic intensity models. Informs Journal on Computing. ISSN 1091-9856

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2023) Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74 (3). 647 - 665. ISSN 1476-9360

Jang, Jiwook, Qu, Yan, Zhao, Hongbiao and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2023) A Cox model for gradually disappearing events. Probability in the Engineering and Informational Sciences, 37 (1). 214 - 231. ISSN 0269-9648

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2021) Random variate generation for exponential and gamma tilted stable distributions. ACM Transactions on Modeling and Computer Simulation, 31 (4). ISSN 1049-3301

Chen, Zezhun, Dassios, Angelos ORCID: 0000-0002-3968-2366, Kuan, Valerie, Lim, Jia Wei, Qu, Yan, Surya, Budhi and Zhao, Hongbiao (2021) A two-phase dynamic contagion model for COVID-19. Results in Physics, 26. ISSN 2211-3797

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2021) Exact simulation of Ornstein-Uhlenbeck tempered stable processes. Journal of Applied Probability, 58 (2). 347 - 371. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366, Lim, Jia Wei and Qu, Yan (2020) Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Mathematical Finance, 30 (4). pp. 1497-1526. ISSN 0960-1627

Dassios, Angelos ORCID: 0000-0002-3968-2366, Lim, Jia Wei and Qu, Yan (2020) Exact simulation of a truncated Lévy subordinator. ACM Transactions on Modeling and Computer Simulation, 30 (3). ISSN 1049-3301

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2019) Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Journal of the Operational Research Society. ISSN 0160-5682

Dassios, Angelos ORCID: 0000-0002-3968-2366, Qu, Yan and Zhao, Hongbiao (2019) Efficient simulation of Lévy-driven point processes. Advances in Applied Probability, 51 (4). pp. 927-966. ISSN 0001-8678

Dassios, Angelos ORCID: 0000-0002-3968-2366, Lim, Jia Wei and Qu, Yan (2019) Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56 (1). pp. 57-75. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366, Qu, Yan and Zhao, Hongbiao (2018) Exact simulation for a class of tempered stable. ACM Transactions on Modeling and Computer Simulation, 28 (3). ISSN 1049-3301