Items where Author is "Zhao, Hongbiao"

Article

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

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, Jang, Jiwook and Zhao, Hongbiao (2019) A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. Risks, 7 (4). ISSN 2227-9091

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, 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

Jang, Jiwook, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2018) Moments of renewal shot-noise processes and their applications. Scandinavian Actuarial Journal (8). pp. 727-752. ISSN 0346-1238

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) Efficient simulation of clustering jumps with CIR intensity. Operations Research, 65 (6). pp. 1494-1515. ISSN 0030-364X

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) A generalised contagion process with an application to credit risk. International Journal of Theoretical and Applied Finance, 20 (1). ISSN 0219-0249

Dassios, Angelos ORCID: 0000-0002-3968-2366, 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

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2014) A Markov chain model for contagion. Risks, 2 (4). pp. 434-455. ISSN 2227-9091

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2013) A risk model with delayed claims. Journal of Applied Probability, 50 (3). pp. 686-702. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2013) Exact simulation of Hawkes process with exponentially decaying intensity. Electronic Communications in Probability, 18 (62). ISSN 1083-589X

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2012) Ruin by dynamic contagion claims. Insurance: Mathematics and Economics, 51 (1). pp. 93-106. ISSN 0167-6687

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2011) A dynamic contagion process. Advances in Applied Probability, 43 (3). pp. 814-846. ISSN 0001-8678

Monograph

Zhao, Hongbiao (2011) Portfolio credit risk of default and spread widening. . The Author. (Submitted)

Conference or Workshop Item

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2011) A dynamic contagion process and an application to credit risk. In: LSE Research Day 2011: The Early Career Researcher, 2011-05-26, London, United Kingdom, GBR. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2010) Point processes with contagion and an application to credit risk. In: LSE PhD posters, 0001-01-03. (Submitted)