Up a level |

Number of items: **32**.

Dassios, Angelos and Zhao, Hongbiao
(2017)
*A generalised contagion process with an application to credit risk.*
International Journal of Theoretical and Applied Finance
.
ISSN 0219-0249
(In Press)

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

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

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

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

Dassios, Angelos and Zhao, Hongbiao
(2014)
*A Markov chain model for contagion.*
Risks, 2
(4).
pp. 434-455.
ISSN 2227-9091

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

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

Dassios, Angelos and Zhao, Hongbiao
(2013)
*Exact simulation of Hawkes process with exponentially decaying intensity.*
Electronic Communications in Probability, 18
.
ISSN 1083-589X

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

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

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

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

Dassios, Angelos and Wu, Shanle
(2011)
*Double-barrier Parisian options.*
Journal of Applied Probability, 48
(1).
pp. 1-20.
ISSN 0021-9002

Dassios, Angelos and Zhao, Hongbiao
(2011)
*A dynamic contagion process.*
Advances in Applied Probability, 43
(3).
pp. 814-846.
ISSN 0001-8678

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

Dassios, Angelos and Wu, Shanle
(2009)
*On barrier strategy dividends with Parisian implementation delay for classical surplus processes.*
Insurance: Mathematics and Economics, 45
(2).
pp. 195-202.
ISSN 0167-6687

Dassios, Angelos and Jang, Jiwook
(2008)
*The distribution of the interval between events of a Cox process with shot noise intensity.*
Journal of Applied Mathematics and Stochastic Analysis, 2008
.
pp. 1-14.
ISSN 1687-2177

Dassios, Angelos and Nagaradjasarma, Jayalaxshmi
(2006)
*The square-root process and Asian options.*
Quantative Finance, 6
(4).
pp. 337-347.
ISSN 1469-7696

Dassios, Angelos and Jang, J.W.
(2005)
*Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts.*
Journal of Applied Probability, 42
(1).
pp. 93-107.
ISSN 0021-9002

Dassios, Angelos
(2005)
*On the quantiles of the Brownian motion and their hitting times.*
Bernoulli, 11
(1).
pp. 29-36.
ISSN 1350-7265

Dassios, Angelos and Jang, Jiwook
(2003)
*Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity.*
Finance and Stochastics, 7
(1).
pp. 73-95.
ISSN 1432-1122

Basu, Sankarshan and Dassios, Angelos
(2002)
*A Cox process with log-normal intensity.*
Insurance: Mathematics and Economics, 31
(2).
pp. 297-302.
ISSN 0167-6687

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)

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)

Dassios, Angelos and Wu, Shanle
(2011)
*Barrier strategies with Parisian delay.*
Department of Statistics, London School of Economics and Political Science , London, UK.

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.

Dassios, Angelos and Wu, Shanle
(2008)
*Ruin probabilities of the Parisian type for small claims.*
Department of Statistics, London School of Economics and Political Science, London, UK.
(Unpublished)

Dassios, Angelos and Wu, Shanle
(2008)
*Parisian ruin with exponential claims.*
Department of Statistics, London School of Economics and Political Science, London, UK.
(Unpublished)

Dassios, Angelos
(2006)
*Quantiles of Lévy processes and applications in finance.*
Department of Statistics, London School of Economics and Political Science, London, UK.

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)

Dassios, Angelos and Zhao, Hongbiao
(2010)
*Point processes with contagion and an application to credit risk.*
In: LSE PhD posters.
(Unpublished)

This list was generated on **Fri Dec 9 09:46:16 2016 GMT**.

Mission Statement & FAQs | Contact us | Takedown Policy | LSE Experts | LSE Research Online supports OAI 2.0 with a base URL of