"Dassios, Angelos"

Article

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

Monograph

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 (Unpublished)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 (Unpublished)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.

Conference or Workshop Item

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)