Exact Sampling of Jump Diffusions

Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations

(2013) Nan Chen et al.   MATHEMATICS OF OPERATIONS RESEARCH

Exact Simulation of Point Processes with Stochastic Intensities

(2011) K. Giesecke et al.   OPERATIONS RESEARCH

Affine Point Processes and Portfolio Credit Risk

(2011) Eymen Errais et al.   SIAM Journal on Financial Mathematics

TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

(2010) Rafael Mendoza-Arriaga et al.   MATHEMATICAL FINANCE

Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications

(2010) Bruno Casella et al.   METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

Local Volatility Enhanced by a Jump to Default

(2010) Peter Carr et al.   SIAM Journal on Financial Mathematics

Nonparametric Transition-Based Tests for Jump Diffusions

(2009) Yacine Aït-Sahalia et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

High order discretization schemes for the CIR process: Application to affine term structure and Heston models

(2009) Aurélien Alfonsi   MATHEMATICS OF COMPUTATION

Time-Changed Birth Processes and Multiname Credit Derivatives

(2009) Xiaowei Ding et al.   OPERATIONS RESEARCH

A comparison of biased simulation schemes for stochastic volatility models

(2009) Roger Lord et al.   QUANTITATIVE FINANCE

Simulation of Brownian motion at first-passage times

(2007) Zaeem A. Burq et al.   MATHEMATICS AND COMPUTERS IN SIMULATION