Affine point processes : Approximation and efficient simulation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

9 Scopus Citations
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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)797-819
Number of pages23
Journal / PublicationMathematics of Operations Research
Volume40
Issue number4
Online published4 Feb 2015
Publication statusPublished - Nov 2015
Externally publishedYes

Abstract

We establish a central limit theorem and a large deviations principle for affine point processes, which are stochastic models of correlated event timing widely used in finance and economics. These limit results generate closed-form approximations to the distribution of an affine point process. They also facilitate the construction of an asymptotically optimal importance sampling estimator of tail probabilities. Numerical tests illustrate our results.

Research Area(s)

  • Affine jump diffusion, Affine point process, Central limit theorem, Large deviations, Rare-event simulation

Citation Format(s)

Affine point processes : Approximation and efficient simulation. / Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W.

In: Mathematics of Operations Research, Vol. 40, No. 4, 11.2015, p. 797-819.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal