Skip to main navigation Skip to search Skip to main content

Affine point processes: Approximation and efficient simulation

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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

Research Keywords

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

Fingerprint

Dive into the research topics of 'Affine point processes: Approximation and efficient simulation'. Together they form a unique fingerprint.

Cite this