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 language | English |
|---|---|
| Pages (from-to) | 797-819 |
| Number of pages | 23 |
| Journal | Mathematics of Operations Research |
| Volume | 40 |
| Issue number | 4 |
| Online published | 4 Feb 2015 |
| DOIs | |
| Publication status | Published - Nov 2015 |
| Externally published | Yes |
Research Keywords
- Affine jump diffusion
- Affine point process
- Central limit theorem
- Large deviations
- Rare-event simulation
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