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Article: Affine point processes: Approximation and efficient simulation
Title | Affine point processes: Approximation and efficient simulation |
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Authors | |
Keywords | Affine jump diffusion Rare-event simulation Large deviations Central limit theorem Affine point process |
Issue Date | 2015 |
Citation | Mathematics of Operations Research, 2015, v. 40, n. 4, p. 797-819 How to Cite? |
Abstract | © 2015 INFORMS. 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. |
Persistent Identifier | http://hdl.handle.net/10722/271476 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 1.215 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Xiaowei | - |
dc.contributor.author | Blanchet, Jose | - |
dc.contributor.author | Giesecke, Kay | - |
dc.contributor.author | Glynn, Peter W. | - |
dc.date.accessioned | 2019-07-02T07:16:10Z | - |
dc.date.available | 2019-07-02T07:16:10Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Mathematics of Operations Research, 2015, v. 40, n. 4, p. 797-819 | - |
dc.identifier.issn | 0364-765X | - |
dc.identifier.uri | http://hdl.handle.net/10722/271476 | - |
dc.description.abstract | © 2015 INFORMS. 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. | - |
dc.language | eng | - |
dc.relation.ispartof | Mathematics of Operations Research | - |
dc.subject | Affine jump diffusion | - |
dc.subject | Rare-event simulation | - |
dc.subject | Large deviations | - |
dc.subject | Central limit theorem | - |
dc.subject | Affine point process | - |
dc.title | Affine point processes: Approximation and efficient simulation | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1287/moor.2014.0696 | - |
dc.identifier.scopus | eid_2-s2.0-84947069465 | - |
dc.identifier.volume | 40 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 797 | - |
dc.identifier.epage | 819 | - |
dc.identifier.eissn | 1526-5471 | - |
dc.identifier.isi | WOS:000367895700001 | - |
dc.identifier.issnl | 0364-765X | - |