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Article: Affine point processes: Approximation and efficient simulation

TitleAffine point processes: Approximation and efficient simulation
Authors
Zhang, XiaoweiBlanchet, JoseGiesecke, KayGlynn, Peter W.
KeywordsAffine jump diffusion
Rare-event simulation
Large deviations
Central limit theorem
Affine point process
Issue Date2015
Citation
Mathematics of Operations Research, 2015, v. 40, n. 4, p. 797-819 How to Cite?
DOI: http://dx.doi.org/10.1287/moor.2014.0696
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 Identifierhttp://hdl.handle.net/10722/271476
ISSN
0364-765X
2023 Impact Factor: 1.4
2023 SCImago Journal Rankings: 1.215
ISI Accession Number ID
WOS:000367895700001

 

DC FieldValueLanguage
dc.contributor.authorZhang, Xiaowei-
dc.contributor.authorBlanchet, Jose-
dc.contributor.authorGiesecke, Kay-
dc.contributor.authorGlynn, Peter W.-
dc.date.accessioned2019-07-02T07:16:10Z-
dc.date.available2019-07-02T07:16:10Z-
dc.date.issued2015-
dc.identifier.citationMathematics of Operations Research, 2015, v. 40, n. 4, p. 797-819-
dc.identifier.issn0364-765X-
dc.identifier.urihttp://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.languageeng-
dc.relation.ispartofMathematics of Operations Research-
dc.subjectAffine jump diffusion-
dc.subjectRare-event simulation-
dc.subjectLarge deviations-
dc.subjectCentral limit theorem-
dc.subjectAffine point process-
dc.titleAffine point processes: Approximation and efficient simulation-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1287/moor.2014.0696-
dc.identifier.scopuseid_2-s2.0-84947069465-
dc.identifier.volume40-
dc.identifier.issue4-
dc.identifier.spage797-
dc.identifier.epage819-
dc.identifier.eissn1526-5471-
dc.identifier.isiWOS:000367895700001-
dc.identifier.issnl0364-765X-

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