Dhar, Subhra Sankar and
Dassios, Angelos and
Bergsma, Wicher
(2016)
A study of the power and robustness of a new test for independence against contiguous alternatives
Electronic Journal of Statistics, 10 (1). 330-351. ISSN 1935-7524
Dassios, Angelos and
Jang , Jiwook and
Zhao, Hongbiao
(2015)
A risk model with renewal shot-noise Cox process
Insurance: Mathematics and Economics, 65. 55-65. ISSN 0167-6687
Bergsma, Wicher and
Dassios, Angelos
(2014)
A consistent test of independence based on a sign covariance related to Kendall's tau
Bernoulli, 20 (2). 1006-1028. ISSN 1350-7265
Dassios, Angelos and
Zhao, Hongbiao
(2013)
A risk model with delayed claims
Journal of Applied Probability, 50 (3). 686-702. ISSN 0021-9002
Dassios, Angelos and
Lim, Jia Wei
(2013)
Parisian option pricing: a recursive solution for the density of the Parisian stopping time
SIAM Journal on Financial Mathematics, 4 (1). 599-615. ISSN 1945-497X
Dassios, Angelos and
Zhao, Hongbiao
(2013)
Exact simulation of Hawkes process with exponentially decaying intensity
Electronic Communications in Probability, 18. ISSN 1083-589X
Jang, Jiwook and
Dassios, Angelos
(2013)
A bivariate shot noise self-exciting process for insurance
Insurance: Mathematics and Economics, 53 (3). 524-532. ISSN 0167-6687
Dassios, Angelos and
Wu, Shanle
(2011)
Brownian excursions outside a corridor and two-sided Parisian options
Department of Statistics, London School of Economics and Political Science, London, UK.
Dassios, Angelos and
Wu, Shanle
(2011)
Barrier strategies with Parisian delay
Department of Statistics, London School of Economics and Political Science , London, UK.
Dassios, Angelos and
Wu, Shanle
(2011)
Brownian excursions in a corridor and related Parisian options
Department of Statistics, London School of Economics and Political Science, London, UK.
Dassios, Angelos and
Nagaradjasarma, Jayalaxshmi
(2011)
Pricing of Asian options on interest rates in the CIR model
Department of Statistics, London School of Economics and Political Science, London, UK.
Dassios, Angelos and
Zhao, Hongbiao
(2011)
A dynamic contagion process and an application to credit risk.
In: LSE Research Day 2011: The Early Career Researcher, 26 May 2011, London School of Economics and Political Science, London, UK
Dassios, Angelos and
Zhao, Hongbiao
(2011)
A dynamic contagion process
Advances in Applied Probability, 43 (3). 814-846. ISSN 0001-8678
Dassios, Angelos and
Zhao, Hongbiao
(2010)
Point processes with contagion and an application to credit risk.
In: LSE PhD posters
Dassios, Angelos and
Jang, Jiwook
(2008)
The distribution of the interval between events of a Cox process with shot noise intensity
Journal of Applied Mathematics and Stochastic Analysis, 2008. 1-14. ISSN 1687-2177
Dassios, Angelos and
Wu, Shanle
(2008)
Ruin probabilities of the Parisian type for small claims
Department of Statistics, London School of Economics and Political Science, London, UK.
Dassios, Angelos and
Nagaradjasarma, Jayalaxshmi
(2006)
The square-root process and Asian options
Quantative Finance, 6 (4). 337-347. ISSN 1469-7696
Dassios, Angelos
(2005)
On the quantiles of the Brownian motion and their hitting times
Bernoulli, 11 (1). 29-36. ISSN 1350-7265