Efficient Simulation of Clustering Jumps with CIR Intensity
Published Online:9 Oct 2017https://doi.org/10.1287/opre.2017.1640
Supplemental Material
opre.2017.1640-sm.pdf (189 KB)
- Cited by
- Mathematics and Computers in Simulation, Vol. 245
- 21 January 2026 | Annals of Operations Research, Vol. 117
- 30 September 2025 | Journal of Applied Probability, Vol. 11
- 24 June 2025 | Stochastics and Dynamics, Vol. 25, No. 03n04
- Communications for Statistical Applications and Methods, Vol. 32, No. 1
- Journal of Industrial and Management Optimization, Vol. 0, No. 0
- 20 January 2023 | Operations Research, Vol. 72, No. 4
- European Journal of Operational Research, Vol. 314, No. 1
- Stochastic Processes and their Applications, Vol. 161
- 28 May 2022 | Journal of the Operational Research Society, Vol. 74, No. 3
- 14 March 2022 | Advances in Applied Probability, Vol. 54, No. 2
- Stochastic Processes and their Applications, Vol. 147
- European Journal of Operational Research, Vol. 298, No. 3
- European Journal of Operational Research, Vol. 296, No. 3
- 9 September 2020 | Annals of Actuarial Science, Vol. 15, No. 3
- Journal of Economic Dynamics and Control, Vol. 128
- Operations Research Letters, Vol. 49, No. 4
- 22 October 2020 | Computational Statistics, Vol. 36, No. 2
- 23 June 2021 | Journal of Applied Probability, Vol. 58, No. 2
- European Journal of Operational Research, Vol. 290, No. 3
- 20 December 2019 | Journal of the Operational Research Society, Vol. 72, No. 2
- European Journal of Operational Research, Vol. 288, No. 3
- 15 November 2019 | Advances in Applied Probability, Vol. 51, No. 4
- 14 October 2019 | Risks, Vol. 7, No. 4
- European Journal of Operational Research, Vol. 275, No. 2
- European Journal of Operational Research, Vol. 273, No. 2
- SSRN Electronic Journal, Vol. 54
- SSRN Electronic Journal, Vol. 22
Volume 65, Issue 6
November-December 2017
Pages ii-v,1429-1731
Article Information
Supplemental Material
Metrics
Information
- Received:November 15, 2014
- Accepted:March 31, 2017
- Published Online:October 09, 2017
Copyright © 2017, INFORMS
Cite as
Angelos Dassios, Hongbiao Zhao (2017) Efficient Simulation of Clustering Jumps with CIR Intensity. Operations Research 65(6):1494-1515.
https://doi.org/10.1287/opre.2017.1640
Keywords
