Yan Qu

University of Warwick - Department of Statistics

Coventry, CV47AL

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

203

TOTAL CITATIONS

4

Scholarly Papers (5)

1.

A Two-Phase Dynamic Contagion Model for COVID-19

Results in Physics, 26, 104264, July​, 2021
Number of pages: 29 Posted: 16 Jun 2020 Last Revised: 27 Jul 2023
London School of Economics & Political Science (LSE) - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Statistics, University College London, Brunel University London, University of Warwick - Department of Statistics, Victoria University of Wellington and Shanghai University of Finance and Economics
Downloads 83 (612,654)
Citation 1

Abstract:

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COVID-19; SARS-CoV-2; Coronavirus; Stochastic intensity model; Stochastic epidemic model; Two-phase dynamic contagion process

2.

Shot-Noise Cojumps: Exact Simulation and Option Pricing

Journal of the Operational Research Society, 74(3), 647-665​, 2023
Number of pages: 36 Posted: 01 Jun 2022 Last Revised: 28 Jul 2023
University of Warwick - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 49 (795,530)
Citation 1

Abstract:

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Exact simulation, Monte Carlo simulation, Jump-diffusion models, Stochastic volatility models, Shot-noise process, Contemporaneous jumps, Cojumps, Shot-noise cojumps, Option pricing, Systemic risk

3.

Efficient Simulation of Lévy-driven Point Processes

Advances in Applied Probability, 51(4), 927-966, 2019
Number of pages: 50 Posted: 01 Aug 2023
University of Warwick - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 29 (964,423)

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Contagion risk, Portfolio risk management, Monte Carlo simulation, Exact simulation, Exact decomposition, Self-exciting jump process with non-Gaussian Ornstein-Uhlenbeck intensity, Point process, Branching process, Stochastic intensity model, Non-Gaussian Ornstein-Uhlenbeck process,

4.

A Cox Model for Gradually Disappearing Events

Probability in the Engineering and Informational Sciences, 37(1), 214-231, 2023​
Number of pages: 23 Posted: 09 Jun 2022 Last Revised: 27 Jul 2023
Macquarie University, University of Warwick - Department of Statistics, Shanghai University of Finance and Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 21 (1,052,548)

Abstract:

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Point process, Cox process, Cox process with piecewise-constant decreasing intensity, gradually disappearing events, survival probability, competing risks, stop-loss reinsurance

5.

Exact Simulation for a Class of Tempered Stable and Related Distributions

ACM Transactions on Modeling and Computer Simulation
Number of pages: 27 Posted: 30 Jan 2018 Last Revised: 20 May 2020
London School of Economics & Political Science (LSE) - Department of Statistics, University of Warwick - Department of Statistics and Shanghai University of Finance and Economics
Downloads 21 (1,052,548)
Citation 2

Abstract:

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Monte Carlo Simulation, Exact Simulation, Backward Recursive Scheme, Stable Distribution, Tempered Stable Distribution; Exponentially Tilted Stable Distribution, L'evy Process, L'evy Subordinator, Leptokurtosis