Post by Sapphire Capital on Aug 19, 2008 23:54:43 GMT 4
Simulating Point Processes by Intensity Projection
Kay Giesecke
Stanford University - Management Science & Engineering
Hossein Kakavand
Stanford University - Management Science & Engineering
Seyed Mousavi
Stanford University - Management Science & Engineering
July 13, 2008
Abstract:
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization method. However, discretization introduces bias into the simulation results. This paper proposes a method for the exact simulation of point processes with stochastic intensities. The method leads to unbiased estimators. It is illustrated for a point process whose intensity follows an affine jump-diffusion process.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1159473_code295933.pdf?abstractid=1159473&mirid=5
Kay Giesecke
Stanford University - Management Science & Engineering
Hossein Kakavand
Stanford University - Management Science & Engineering
Seyed Mousavi
Stanford University - Management Science & Engineering
July 13, 2008
Abstract:
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization method. However, discretization introduces bias into the simulation results. This paper proposes a method for the exact simulation of point processes with stochastic intensities. The method leads to unbiased estimators. It is illustrated for a point process whose intensity follows an affine jump-diffusion process.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1159473_code295933.pdf?abstractid=1159473&mirid=5