赵宏飙

金融工程、风险管理、资产定价、保险精算、随机过程、计算金融 等数量金融交叉领域

详见个人主页:http://hongbiaozhao.weebly.com/

详见个人主页: http://hongbiaozhao.weebly.com/

• Exact Simulation of Quadratic Intensity Models,      with Angelos Dassios, Anxin Liu, Yan Qu
       ​- forthcoming at INFORMS Journal on Computing (featured      article)​

• Market Probability of Interest Rate Tick Movements, with      Zhanyu Chen, Anxin Liu, Kai Zhang
       - Journal of Derivatives,      32(3), 140-187, 2025
       - Best Paper Award of 6th China's Youth Forum on Derivatives,      2023​​

• ​Shot-noise Cojumps: Exact Simulation and Option      Pricing, with Angelos Dassios, Yan      Qu    [.PDF]
       ​- Journal of the Operational Research Society, 74(3), 647-665​,      2023

• Securitization of Assets with Payment Delay Risk: A      Financial Innovation in the Real Estate Market,      with Chao Ma, Hao      Zhang    [.PDF]
       - Journal of Futures Markets, 43(4), 480-515,      2023​
       ​​- presented at AEA Annual Meeting,      2021

• A Cox Model for Gradually Disappearing Events, with Angelos      Dassios, Jiwook Jang, Yan Qu    [.PDF]
       - Probability in the Engineering and      Informational Sciences, 37(1), 214-231,      2023​

• A Skellam Market Model for Loan Prime Rate Options,      with Zhanyu Chen, Kai Zhang         [.PDF]
       - Journal of Futures Markets,      42(3), 525-551, 2022​​

• Exact Simulation of Extrinsic Stress-Release Processes,      with Young Lee, Patrick Laub, Thomas Taimre, Jiancang Zhuang         [.PDF]
       - Journal of Applied Probability,      59(1), 105-117, 2022

• Random Variate Generation for Exponential and Gamma Tilted      Stable Distributions,      with Angelos Dassios, Yan Qu    [.PDF]
       - ACM Transactions on      Modeling and Computer Simulation, 31(4), 1-21, 2021

• Exact Simulation of Ornstein-Uhlenbeck Tempered Stable      Processes, with Angelos      Dassios, Yan Qu    [.PDF]
       - Journal of Applied Probability,      58(2), 347-371, 2021

• A Two-phase Dynamic Contagion Model for COVID-19, with Zezhun      Chen, Angelos Dassios, Valerie Kuan​, Jia Wei Lim, Yan      Qu, Budhi Surya         [.PDF]         [.HTML]
       ​- Results in Physics, 26, 104264, July​, 2021

• Exact Simulation of Gamma-driven Ornstein-Uhlenbeck      Processes with Finite and Infinite Activity Jumps,      with Angelos Dassios, Yan Qu    [.PDF]
       - Journal of the Operational Research Society, 72(2), 471-484, 2021

• Efficient Simulation of Lévy-driven Point Processes,      with Angelos Dassios, Yan Qu    [.PDF]
       - Advances in Applied Probability,      51(4), 927-966, 2019
       - presented at 10th World Congress of the Bachelier Finance Society,      2018
       - Excellent Paper Award of FSERM 2017​

• A Generalised CIR Process with Externally-exciting and      Self-exciting Jumps and its Applications in Insurance and Finance, with Angelos      Dassios, Jiwook Jang    [.PDF]
       - Risks, 7(4),      103, 2019

• Moments of Renewal Shot-noise Processes and their      Applications, with Angelos      Dassios, Jiwook Jang    [.PDF]
       - Scandinavian Actuarial Journal,      2018(8), 727-752, 2018

• Exact Simulation for a Class of Tempered Stable and Related      Distributions,      with Angelos Dassios, Yan Qu         [.PDF]
       - ACM Transactions on      Modeling and Computer Simulation, 28(3),      20:1-20:21, 2018

• Efficient Simulation of Clustering Jumps with CIR Intensity,with      Angelos Dassios    [.PDF]
       - Operations Research,      Financial Engineering Area, 65(6), 1494-1515, 2017

• A Generalised Contagion Process with an Application to      Credit Risk, with      Angelos Dassios    [.PDF]
  - International Journal of Theoretical and Applied Finance,      20(1), 1-33, 2017

• Simulation and Calibration of a Fully      Bayesian Marked Multidimensional Hawkes Process with Dissimilar Decays,
          with Kar Wai Lim, Young      Lee, Leif Hanlen         [.PDF]
       - Journal of Machine      Learning Research, W&CP, 63,      238-253, 2016 ​
       - Best Paper Award, The 8th Asian Conference on Machine Learning (ACML),       2016

• A Risk Model with Renewal Shot-noise Cox Process,      with Angelos Dassios, Jiwook Jang    [.PDF]
  - Insurance: Mathematics and Economics,      65, 55-65, 2015

• A Markov Chain Model for Contagion, with      Angelos Dassios    [.PDF]
  - Risks, 2(4), 434-455,      2014  (invited publication)

• Exact Simulation      of Hawkes Process with Exponentially Decaying Intensity,      with Angelos Dassios    [.PDF]
  - Electronic Communications in Probability,      18(62), 1-13, 2013
  - featured by Wolfram MathWorld

• A Risk Model with Delayed Claims,      with Angelos Dassios    [.PDF]
  - Journal of Applied Probability,      50(3), 686-702, 2013

• Ruin by Dynamic      Contagion Claims, with      Angelos Dassios    [.PDF]
  - Insurance: Mathematics and Economics,      51(1), 93-106, 2012

• A Dynamic Contagion Process,      with Angelos Dassios    [.PDF]          
  - Advances in Applied Probability,      43(3), 814-846, 2011
  - presented at LSE      PhD Student Poster Exhibition, 2011    [.PDF]
       - presented at 6th World Congress of the Bachelier      Finance Society, 2010