Rare Event Simulation for a Generalized Hawkes Process. (with Zhang, X., Glynn, P. and Giesecke, K.)

Summary:

This paper develops rare event simulation methodology for the number of counts in a self-excited counting process that is often used in credit-risk modeling. Namely, the so-called Hawkes process.

Bibtex:

@INPROCEEDINGS {ZhangGlyGieBla10,

AUTHOR={X. Zhang and P. Glynn and K. Giesecke and J. Blanchet},

YEAR={2010},

TITLE={Rare event simulation for a generalized Hawkes process},

BOOKTITLE={Proceedings of the 2009 Winter Simulation Conference},

EDITOR={M. D. Rossetti, R. R. Hill, B. Johansson, A. Dunkin, and R. G. Ingalls},

PUBLISHER={IEEE Press},

PAGES={1291-1298}

}