Patrick J. Laub

Personal Details

First Name:	Patrick
Middle Name:	J.
Last Name:	Laub
Suffix:
RePEc Short-ID:	pla1038
	[This author has chosen not to make the email address public]
	http://pat-laub.github.io/

Affiliation

Faculty of Business and Economics
University of Melbourne

Melbourne, Australia
https://fbe.unimelb.edu.au/
RePEc:edi:femelau (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Patrick J. Laub & Thomas Taimre & Philip K. Pollett, 2015. "Hawkes Processes," Papers 1507.02822, arXiv.org.

   Cited by:

   1. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
   2. Qiyue He & Anatoliy Swishchuk, 2019. "Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes," Risks, MDPI, vol. 7(4), pages 1-21, November.
   3. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
   4. Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
   5. Anatoliy Swishchuk & Aiden Huffman, 2018. "General Compound Hawkes Processes in Limit Order Books," Papers 1812.02298, arXiv.org.
   6. Anatoliy Swishchuk, 2017. "General Compound Hawkes Processes in Limit Order Books," Papers 1706.07459, arXiv.org, revised Jun 2017.
   7. Anatoliy Swishchuk & Bruno Remillard & Robert Elliott & Jonathan Chavez-Casillas, 2017. "Compound Hawkes Processes in Limit Order Books," Papers 1712.03106, arXiv.org.
   8. Achraf Bahamou & Maud Doumergue & Philippe Donnat, 2019. "Hawkes processes for credit indices time series analysis: How random are trades arrival times?," Papers 1902.03714, arXiv.org.
   9. Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2019. "Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes," Research Paper Series 404, Quantitative Finance Research Centre, University of Technology, Sydney.
   10. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
   11. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-based Models," Papers 2104.02694, arXiv.org, revised May 2021.
   12. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.
   13. Yvenn Amara-Ouali & Yannig Goude & Pascal Massart & Jean-Michel Poggi & Hui Yan, 2021. "A Review of Electric Vehicle Load Open Data and Models," Energies, MDPI, vol. 14(8), pages 1-35, April.

Articles

1. Laub, Patrick J. & Salomone, Robert & Botev, Zdravko I., 2019. "Monte Carlo estimation of the density of the sum of dependent random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 161(C), pages 23-31.

   Cited by:

   1. Pierre L’Ecuyer & Florian Puchhammer & Amal Ben Abdellah, 2022. "Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1729-1748, May.

2. Søren Asmussen & Patrick J. Laub & Hailiang Yang, 2019. "Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits," Risks, MDPI, vol. 7(1), pages 1-22, February.

   Cited by:

   1. Riccardo De Bin & Vegard Grødem Stikbakke, 2023. "A boosting first-hitting-time model for survival analysis in high-dimensional settings," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 29(2), pages 420-440, April.
   2. Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A., 2023. "Joint lifetime modeling with matrix distributions," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-22, January.
   3. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.
   4. Khouzeima Moutanabbir & Hassan Abdelrahman, 2022. "Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1093-1118, June.
   5. Wenguang Yu & Yaodi Yong & Guofeng Guan & Yujuan Huang & Wen Su & Chaoran Cui, 2019. "Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion," Mathematics, MDPI, vol. 7(9), pages 1-15, September.
   6. Yaodi Yong & Hailiang Yang, 2021. "Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models," Mathematics, MDPI, vol. 9(16), pages 1-21, August.
   7. Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge, 2022. "Mortality modeling and regression with matrix distributions," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 68-87.
   8. Asmussen, Søren & Bladt, Mogens, 2022. "Moments and polynomial expansions in discrete matrix-analytic models," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1165-1188.
   9. Jevgenijs Ivanovs, 2021. "On scale functions for Lévy processes with negative phase-type jumps," Queueing Systems: Theory and Applications, Springer, vol. 98(1), pages 3-19, June.
   10. Boquan Cheng & Rogemar Mamon, 2023. "A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 29(1), pages 142-187, January.

Software components

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More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ECM: Econometrics (1) 2020-09-07. Author is listed
2. NEP-IAS: Insurance Economics (1) 2020-09-07. Author is listed
3. NEP-RMG: Risk Management (1) 2020-09-07. Author is listed

Corrections

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