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subject:"Option pricing theory"
~person:"Delong, Łukasz"
~person:"Molent, Andrea"
~subject:"Hedging"
~subject:"Volatility"
~subject:"Volatilität"
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Option pricing theory
Hedging
Volatility
Volatilität
Finanzmathematik
9
Mathematical finance
9
Optionspreistheorie
7
Stochastic process
6
Stochastischer Prozess
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Delong, Łukasz
Molent, Andrea
Härdle, Wolfgang
13
Franke, Jürgen
8
Hafner, Christian M.
8
Wilmott, Paul
7
Barigou, Karim
5
Belomestny, Denis
5
Dhaene, Jan
5
Korn, Ralf
5
Schoutens, Wim
5
Seydel, Rüdiger
5
Alexander, Carol
4
Deutsch, Hans-Peter
4
Elliott, Robert J.
4
Fabozzi, Frank J.
4
Fusai, Gianluca
4
Föllmer, Hans
4
Kopp, Peter E.
4
Korn, Elke
4
Larcher, Gerhard
4
Luo, Xiaolin
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Madan, Dilip B.
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Reiß, Markus
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Schied, Alexander
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Shevchenko, Pavel V.
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Yor, Marc
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Insurance / Mathematics & economics
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ASTIN bulletin : the journal of the International Actuarial Association
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Astin bulletin : the journal of the International Actuarial Association
1
Bank i kredyt
1
Computational Management Science : CMS
1
Decisions in economics and finance : a journal of applied mathematics
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ECONIS (ZBW)
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1
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
Saved in:
2
Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1001-1035
Persistent link: https://www.econbiz.de/10012307397
Saved in:
3
Fair valuation of insurance liability cash-flow streams in continuous time : applications
Delong, Łukasz
;
Dhaene, Jan
;
Barigou, Karim
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
2
,
pp. 299-333
Persistent link: https://www.econbiz.de/10012056592
Saved in:
4
Fair valuation of insurance liability cash-flow streams in continuous time : theory
Delong, Łukasz
;
Dhaene, Jan
;
Barigou, Karim
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 196-208
Persistent link: https://www.econbiz.de/10012105568
Saved in:
5
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
Saved in:
6
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonio
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
Saved in:
7
Pricing and hedging of variable annuities with state-dependent fees
Delong, Łukasz
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 24-33
Persistent link: https://www.econbiz.de/10010437640
Saved in:
8
Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
Delong, Łukasz
- In:
Bank i kredyt
42
(
2011
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10008906090
Saved in:
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