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subject:"Option pricing theory"
~person:"Dhaene, Jan"
~person:"Molent, Andrea"
~person:"Platen, Eckhard"
~subject:"Hedging"
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Search: subject_exact:"Mathematical finance"
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Option pricing theory
Hedging
Finanzmathematik
17
Mathematical finance
15
Optionspreistheorie
10
Stochastischer Prozess
8
Actuarial mathematics
7
Stochastic process
7
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Dhaene, Jan
Molent, Andrea
Platen, Eckhard
Härdle, Wolfgang
10
Franke, Jürgen
8
Hafner, Christian M.
8
Wilmott, Paul
7
Barigou, Karim
5
Belomestny, Denis
5
Korn, Ralf
5
Schoutens, Wim
5
Seydel, Rüdiger
5
Alexander, Carol
4
Delong, Łukasz
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
4
Madan, Dilip B.
4
Reiß, Markus
4
Schied, Alexander
4
Shevchenko, Pavel V.
4
Yor, Marc
4
Černý, Aleš
4
Baaquie, Belal E.
3
Beinker, Mark
3
Capiński, Marek
3
Cvitanić, Jakša
3
Deelstra, Griselda
3
Heidorn, Thomas
3
Henrotte, Philippe
3
Henry-Labordère, Pierre
3
Kohatsu-Higa, Arturo
3
Lee, Cheng F.
3
Musiela, Marek
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Insurance / Mathematics & economics
3
ASTIN bulletin : the journal of the International Actuarial Association
1
Advanced mathematical methods for finance
1
Astin bulletin : the journal of the International Actuarial Association
1
Computational Management Science : CMS
1
Decisions in economics and finance : a journal of applied mathematics
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Scandinavian actuarial journal
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ECONIS (ZBW)
12
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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
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:
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
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
Barigou, Karim
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2019
(
2019
)
2
,
pp. 163-187
Persistent link: https://www.econbiz.de/10012194944
Saved in:
6
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:
7
Real world pricing of long term cash-linked annuities and equity-linked annuities with cash-linked guarantees
Fergusson, Kevin
;
Platen, Eckhard
-
2013
Persistent link: https://www.econbiz.de/10010213176
Saved in:
8
Fair valuation of insurance liabilities : merging actuarial judgement and market-consistency
Dhaene, Jan
;
Stassen, Ben
;
Barigou, Karim
;
Linders, Daniël
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 14-27
Persistent link: https://www.econbiz.de/10011774764
Saved in:
9
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:
10
An overview of comonotonicity and its applications in finance and insurance
Deelstra, Griselda
;
Dhaene, Jan
;
Vanmaele, Michèle
- In:
Advanced mathematical methods for finance
,
(pp. 155-179)
.
2011
Persistent link: https://www.econbiz.de/10008991312
Saved in:
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