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subject:"Option pricing theory"
~person:"Kohatsu-Higa, Arturo"
~person:"Molent, Andrea"
~subject:"Hedging"
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Option pricing theory
Hedging
Finanzmathematik
9
Mathematical finance
9
Optionspreistheorie
7
Stochastic process
7
Stochastischer Prozess
7
Interest rate
4
Theorie
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Theory
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Zins
4
Analysis
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Mathematical analysis
3
Volatility
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Volatilität
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Zinsstruktur
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GMWB pricing
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Optimal withdrawal
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GLWB pricing
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Gaussian process regression
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Kohatsu-Higa, Arturo
Molent, Andrea
Härdle, Wolfgang
10
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
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
Lee, Cheng F.
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
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Musiela, Marek
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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
Insurance / Mathematics & economics
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
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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
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
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:
5
Local vega index and variance reduction methods
Bermin, Hans-Peter
;
Kohatsu-Higa, Arturo
;
Montero, Miquel
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 85-97
Persistent link: https://www.econbiz.de/10001765651
Saved in:
6
Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume
;
Gobet, Emmanuel
;
Kohatsu-Higa, Arturo
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 99-113
Persistent link: https://www.econbiz.de/10001765655
Saved in:
7
Malliavin calculus in finance
Kohatsu-Higa, Arturo
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001747498
Saved in:
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