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subject:"Option pricing theory"
~person:"Madan, Dilip B."
~person:"Molent, Andrea"
~subject:"Hedging"
~subject:"Stochastic interest rate"
~type_genre:"Article in journal"
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Option pricing theory
Hedging
Stochastic interest rate
Finanzmathematik
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Madan, Dilip B.
Molent, Andrea
Barigou, Karim
4
Delong, Łukasz
4
Dhaene, Jan
4
Bayraktar, Erhan
2
Bermin, Hans-Peter
2
Chevalier, Etienne
2
Fournié, Éric
2
Goudenège, Ludovic
2
Kohatsu-Higa, Arturo
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Lim, Thomas
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Luo, Xiaolin
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Reyners, Sofie
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Schoutens, Wim
2
Shevchenko, Pavel V.
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Siu, Tak Kuen
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Yamazaki, Kazutoshi
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Černý, Aleš
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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
1
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ECONIS (ZBW)
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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
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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
Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan
;
Madan, Dilip B.
;
Reyners, Sofie
; …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
Saved in:
5
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
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