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subject:"Option pricing theory"
~person:"Molent, Andrea"
~person:"Musiela, Marek"
~subject:"Stochastic volatility"
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Option pricing theory
Stochastic volatility
Finanzmathematik
7
Optionspreistheorie
7
Mathematical finance
6
Interest rate
5
Stochastic process
5
Stochastischer Prozess
5
Zins
5
Hedging
3
Volatility
3
Volatilität
3
Yield curve
3
Zinsstruktur
3
Financial market
2
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GMWB pricing
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Optimal withdrawal
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Derivat <Wertpapier>
1
Financial economics
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GLWB pricing
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Interaction between academia and industry
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Martingale
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English
7
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Molent, Andrea
Musiela, Marek
Härdle, Wolfgang
10
Franke, Jürgen
8
Hafner, Christian M.
8
Wilmott, Paul
7
Belomestny, Denis
5
Korn, Ralf
5
Schoutens, Wim
5
Seydel, Rüdiger
5
Alexander, Carol
4
Deutsch, Hans-Peter
4
Dhaene, Jan
4
Elliott, Robert J.
4
Fabozzi, Frank J.
4
Fusai, Gianluca
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
Shevchenko, Pavel V.
4
Yor, Marc
4
Černý, Aleš
4
Baaquie, Belal E.
3
Barigou, Karim
3
Beinker, Mark
3
Capiński, Marek
3
Cvitanić, Jakša
3
Deelstra, Griselda
3
Delong, Łukasz
3
Heidorn, Thomas
3
Henrotte, Philippe
3
Kohatsu-Higa, Arturo
3
Prohl, Silke
3
Račev, Svetlozar T.
3
Reyners, Sofie
3
Ross, Sheldon M.
3
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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
Finance and stochastics
1
Handbooks in mathematical finance
1
Insurance / Mathematics & economics
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ECONIS (ZBW)
7
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1
My journey through finance and stochastics
Musiela, Marek
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 33-58
Persistent link: https://www.econbiz.de/10012796468
Saved in:
2
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:
3
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:
4
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:
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
Saved in:
6
Martingale methods in financial modelling
Musiela, Marek
;
Rutkowski, Marek
-
2005
-
2. ed
Persistent link: https://www.econbiz.de/10001928235
Saved in:
7
Option pricing, interest rates and risk management
Jouini, Elyès
(
ed.
);
Cvitanić, Jakša
(
contributor
); …
-
2001
-
1. publ.
Persistent link: https://www.econbiz.de/10001584028
Saved in:
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