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~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of empirical finance"
~person:"Melʹnikov, Aleksandr V."
~person:"Weng, Chengguo"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Hedging
4
Option pricing theory
4
Portfolio selection
3
Portfolio-Management
3
Lebensversicherung
2
Life insurance
2
Quantile hedging
2
Volatility
2
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Bachelier model
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Call option
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Default
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Derivat
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Derivatives trading
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Equity-linked life insurance
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Equity-linked life insurance contract
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European options
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Financial investment
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HJB equations
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Hedging costs
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Investment–reinsurance
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Kapitalanlage
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Mean-variance
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Optimal hedging
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Option trading
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Optionsgeschäft
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Risiko
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Risk
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Stochastic control
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Melʹnikov, Aleksandr V.
Weng, Chengguo
Pelsser, Antoon André Jean
5
Shen, Yang
5
Ziveyi, Jonathan
5
Siu, Tak Kuen
4
Yang, Hailiang
4
Dhaene, Jan
3
Feng, Runhuan
3
Gerber, Hans U.
3
Palmowski, Zbigniew
3
Shiu, Elias S. W.
3
Tunaru, Radu
3
Yamazaki, Kazutoshi
3
Bo, Lijun
2
Chen, Ping
2
Costabile, Massimo
2
Deelstra, Griselda
2
Delong, Łukasz
2
Fusai, Gianluca
2
Godin, Frédéric
2
Grasselli, Martino
2
Hainaut, Donatien
2
Hao, Xuemiao
2
Kang, Boda
2
Landriault, David
2
Li, Bin
2
Li, Xuan
2
Li, Zhongfei
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Liang, Zongxia
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Lin, X. Sheldon
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Palmowski, Z.
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Plat, Richard
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Pérez, José-Luis
2
Schmeiser, Hato
2
Sherris, Michael
2
Shimizu, Yasutaka
2
Stentoft, Lars
2
Trottier, Denis-Alexandre
2
Wang, Yongjin
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Insurance / Mathematics & economics
Journal of empirical finance
International journal of theoretical and applied finance
2
Mathematics and financial economics
2
Risk and decision analysis
2
Translations of mathematical monographs
2
Annals of finance
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion papers of interdisciplinary research project 373
1
Operations research letters
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Optimality and risk - modern trends in mathematical finance : the Kabanov Festschrift
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Scandinavian actuarial journal
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ECONIS (ZBW)
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1
Bachelier model with stopping time and its insurance application
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
Saved in:
2
Derivatives trading for insurers
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 40-53
Persistent link: https://www.econbiz.de/10011990431
Saved in:
3
Optimal hedging with basis risk under mean-variance criterion
Zhang, Jingong
;
Tan, Ken Seng
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011740687
Saved in:
4
Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.
;
Tong, Shuo
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 77-88
Persistent link: https://www.econbiz.de/10010437626
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