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~person:"Chevalier, Etienne"
~person:"Mataramvura, Sure"
~person:"Sun, Zhongyang"
~subject:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
5
Stochastic process
5
Stochastischer Prozess
5
backward stochastic differential equation
5
Analysis
4
Mathematical analysis
4
Variable annuities
4
indifference pricing
4
utility maximization
4
Finanzmathematik
2
Lebensversicherung
2
Life insurance
2
Mathematical finance
2
Portfolio selection
2
Portfolio-Management
2
Private Altersvorsorge
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Private retirement provision
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Volatility
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Volatilität
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insurance
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stochastic control
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Asset-liability management
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Backward stochastic differential equation
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CIR process
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Compensated Poisson Jump
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Control theory
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Efficient frontier
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Efficient strategy
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Fourier Transform
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Kontrolltheorie
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Martingal
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Martingale
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Mean-variance criterion
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Reinsurance
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Rückversicherung
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Stochastic Differential Equation
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affine diffusion
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efficient strategy and efficient frontier
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mean-variance criterion
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Chevalier, Etienne
Mataramvura, Sure
Sun, Zhongyang
Hess, Markus
7
Giribone, Pier Giuseppe
4
Bottasso, Anna
3
Fusaro, Michelangelo
3
Kohlmann, Michael
3
Tissone, Alessio
3
Kurbanmuradov, O.
2
Lim, Thomas
2
Sabelfeld, K.
2
Schoenmakers, John
2
Shen, Yang
2
Tang, Shanjian
2
Ackora-Prah, Joseph
1
Andam, Perpetual Saah
1
Baczynski, Jack
1
Belak, Christoph
1
Bishwal, Jaya Prakasah Narayan
1
Blanchet-Scalliet, Christophette
1
Bruno, Lorenzo
1
Cohen, Samuel N.
1
Cui, Zhenyu
1
Degiannakis, Stavros
1
Ganesan, Narayan
1
Guo, Junyi
1
Guyon, Julien
1
Hientzsch, Bernhard
1
Hu, Yijun
1
Ji, Huang
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Kharroubi, Idris
1
Kirkby, J. Lars
1
Klimsiak, Tomasz
1
Kouritzin, Michael A.
1
Li, Danping
1
Li, Peter
1
Li, Zhe
1
Liang, Jian
1
Liu, Yong-Jun
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Applied mathematical finance
1
International journal of theoretical and applied finance
1
Journal of mathematical finance
1
Mathematical methods of operations research
1
Scandinavian actuarial journal
1
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Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
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2
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Saved in:
3
Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah
;
Ackora-Prah, Joseph
; …
- In:
Journal of mathematical finance
7
(
2017
)
3
,
pp. 633-656
Persistent link: https://www.econbiz.de/10011752419
Saved in:
4
Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
Saved in:
5
Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette
;
Chevalier, Etienne
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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