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~person:"Fergusson, Kevin"
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Portfolio selection
4
Portfolio-Management
4
benchmark approach
3
long-dated equity index options
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minimal market model
3
Benchmark Approach
2
CAPM
2
Growth optimal portfolio
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Option pricing theory
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Sterblichkeit
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Theorie
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Yield curve
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Zins
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Zinsstruktur
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interest rate
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numeraire portfolio
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yield curve
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zero coupon bond
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Actuarial valuation
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Anleihe
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Annuities
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Benchmark approach
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Benchmarking
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Bond
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Diversification
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Estimation
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Firm valuation
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Index futures
1
Index-Futures
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Law of the minimal price
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Fergusson, Kevin
Platen, Eckhard
67
Fernandez, Pablo
10
Baldeaux, Jan
7
Syrstad, Olav
7
Mateus, Cesario
6
Mishra, SK
6
Albala-Bertrand, Jose Miguel
5
Biagini, Francesca
5
Blake, David
5
Caulfield, Tristan
5
Grasselli, Martino
5
Ioannidis, Christos
5
Klingler, Sven
5
Mateus, Irina Bezhentseva
5
Nielsen, Jens Perch
5
Scholz, Michael
5
Todorovic, Natasa
5
Tonks, Ian
5
Antzoulatos, Angelos A.
4
Bode, Sven
4
Cretarola, Alessandra
4
Evstigneev, Igor V.
4
Gnoatto, Alessandro
4
Heath, David
4
Hill, Robert J.
4
Hotchkiss, Julie L.
4
Pavlova, Anna
4
Rendek, Renata
4
Ritschl, Albrecht
4
Rupasingha, Anil
4
Schenk-Hoppé, Klaus Reiner
4
Aguirreamalloa, Javier
3
Babaei, E.
3
Bahaji, Hamza
3
Beißer, Jochen
3
Belay, Alemu Moges
3
Bermejo, Vicente
3
Bernardino, Jorge
3
Bruti-Liberati, Nicola
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Finance Discipline Group, Business School
2
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Research Paper Series / Finance Discipline Group, Business School
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
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ECONIS (ZBW)
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1
Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin
;
Platen, Eckhard
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
Saved in:
2
Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Fergusson, Kevin
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 381-417
Persistent link: https://www.econbiz.de/10012243342
Saved in:
3
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2015
guarantees using longdated derivatives. This paper extends the
benchmark
approach to price and hedge long-dated equity index …
Persistent link: https://www.econbiz.de/10011267814
Saved in:
4
Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344299
Saved in:
5
Stylised Properties of the Interest Rate Term Structure Under The
Benchmark
Approach
Fergusson, Kevin
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2014
specifying the short rate and the discounted stock index under the
benchmark
approach. Comparison with empirical evidence …
Persistent link: https://www.econbiz.de/10011163382
Saved in:
6
Stylised properties of the interest rate term structure under the
benchmark
approach
Fergusson, Kevin
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344800
Saved in:
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