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  • Search: person:"Coleman, T.F."
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Year of publication
Subject
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Hedging 2 Option pricing theory 2 Optionspreistheorie 2 Risiko 2 Risk 2 Theorie 2 Theory 2 Black-Scholes model 1 Black-Scholes-Modell 1 Computerized method 1 Computerunterstützung 1 Derivat 1 Derivative 1 Jump diffusion 1 Lebensversicherung 1 Life insurance 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Transaction costs 1 Transaktionskosten 1 Volatility 1 Volatilität 1
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Undetermined 2
Type of publication
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Article 11
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
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Undetermined 7 English 4
Author
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Coleman, T. F. 6 Coleman, T.F. 5 Li, Y. 5 Alexander, S. 3 Kim, Y. 3 Li, Yuying 3 Patron, M. 3 Verma, A. 3 Windcliff, H. 3 Forsyth, P.A. 2 Forsyth, Peter A. 2 Vetzal, K.R. 2 Forsyth, P. A. 1 He, C. 1 He, Changhong 1 Kennedy, J. S. 1 Kennedy, J.S. 1 Vetzal, K. R. 1 Vetzal, Kenneth R. 1
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Published in...
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Journal of banking & finance 2 Journal of economic dynamics & control 2 Review of derivatives research 2 The journal of risk and insurance : the journal of the American Risk and Insurance Association 2 Journal of Banking & Finance 1 Journal of Economic Dynamics and Control 1 Journal of Risk & Insurance 1
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Source
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ECONIS (ZBW) 4 OLC EcoSci 4 RePEc 3
Showing 1 - 10 of 11
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Robustly hedging variable annuities with guarantees under jump and volatility risks
Coleman, T. F.; Kim, Y.; Li, Yuying; Patron, M. - In: The journal of risk and insurance : the journal of the … 74 (2007) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10003483852
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Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks
Coleman, T.F.; Kim, Y.; Li, Y.; Patron, M. - In: The journal of risk and insurance : the journal of the … 74 (2007) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10007735208
Saved in:
Cover Image
Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks
Coleman, T. F.; Kim, Y.; Li, Y.; Patron, M. - In: Journal of Risk & Insurance 74 (2007) 2, pp. 347-376
Recent variable annuities offer participation in the equity market and attractive protection against downside movements. Accurately quantifying this additional equity market risk and robustly hedging options embedded in the guarantees of variable annuities are new challenges for insurance...
Persistent link: https://www.econbiz.de/10005683358
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Calibration and hedging under jump diffusion
He, Changhong; Kennedy, J. S.; Coleman, T. F.; Forsyth, … - In: Review of derivatives research 9 (2006) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
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Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.; Coleman, T. F.; Li, Yuying - In: Journal of banking & finance 30 (2006) 2, pp. 583-605
Persistent link: https://www.econbiz.de/10003291325
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Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.; Coleman, T.F.; Li, Y. - In: Journal of Banking & Finance 30 (2006) 2, pp. 583-605
Persistent link: https://www.econbiz.de/10005213352
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Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.; Coleman, T.F.; Li, Y. - In: Journal of banking & finance 30 (2006) 2, pp. 583-606
Persistent link: https://www.econbiz.de/10005878626
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Calibration and hedging under jump diffusion
He, C.; Kennedy, J.S.; Coleman, T.F.; Forsyth, P.A.; Li, Y. - In: Review of derivatives research 9 (2006) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10007600251
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An object-oriented framework for valuing shout options on high-performance computer architectures
Windcliff, H.; Vetzal, Kenneth R.; Forsyth, Peter A.; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133-1161
Persistent link: https://www.econbiz.de/10001734585
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An object-oriented framework for valuing shout options on high-performance computer architectures
Windcliff, H.; Vetzal, K.R.; Forsyth, P.A.; Verma, A.; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133
Persistent link: https://www.econbiz.de/10006764030
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