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Bounds for present value functions with stochastic interest rates and stochastic volatility

De Schepper, Ann; Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002

Persistent link: https://www.econbiz.de/10001655514

Stochastic upper bounds for present value functions

Goovaerts, Marc J.; Dhaene, Jan; De Schepper, Ann - In: The journal of risk and insurance : the journal of the … 67 (2000) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10001534101

Non-Affine Stochastic Volatility With Seasonal Trends

Gudmundsson, Hilmar - 2020

We propose a new stochastic volatility model for pricing options on assets that exhibit seasonal trends in volatility. Such assets are prevalent among commodities, with futures on grains and energy being an example. The model is based on the 3/2 stochastic volatility model, but includes a...

Persistent link: https://www.econbiz.de/10012850511

Spectral decomposition of optimal assetliability management

Decamps, Marc; De Schepper, Ann; Goovaerts, Marc J. - In: Journal of economic dynamics & control 33 (2009) 3, pp. 710-724

Persistent link: https://www.econbiz.de/10003817998

On the distribution of life annuities with stochastic interest rates

Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc J. - 2005

Persistent link: https://www.econbiz.de/10002724614

Transform analysis and asset pricing for diffusion processes : a recursive approach

Goovaerts, Marc J.; Laeven, Roger; Shang, Zhaoning - In: The journal of computational finance 16 (2012/13) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009631863

Bivariate stochastic dominance and substitute risk-(in)dependent uilities

Denuit, Michel; Eeckhoudt, Louis R. - In: Decision analysis : a journal of the Institute for … 7 (2010) 3, pp. 302-312

Persistent link: https://www.econbiz.de/10008663475

Almost expectation and excess dependence notions

Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Theory and decision : an international journal for … 79 (2015) 3, pp. 375-401

Persistent link: https://www.econbiz.de/10011377445

Non-differentiable transformations preserving stochastic dominance

Denuit, Michel; Eeckhoudt, Louis R.; Jokung Nguena, Octave - In: Journal of the Operational Research Society : OR 64 (2013) 9, pp. 1441-1446

Persistent link: https://www.econbiz.de/10009788603

Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance

Denuit, Michel; Liu, Liqun - In: Theory and decision : an international journal for … 76 (2014) 2, pp. 287-295

Persistent link: https://www.econbiz.de/10010345255