A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal...

… a nice book for researchers and practitioners. … this book can be regarded as a wonderful application of stochastic analysis, as it includes not only detailed theoretical proofs but also practical illustrative examples. With the systematic and feasible numeraire techniques, the book can...

chapter 1 Elements of Finance -- chapter 2 Binomial Models -- chapter 3 Diffusion Models -- chapter 4 Interest Rate Contracts -- chapter 5 Barrier Options -- chapter 6 Lookback Options -- chapter 7 American Options -- chapter 8 Contracts on Three or More Assets: Quantos, Rainbows and "Friends"...