In this article, we focus on death-linked contingent claims (GMDBs) paying a random financial return at a random time of death in the general case where financial returns follow a regime switching model with two-sided phase-type jumps. We approximate the distribution of the remaining lifetime by...

Optimal timing for annuitization is developed along three approaches. Firstly, the mutual fund in which the individual invests before annuitization is modeled by a jump diffusion process. Secondly, instead of maximizing an economic utility, the stopping time is used to maximize the market value...

We consider non mean-reverting Wishart processes and we study the problem of determining the smallest time such that the Laplace transforms of the process and its integral become infinite. Thanks to the remarkable property of (affine) Wishart processes to reproduce non-trivial dependence among...

In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of...

We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and obtain several results that can be used for the calibration...

In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian...