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Portfolio optimisation with jumps : illustration with a pension accumulation scheme

Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137

Persistent link: https://www.econbiz.de/10011544926

Essays on nonaffine option pricing and random forests in the fields of finance

Wälchli, Boris - 2016

Persistent link: https://www.econbiz.de/10011552510

Numerical analysis on local risk-minimization for exponential Lévy models

Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10011454349

A unified pricing of variable annuity guarantees under the optimal stochastic control framework

Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

Persistent link: https://www.econbiz.de/10011507624