| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Monte Carlo method for backward stochastic differential equations with Hermite martingales |
0 |
0 |
1 |
21 |
0 |
1 |
6 |
110 |
| A comparison of single factor Markov-functional and multi factor market models |
0 |
0 |
1 |
30 |
0 |
0 |
2 |
124 |
| A gradient method for high-dimensional BSDEs |
0 |
1 |
1 |
1 |
0 |
3 |
5 |
5 |
| Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
11 |
| Analytical approximations for prices of swap rate dependent embedded options in insurance products |
0 |
0 |
1 |
48 |
0 |
0 |
2 |
138 |
| EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL |
0 |
0 |
2 |
5 |
0 |
0 |
3 |
25 |
| Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
34 |
| Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility |
0 |
0 |
0 |
22 |
0 |
0 |
4 |
89 |
| Level-Slope-Curvature - Fact or Artefact? |
1 |
1 |
1 |
76 |
1 |
1 |
1 |
288 |
| Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis |
0 |
0 |
2 |
16 |
0 |
1 |
7 |
75 |
| Market Value of Insurance Contracts with Profit Sharing |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Markov-functional interest rate models |
1 |
2 |
9 |
2,199 |
2 |
3 |
23 |
4,567 |
| Mathematical foundation of convexity correction |
2 |
2 |
8 |
85 |
2 |
5 |
17 |
260 |
| Modeling non-monotone risk aversion using SAHARA utility functions |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
101 |
| Narrative-based robust stochastic optimization |
3 |
4 |
4 |
6 |
4 |
5 |
6 |
13 |
| Near-optimal asset allocation in financial markets with trading constraints |
0 |
0 |
0 |
4 |
0 |
1 |
4 |
18 |
| On the Applicability of the Wang Transform for Pricing Financial Risks |
0 |
1 |
1 |
9 |
0 |
1 |
4 |
27 |
| On the Information in the Interest Rate Term Structure and Option Prices |
0 |
0 |
0 |
169 |
0 |
1 |
2 |
426 |
| Optimal dividends and ALM under unhedgeable risk |
0 |
0 |
0 |
8 |
0 |
1 |
2 |
44 |
| PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS |
0 |
1 |
5 |
192 |
3 |
4 |
19 |
386 |
| Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance |
0 |
0 |
1 |
211 |
0 |
0 |
2 |
445 |
| Pricing and hedging guaranteed annuity options via static option replication |
0 |
0 |
0 |
185 |
0 |
0 |
0 |
511 |
| Pricing and hedging in incomplete markets with model uncertainty |
0 |
0 |
2 |
7 |
0 |
0 |
5 |
31 |
| Pricing double barrier options using Laplace transforms |
0 |
0 |
1 |
1,047 |
2 |
3 |
9 |
2,535 |
| Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility |
0 |
2 |
4 |
91 |
0 |
2 |
6 |
253 |
| Robust evaluation of SCR for participating life insurances under Solvency II |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
91 |
| Robust hedging in incomplete markets |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
18 |
| Robust long-term interest rate risk hedging in incomplete bond markets |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
5 |
| Sustainability of participation in collective pension schemes: An option pricing approach |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
41 |
| TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
31 |
| Time-consistent actuarial valuations |
0 |
0 |
0 |
21 |
1 |
1 |
5 |
70 |
| Time-consistent and market-consistent actuarial valuation of the participating pension contract |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
3 |
| Transaction costs and efficiency of portfolio strategies |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
67 |
| Valuation of guaranteed annuity options using a stochastic volatility model for equity prices |
0 |
0 |
0 |
23 |
0 |
0 |
10 |
94 |
| What does a term structure model imply about very long-term interest rates? |
0 |
0 |
1 |
11 |
1 |
1 |
5 |
29 |
| Total Journal Articles |
7 |
14 |
46 |
4,576 |
17 |
37 |
163 |
10,966 |
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