| Publication | Date of Publication | Type |
|---|
Efficient pricing of interest rate derivatives under a sticky diffusion
Journal of Computational and Applied Mathematics | 2026-06-03 | Paper |
Pricing a guaranteed annuity option under a stochastic correlation setting
Stochastic Analysis and Applications | 2026-05-12 | Paper |
| A lattice approach to evaluate participating policies in a stochastic interest rate framework | 2026-04-22 | Paper |
Combining lattice and regression methods for the evaluation of convertible bonds with soft call/put provisions
Journal of Computational and Applied Mathematics | 2026-01-13 | Paper |
A lattice-based algorithm for pricing derivatives in a fractional Brownian motion framework
Annals of Finance | 2025-12-16 | Paper |
A lattice-based approach for life insurance pricing in a stochastic correlation framework
Mathematics and Computers in Simulation | 2025-07-23 | Paper |
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint
Computational Management Science | 2023-12-14 | Paper |
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
Communications in Nonlinear Science and Numerical Simulation | 2023-02-16 | Paper |
A lattice approach to evaluate participating policies in a stochastic interest rate framework
Journal of Computational and Applied Mathematics | 2021-02-03 | Paper |
A shifted tree model for the efficient evaluation of options with fixed dividends
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Computing finite-time survival probabilities using multinomial approximations of risk models
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
| A fast and accurate lattice model to evaluate options under the variance gamma process | 2015-12-11 | Paper |
Option pricing under regime-switching jump-diffusion models
Journal of Computational and Applied Mathematics | 2015-06-16 | Paper |
Fair valuation of equity-linked policies under insurer default risk
North American Actuarial Journal | 2014-07-19 | Paper |
A multistage stochastic programming approach for capital budgeting problems under uncertainty
IMA Journal of Management Mathematics | 2013-03-12 | Paper |
On pricing contingent claims under the double Heston model
International Journal of Theoretical and Applied Finance | 2012-10-15 | Paper |
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
On pricing arithmetic average reset options with multiple reset dates in a lattice framework
Journal of Computational and Applied Mathematics | 2011-08-02 | Paper |
A binomial approximation for two-state Markovian HJM models
Review of Derivatives Research | 2011-05-27 | Paper |
Computationally simple lattice methods for option and bond pricing
Decisions in Economics and Finance | 2009-11-16 | Paper |
A binomial model for valuing equity-linked policies embedding surrender options
Insurance Mathematics & Economics | 2008-06-25 | Paper |
On pricing lookback options under the CEV process
Decisions in Economics and Finance | 2007-05-24 | Paper |
A combinatorial approach for pricing Parisian options.
Decisions in Economics and Finance | 2003-03-19 | Paper |
A discrete-time algorithm for pricing double barrier options.
Decisions in Economics and Finance | 2002-10-21 | Paper |
| scientific article; zbMATH DE number 1444525 (Why is no real title available?) | 2000-06-22 | Paper |
