| Publication | Date of Publication | Type |
|---|
A note on portfolios of averages of lognormal variables
Insurance Mathematics & Economics | 2023-10-12 | Paper |
Annuity and insurance choice under habit formation
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Asset allocation with hedge funds on the menu
North American Actuarial Journal | 2022-01-10 | Paper |
Improving Risk Sharing and Borrower Incentives in Mortgage Design
North American Actuarial Journal | 2019-12-18 | Paper |
Positive weights on the efficient frontier
North American Actuarial Journal | 2019-05-28 | Paper |
Short Positions in the First Principal Component Portfolio
North American Actuarial Journal | 2018-06-20 | Paper |
| Correlation matrices with the Perron Frobenius property | 2018-06-15 | Paper |
Application of high-precision computing for pricing arithmetic Asian options
Proceedings of the 2006 international symposium on Symbolic and algebraic computation | 2017-02-03 | Paper |
Pricing Bermudan options using low-discrepancy mesh methods
Quantitative Finance | 2014-02-20 | Paper |
Optimal design of equity-linked products with a probabilistic constraint
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
The design of equity-indexed annuities
Insurance Mathematics & Economics | 2009-01-16 | Paper |
Computation of optimal portfolios using simulation-based dimension reduction
Insurance Mathematics & Economics | 2009-01-16 | Paper |
Prices and sensitivities of Asian options: A survey
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Pricing Options Using Lattice Rules
North American Actuarial Journal | 2008-08-12 | Paper |
PORTFOLIO MANAGEMENT WITH CONSTRAINTS
Mathematical Finance | 2007-11-21 | Paper |
Pricing exotic options under regime switching
Insurance Mathematics & Economics | 2007-09-03 | Paper |
| Derivatives: the tools that changed finance. | 2006-12-21 | Paper |
| Portfolio selection with skewness | 2006-02-13 | Paper |
Dynamic Fund Protection
North American Actuarial Journal | 2006-01-13 | Paper |
Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
North American Actuarial Journal | 2006-01-13 | Paper |
Optimal Portfolio Selection with Transaction Costs
North American Actuarial Journal | 2006-01-13 | Paper |
The 1/<i>n</i> Pension Investment Puzzle
North American Actuarial Journal | 2006-01-06 | Paper |
Guaranteed Annuity Options
ASTIN Bulletin | 2005-03-30 | Paper |
| scientific article; zbMATH DE number 2051206 (Why is no real title available?) | 2004-03-07 | Paper |
An improved simulation method for pricing high-dimensional American derivatives.
Mathematics and Computers in Simulation | 2003-05-19 | Paper |
Calibrating the Black-Derman-Toy model: some theoretical results
Applied Mathematical Finance | 2002-09-05 | Paper |
An explicit finite difference approach to the pricing of barrier options
Applied Mathematical Finance | 2002-09-04 | Paper |
| scientific article; zbMATH DE number 1790433 (Why is no real title available?) | 2002-08-28 | Paper |
| Monte Carlo methods for security pricing | 2002-08-25 | Paper |
The Riccati equation in mathematical finance.
Journal of Symbolic Computation | 2002-06-11 | Paper |
Volatility estimation from observed option prices
Decisions in Economics and Finance | 2002-03-11 | Paper |
Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing
Mathematical Finance | 2001-11-26 | Paper |
Applications of randomized low discrepancy sequences to the valuation of complex securities
Journal of Economic Dynamics and Control | 2000-10-26 | Paper |
Monte Carlo methods for security pricing
Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
Reserving for maturity guarantees: Two approaches
Insurance Mathematics & Economics | 1998-03-17 | Paper |
Asset allocation with time variation in expected returns
Insurance Mathematics & Economics | 1998-03-17 | Paper |
Quasi-Monte Carlo Methods in Numerical Finance
Management Science | 1997-11-12 | Paper |
| scientific article; zbMATH DE number 762929 (Why is no real title available?) | 1995-06-12 | Paper |
Valuation of derivative securities involving several assets using discrete time methods
Insurance Mathematics & Economics | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 3854747 (Why is no real title available?) | 1984-01-01 | Paper |
The poisson-exponential model and the Non-Central Chi-squared distribution
Scandinavian Actuarial Journal | 1978-01-01 | Paper |
