Katja Ignatieva

Available identifiers

zbMath Open ignatieva.katjaMaRDI QIDQ342245

List of research outcomes

Publication	Date of Publication	Type
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices	2025-01-20	Paper
Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging	2024-06-11	Paper
Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals	2023-04-19	Paper
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures	2021-11-19	Paper
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method	2019-09-26	Paper
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index	2019-09-13	Paper
Conditional tail risk measures for the skewed generalised hyperbolic family	2019-05-23	Paper
A Hybrid Model for Pricing and Hedging of Long-dated Bonds	2018-09-18	Paper
FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY	2018-06-05	Paper
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality	2016-12-13	Paper
Modeling spot price dependence in Australian electricity markets with applications to risk management	2016-11-17	Paper
A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets	2016-01-19	Paper
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions	2015-12-14	Paper
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities	2015-01-28	Paper
A tractable model for indices approximating the growth optimal portfolio	2014-03-21	Paper
Estimating the diffusion coefficient function for a diversified world stock index	2012-07-16	Paper
Modelling co-movements and tail dependency in the international stock market via copulae	2010-10-06	Paper

Research outcomes over time

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