| Publication | Date of Publication | Type |
|---|
Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
ASTIN Bulletin | 2025-01-22 | Paper |
Consistent asset modelling with random coefficients and switches between regimes
Mathematics and Computers in Simulation | 2025-01-09 | Paper |
Accelerated computations of sensitivities for xVA*
International Journal of Computer Mathematics | 2024-10-28 | Paper |
A multi-curve HJM factor model for pricing and risk management
Quantitative Finance | 2023-12-14 | Paper |
Randomization and the valuation of guaranteed minimum death benefits
European Journal of Operational Research | 2023-07-10 | Paper |
Pricing energy quanto options in the framework of Markov-modulated additive processes
IMA Journal of Management Mathematics | 2023-02-14 | Paper |
SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION
International Journal of Theoretical and Applied Finance | 2022-11-16 | Paper |
Cheapest-to-deliver collateral: a common factor approach
Quantitative Finance | 2022-05-27 | Paper |
Optimal annuitisation in a deterministic financial environment
Decisions in Economics and Finance | 2021-08-10 | Paper |
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
ASTIN Bulletin | 2020-12-13 | Paper |
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
On barrier option pricing by Erlangization in a regime-switching model with jumps
Journal of Computational and Applied Mathematics | 2020-02-18 | Paper |
A self-exciting switching jump diffusion: properties, calibration and hitting time
Quantitative Finance | 2019-09-26 | Paper |
Explosion time for some Laplace transforms of the Wishart process
Stochastic Models | 2019-05-15 | Paper |
Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
Applied Stochastic Models in Business and Industry | 2019-03-07 | Paper |
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Multivariate FX models with jumps: triangles, quantos and implied correlation
European Journal of Operational Research | 2018-05-29 | Paper |
Multivariate European option pricing in a Markov-modulated Lévy framework
Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Default probabilities of a holding company, with complete and partial information
Journal of Computational and Applied Mathematics | 2015-08-26 | Paper |
On an optimization problem related to static super-replicating strategies
Journal of Computational and Applied Mathematics | 2014-11-27 | Paper |
Pricing variable annuity guarantees in a local volatility framework
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
ASTIN Bulletin | 2014-06-11 | Paper |
Risk theory and reinsurance. Translated from the French by Urmie Ray
EAA Series | 2013-10-09 | Paper |
An overview of comonotonicity and its applications in finance and insurance
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Vanna-Volga methods applied to FX derivatives: from theory to market practice
International Journal of Theoretical and Applied Finance | 2011-01-20 | Paper |
Moment matching approximation of Asian basket option prices
Journal of Computational and Applied Mathematics | 2010-05-17 | Paper |
Pricing and hedging Asian basket spread options
Journal of Computational and Applied Mathematics | 2010-03-04 | Paper |
Optimal design of the guarantee for defined contribution funds
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
Bounds for Asian basket options
Journal of Computational and Applied Mathematics | 2008-07-11 | Paper |
Static super-replicating strategies for a class of exotic options
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Risk management of a bond portfolio using options
Insurance Mathematics & Economics | 2007-12-14 | Paper |
Managing value-at-risk for a bond using bond put options
Computational Economics | 2007-08-17 | Paper |
Bounds for the price of discrete arithmetic Asian options
Journal of Computational and Applied Mathematics | 2005-10-26 | Paper |
Bounds for the price of a European-style Asian option in a binary tree model
European Journal of Operational Research | 2005-10-17 | Paper |
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
Insurance Mathematics & Economics | 2005-01-13 | Paper |
Pricing of arithmetic basket options by conditioning.
Insurance Mathematics & Economics | 2004-05-27 | Paper |
Optimal investment strategies in the presence of a minimum guarantee.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Long-Term Returns in Stochastic Interest Rate Models: Applications
ASTIN Bulletin | 2003-09-12 | Paper |
Dual formulation of the utility maximization problem under transaction costs
The Annals of Applied Probability | 2003-05-06 | Paper |
Optimal investment strategies in a CIR framework
Journal of Applied Probability | 2002-07-18 | Paper |
Conditional dominance criteria: Definition and application to risk-management
Insurance Mathematics & Economics | 2000-05-08 | Paper |
| scientific article; zbMATH DE number 1336609 (Why is no real title available?) | 1999-09-14 | Paper |
| Convergence of discretized stochastic (interest rate) processes with stochastic drift term | 1999-03-14 | Paper |
| Long-term returns in stochastic interest rate models: different convergence results | 1999-03-14 | Paper |
Long-term returns in stochastic interest rate models: convergence in law
Stochastics and Stochastic Reports | 1998-05-04 | Paper |
Long-term returns in stochastic interest rate models
Insurance Mathematics & Economics | 1996-01-15 | Paper |
Remarks on “boundary crossing result for brownian motion”
Blätter der DGVFM | 1995-06-30 | Paper |
| scientific article; zbMATH DE number 764440 (Why is no real title available?) | 1995-06-14 | Paper |
Remarks on the methodology introduced by Goovaerts et al
Insurance Mathematics & Economics | 1993-05-16 | Paper |
