The following pages link to Katja Ignatieva (Q342245):
Displaying 17 items.
- Modeling spot price dependence in Australian electricity markets with applications to risk management (Q342246) (← links)
- Estimating the diffusion coefficient function for a diversified world stock index (Q434882) (← links)
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions (Q896761) (← links)
- A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets (Q905391) (← links)
- Modelling co-movements and tail dependency in the international stock market via copulae (Q1959136) (← links)
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index (Q2324152) (← links)
- Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities (Q2513624) (← links)
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456) (← links)
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (Q2665869) (← links)
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals (Q2699605) (← links)
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds (Q4682485) (← links)
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (Q5234308) (← links)
- A tractable model for indices approximating the growth optimal portfolio (Q5404067) (← links)
- FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) (← links)
- Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging (Q6553232) (← links)
- Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices (Q6667009) (← links)
