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Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models
16 references·1 citing·31 second hop
Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models (2013)Pricing and Hedging Variable Annuity Guar…Multivariate GARCH Models (2009)Multivariate GARCH ModelsModelling Financial Time Series (2007)Modelling Financial Time Seri…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Investment guarantees : model…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Modelling financial time series (1987)Modelling financial time seri…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Multivariate GARCH models: a surveyMultivariate GARCH models: a …A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework (2016)A Unified Pricing of Variable…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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  • 2016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework24 cited