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Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
  • 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds193 cited
  • 2007A forward scheme for backward SDEs186 cited
  • 1995On Portfolio Optimization under “Drawdown” Constraints159 cited
  • 2010Interest Rate Models An Introduction156 cited
  • 2002Numberical Method for Backward Stochastic Differential Equations154 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 2004Optimal portfolio management with American capital guarantee116 cited
  • 2006Risk-neutral valuation of participating life insurance contracts88 cited
  • 2010Backward stochastic differential equations with time delayed generators—results and counterexamples

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84 cited
  • 2004A Lévy process-based framework for the fair valuation of participating life insurance contracts79 cited
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