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Sandmann, Klaus's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,455 |
Total
Citations
38 |
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1.
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Log-Normal Interest Rate Models: Stability and Methodology
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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Posted:
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06 Mar 97
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Last Revised:
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17 May 06
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1,633
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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1,633
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2.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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371
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18
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Asian Option, arbitrage pricing, hedging, Monte Carlo simulation,
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3.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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338
(41,948)
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7
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Life insurance, pension funds, forward risk adjusted measure, Asian option
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4.
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Reimer, Matthias
University of Bonn - Institute of Statistics Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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286
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1
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Barrier option, binomial model, limit results
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5.
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Miltersen, Kristian R.
Copenhagen Business School Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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207
(72,311)
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1
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No-arbitrage restrictions, term structure of interest rates, interest rate futures, change of measure
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6.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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194
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5
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Asian Exchange Rate Option, Forward Risk Adjusted Measure, Stochastic Interest Rates
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7.
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Chen, An
University of Ulm - Department of Mathematics and Economics Pelger, Markus
University of California, Berkeley - Department of Economics Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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29 May 10
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Last Revised:
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12 Nov 12
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166
(89,433)
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Executive Stock Options, Asian Options, Parisian Options
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8.
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Mahayni, Antje Brigitte
Mercator School of Management
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102
(133,509)
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1
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Periodic return guarantees, life insurance, robust hedging
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9.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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97
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5
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Pension funds, forward risk adjusted measure, Asian option
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10.
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Chen, An
University of Ulm - Department of Mathematics and Economics
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19 Oct 09
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Last Revised:
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16 Nov 12
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61
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In-arrears Swaps, In-arrears Caps and Floors, Convexity Adjustments, Pricing Bounds, Risk-neutral Pricing, Change of Measure.
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11.
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Wittke, Manuel
Deloitte & Touche - Financial Risk Solutions
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08 Jun 10
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Last Revised:
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09 Jun 10
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Option pricing and hedging, interest rate risk, exchange rate risk, change of numeraire
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12.
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Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
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Miltersen, Kristian R.
Copenhagen Business School Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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Posted:
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18 Aug 99
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Last Revised:
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17 May 06
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Miltersen, Kristian R.
Copenhagen Business School Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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LIBOR Market, Black Formular
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Miltersen, Kristian R.
Copenhagen Business School Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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13.
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Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics Sondermann, Dieter
University of Bonn - Institute of Statistics
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14.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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15.
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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Life insurance, stochastic interest rates
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16.
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Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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Posted:
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21 May 96
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Last Revised:
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15 May 98
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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Nielsen, J. Aase
University of Aarhus - Department of Theoretical Statistics and Operations Research Sandmann, Klaus
University of Bonn - The Bonn Graduate School of Economics
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