Abdou Kélani

CEFRA, EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

A General Approach to Compute Standard Risk Measures

International Conference of the French Finance Association (AFFI), May 2011
Number of pages: 20 Posted: 07 May 2011 Last Revised: 15 Nov 2012
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 257 (118,027)

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Risk measures, VaR, CVaR, Jump Diffusion

Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective

in The Journal of Risk and Insurance, 2015
Number of pages: 30 Posted: 08 Mar 2014 Last Revised: 19 Jun 2015
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 168 (176,738)

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Variable Annuities, GMMB, GMDB, GMAB, Pricing, Hedging, Lévy processes

Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective

Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 209-238, 2017
Number of pages: 30 Posted: 06 Feb 2017
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 2 (666,280)
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3.

Pricing Equity Index Annuities with Surrender Options in Four Models

Asia-Pacific Journal of Risk and Insurance, Vol.7, No.2, 2013
Number of pages: 38 Posted: 30 Jan 2012 Last Revised: 21 Apr 2015
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 134 (212,954)

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EIA, Jump Diffusions, Regime switching models, Surrender Option, FFT

4.

Pricing, Hedging and Assessing Risk in a General Lévy Context

Bankers, Markets & Investors, No. 131, July-August, 2014: 30-42
Number of pages: 23 Posted: 28 Sep 2013 Last Revised: 09 Jul 2014
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 74 (317,469)

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Hedging strategy, Pricing embedded option, Lévy processes, FFT

5.

Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment

Number of pages: 29 Posted: 14 May 2014
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 72 (322,345)

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equity indexed-annuities, variable annuities, surrender options, regime switching models, jump diffusion, stochastic interest-rate models, fast Fourier transform

6.

On the Hedging of Variable Annuities with Ratchet in Jump Models

Number of pages: 28 Posted: 22 Apr 2014 Last Revised: 30 Oct 2014
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 70 (327,455)

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Variable Annuities, GMAB, Pricing, Hedging, Lévy processes

7.

Hedging with Credibility When Assets Can Jump

Number of pages: 12 Posted: 21 Apr 2015
Abdou Kélani
CEFRA, EMLYON Business School
Downloads 34 (446,587)

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Lévy processes, Infinitesimal generator, Hedging, Credibility ratio, FFT