Dmitri Rubisov

BMO Capital Markets

Canada

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Optimal Accelerated Share Repurchase

Number of pages: 34 Posted: 27 Nov 2013 Last Revised: 04 Jun 2017
University of Toronto - Department of Statistics, The Fields Institute for Mathematical Sciences and BMO Capital Markets
Downloads 571 (45,902)

Abstract:

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Accelerated Share Repurchase, Optimal Liquidation, American Option, Stochastic Control, Optimal Stopping

2.

Valuing GWBs with Stochastic Interest Rates and Volatility

Donnelly, Ryan Francis, Sebastian Jaimungal, and Dmitri Rubisov. "Valuing GWBs with stochastic interest rates and volatility." Quantitative Finance (2012).
Number of pages: 26 Posted: 14 Jan 2012 Last Revised: 27 Apr 2015
University of Washington - Department of Applied Mathematics, University of Toronto - Department of Statistics and BMO Capital Markets
Downloads 414 (68,486)

Abstract:

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Insurance Guarantees, Withdrawal Benefits, Stochastic Volatility, Stochastic Interest Rates, ADI methods, Asian Options, Mixed Fund