Jonathan Ziveyi

UNSW Australia

UNSW Australia

School of Risk and Actuarial Studies

Level 6 East Wing, Business School

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

17

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1,080

SSRN CITATIONS
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Top 38,565

in Total Papers Citations

12

CROSSREF CITATIONS

6

Scholarly Papers (17)

1.

Pricing European Options on Deferred Annuities

UNSW Australian School of Business Research Paper No. AIPAR 2012/1
Number of pages: 39 Posted: 15 Feb 2012 Last Revised: 04 Feb 2013
Jonathan Ziveyi, Craig Blackburn and Michael Sherris
UNSW Australia, University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 204 (166,429)
Citation 1

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Mortality risk, Deferred insurance products, European options, Laplace Transforms

2.

Pricing American Options Written on Two Underlying Assets

Quantitative Finance (2013)
Number of pages: 37 Posted: 05 Apr 2012 Last Revised: 01 Oct 2013
Jonathan Ziveyi and Carl Chiarella
UNSW Australia and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 169 (196,997)

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American Options, Fourier Transform, Multiple Underlying Assets

3.

Method of Lines Approach for Pricing American Spread Options

Number of pages: 28 Posted: 11 Mar 2012
Carl Chiarella and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and UNSW Australia
Downloads 157 (209,768)

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American Options, Method of Lines, Riccati Transformation

4.

Two Stochastic Volatility Processes - American Option Pricing

University of Technology Sydney Quantitative Finance Research Centre Working Paper No. 292
Number of pages: 74 Posted: 11 Mar 2012
Carl Chiarella and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group and UNSW Australia
Downloads 129 (245,579)
Citation 4

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American Options, Fourier Transform, Laplace Transform, Method of Characteristics

5.

Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality

Number of pages: 30 Posted: 21 Apr 2016
Katja Ignatieva, Andrew Song and Jonathan Ziveyi
University of New South Wales - Australian School of Business, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia
Downloads 84 (328,997)
Citation 4

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Variable annuity, Guaranteed Minimum Benefits (GMB), Fourier Space Time-stepping (FST) algorithm, mortality risk, interest rate risk

6.

Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method

Quantitative Finance. 2017, DOI:10.1080/14697688.2017.1357832
Number of pages: 43 Posted: 10 Feb 2017 Last Revised: 17 Sep 2017
Jennifer Alonso-García, Oliver Wood and Jonathan Ziveyi
Université Libre de Bruxelles (ULB) - Department of Mathematics, CommInsure and UNSW Australia
Downloads 82 (333,789)
Citation 1

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variable annuity, GMWB, COS method, hedging, risk minimisation

Market Price of Longevity Risk for a Multi‐Cohort Mortality Model with Application to Longevity Bond Option Pricing

Journal of Risk and Insurance, Vol. 87, Issue 3, pp. 571-595, 2020
Number of pages: 25 Posted: 30 Sep 2020
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia
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8.

Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates

Number of pages: 25 Posted: 05 Jun 2016
Boda Kang and Jonathan Ziveyi
AMP and UNSW Australia
Downloads 74 (354,329)
Citation 1

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Variable annuities, optimal surrender, GMMB, stochastic volatility, stochastic interest rates, Fourier Cosine expansion, method of lines

9.

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

UNSW Business School Research Paper No. 2015ACTL05
Number of pages: 36 Posted: 13 Mar 2015 Last Revised: 01 Oct 2015
José Da Fonseca, Katja Ignatieva and Jonathan Ziveyi
Auckland University of Technology - Faculty of Business & Law, University of New South Wales - Australian School of Business and UNSW Australia
Downloads 63 (385,957)
Citation 1

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Oil futures, CDS spread, realized jumps, realized volatility

10.

Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options

Number of pages: 27 Posted: 25 Nov 2015
Yang Shen, Michael Sherris and Jonathan Ziveyi
University of New South Wales (UNSW) - Australian School of Business, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia
Downloads 39 (474,622)
Citation 2

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Guaranteed minimum maturity benefits, Surrender options, Numerical integration

11.

The Application of Affine Processes in Cohort Mortality Risk Models

UNSW Business School Research Paper Forthcoming
Number of pages: 28 Posted: 07 Sep 2019
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, University of New South Wales (UNSW) and UNSW Australia
Downloads 30 (517,738)
Citation 1

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mortality models, continuous time, cohort curve, affine rates, Kalman filter

12.

Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk

Number of pages: 35 Posted: 14 May 2020
Yuxin Zhou, Michael Sherris, Jonathan Ziveyi and Mengyi Xu
affiliation not provided to SSRN, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, UNSW Australia and UNSW Sydney
Downloads 17 (604,358)

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Longevity Risk, Stochastic Mortality, Longevity Bond, Immunization, Natural Hedging

13.

Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits

UNSW Business School Research Paper Forthcoming
Number of pages: 43 Posted: 10 Jul 2020
Université Libre de Bruxelles (ULB) - Department of Mathematics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, KPMG and UNSW Australia
Downloads 16 (604,358)

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taxation, retirement income, policyholder behavior, pricing, method of lines, surrender, variable annuity

14.

The Application of Affine Processes in Multi-Cohort Mortality Model

7th Australasian Actuarial Education and Research Symposium
Number of pages: 22 Posted: 03 Dec 2015
Yajing Xu, Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia
Downloads 16 (604,358)

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15.

Valuing Variable Annuity Guarantees on Multiple Assets

Scandinavian Actuarial Journal, 2015, DOI:10.1080/03461238.2015.1102167
Posted: 25 Nov 2015
Jonathan Ziveyi and José Da Fonseca
UNSW Australia and Auckland University of Technology - Faculty of Business & Law

Abstract:

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mortality risk, variable annuity, stochastic volatility risk, correlation risk, multiple assets, European option

16.

American Option Pricing Under Two Stochastic Volatility Processes

Applied Mathematics and Computation, Forthcoming
Posted: 02 Oct 2013
Jonathan Ziveyi and Carl Chiarella
UNSW Australia and University of Technology, Sydney - UTS Business School, Finance Discipline Group

Abstract:

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American Options, Fourier Transform, Laplace Transform, Method of Characteristics

17.

Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms

Contemporary Quantitative Finance, Forthcoming
Posted: 12 Mar 2012
Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and UNSW Australia

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