Roman Horsky

Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM

Fraunhofer-Platz 1

Kaiserslautern, 67663

Germany

SCHOLARLY PAPERS

2

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75

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Long-Term Stability of a Life Insurer's Balance Sheet

Number of pages: 34 Posted: 27 Oct 2020 Last Revised: 23 Mar 2021
Technische Universität Kaiserslautern, Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM, Fraunhofer ITWM and University of Kaiserslautern - Department of Mathematics
Downloads 75 (375,885)

Abstract:

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balance sheet, life insurance, model points, asset liability management, guaranteed interest rate

2.

Joining the Heston and a Three-Factor Hull-White Model: A Closed-Form Approach

International Journal of Theoretical and Applied Finance, Vol. 18, No. 8, 2015
Posted: 21 Jun 2014 Last Revised: 28 Jan 2017
Roman Horsky and Tilman Sayer
Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM and Advanced Logic Analytics

Abstract:

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Option valuation, Heston model, two-factor Hull-White model, Stochastic volatility, Stochastic interest rate, Analytic solution