Finance Research Group
Fuglesangs Allé 4
DK-8210 Aarhus, 8210
University of Aarhus - Business and Social Sciences
in Total Papers Downloads
in Total Papers Citations
Participating Life Insurance Policies, Embedded options, Contingent claims valuation, Bonus policy, Surrender
Asian Options, American Options, Analytical Valuation Formulas, Numerical Work, Change of Numeraire
Account based pension schemes, return smoothing, averaging principles, contingent claims valuation, path-dependence, life cycle asset allocation
account-based pension schemes, surplus distribution mechanisms, return smoothing, contingent claims valuation, path-dependence, life cycle asset allocation
structured products, fair valuation, pricing efficiency, exotic option pricing, cost analysis
Ship valuation, options on ships, leasing, lease contracts with options, optimal stopping
ship valuation, options on ships, leasing, lease contracts with options, optimal stopping
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Traffic light solvency tests, asset-liability management in pension funds, hedging interest rate and stock price risk, derivatives pricing, Black-Scholes-Vasicek model
traffic light solvency tests, regulatory solvency requirements, asset-liability management in pension funds, hedging interest rate and stock price risk, derivatives pricing, Black-Scholes/Hull-White model
Executive stock options, premature exercise, delayed vesting, incentive effects
Executive stock options, premature exercise, incentive effects, delayed vesting
Term structure of interest rates, Nelson-Siegel models, extended Vasicek model, term structure curve fitting, interest rate swaps and swaptions
Structured products, callable bonds, optimal call strategies, Least-Squares Monte Carlo, G2++ and LIBOR market models.
structured products, callable bonds, optimal call strategies, least-squares Monte Carlo, G2 and LIBOR market models
Option-based compensation, executive pay, disclosure requirements, valuation, incentives
Pension contracts, options, guarantees, valuation, risk management
Solvency II, financial regulation, term structure of interest rates, calibration, market valuation
American bond options, term structure of interest rates, numerical work
arbitrage-free pricing, risk-neutral valuation, forward risk-adjustment, equivalent martingale measures, numeraire invariance, option pricing
participating life insurance policies, embedded options, contingent claim valuation, numerical solution, finite difference approach
accounting standards, fair value, financial valuation, regulation
Account-based pension schemes, return smoothing, payoff distributions, density approximation, Monte Carlo simulation, Asian options
Comparison of retirement products, Stochastic financial analysis, Traditional with-profits, Unitlinked, Formula based smoothed investment-linked, Payout phase, Stabilisation of retirement income payments
Participating life insurance, surplus distribution, risk-neutral valuation, management mechanisms
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