David Schrager

Longitude Solutions

Senior Partner

Herengracht 116c

Amsterdam, 1015 BT

Netherlands

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

1.

Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 45, No. 3, 2009
Number of pages: 28 Posted: 29 Apr 2008 Last Revised: 09 May 2011
Delta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 1,884 (7,814)

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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options

Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models

Number of pages: 29 Posted: 11 Dec 2004
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University
Downloads 1,383 (12,668)

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Swaption, coupon bond option, affine term structure models, swap measure, laplace transform, transform inversion

Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models

Mathematical Finance, Vol. 16, No. 4, pp. 673-694, October 2006
Number of pages: 22 Posted: 31 Aug 2006
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University
Downloads 19 (535,711)
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3.

Affine Stochastic Mortality

Number of pages: 24 Posted: 11 Dec 2004
David Schrager
Longitude Solutions
Downloads 366 (79,189)

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Stochastic Mortality, Affine Models, Mortality Laws, Longevity Risk, Market Price of Mortality

4.
Downloads 23 (494,877)

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Asset Liability Management, Asset Allocation, Longevity Risk, Longevity Hedging, Pension Fund

5.

Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

Insurance Mathematics and Economics, Vol. 35, pp. 369-398, 2004
Posted: 11 Dec 2004
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University

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Return Guarantee, Average Rate Option, Convexity Correction, LIBOR Market Model