David Schrager

Longitude Solutions

Senior Partner

Herengracht 116c

Amsterdam, 1015 BT

Netherlands

SCHOLARLY PAPERS

5

DOWNLOADS

4,580

SSRN CITATIONS

17

CROSSREF CITATIONS

28

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
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 2,076 (14,471)
Citation 1

Abstract:

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

2.

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 1,942 (16,022)
Citation 2

Abstract:

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

3.

Affine Stochastic Mortality

Number of pages: 24 Posted: 11 Dec 2004
David Schrager
Longitude Solutions
Downloads 410 (134,683)
Citation 10

Abstract:

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

4.
Downloads 152 (357,322)

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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

Posted: 11 Dec 2004
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University

Abstract:

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