David Schrager

ING Group

Amsterdam

Netherlands

University of Amsterdam

Ph. D. student

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

http://www.fee.uva.nl/ke/schrager

SCHOLARLY PAPERS

4

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3,474

CITATIONS
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Top 12,391

in Total Papers Citations

32

Scholarly Papers (4)

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 ING Group
Downloads 1,619 (6,781)
Citation 7

Abstract:

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
ING Group and Maastricht University
Downloads 1,326 (10,868)
Citation 12

Abstract:

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
ING Group and Maastricht University
Downloads 19 (467,198)
Citation 12
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Abstract:

3.

Affine Stochastic Mortality

Number of pages: 24 Posted: 11 Dec 2004
David Schrager
ING Group
Downloads 337 (70,830)
Citation 13

Abstract:

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

4.

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
ING Group and Maastricht University

Abstract:

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