Ann De Schepper

University of Antwerp - Faculty of Applied Economics

Prinsstraat 13

Antwerp, B-2000

Belgium

SCHOLARLY PAPERS

12

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1,103

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3

CROSSREF CITATIONS

21

Scholarly Papers (12)

1.

Atomic Implied Volatilities

Number of pages: 27 Posted: 06 Oct 2008 Last Revised: 30 Nov 2009
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Downloads 213 (197,556)
Citation 1

Abstract:

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SABR model, Duru-Kleinert transformation

2.

A Note on Some New Perpetuities

Scandinavian Actuarial Journal, Vol. 4, p. 261-270, 2005
Number of pages: 13 Posted: 06 Jan 2005 Last Revised: 07 Oct 2008
Marc Decamps, Ann De Schepper, Marc Goovaerts and Wim Schoutens
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 187 (222,164)

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Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities

3.

Spectral Decomposition of Optimal Asset-Liability Management

Journal of Economic Dynamics and Control, Vol. 33, No. 3, pp. 710-724, 2009
Number of pages: 21 Posted: 06 Oct 2008 Last Revised: 16 Mar 2009
Ann De Schepper, Marc Goovaerts and Marc Decamps
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven (KUL)
Downloads 182 (227,460)

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asset-liability management, HJB principle, local time, spectral theory

4.

Edgeworth Expansions of Stochastic Trading Time

Number of pages: 25 Posted: 10 Nov 2009 Last Revised: 17 May 2010
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Downloads 84 (399,789)

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Stochastic volatility, Fourier transform, Duru-Kleinert transformation, Edgeworth expansions

5.

The Valuation of Cash-Flows in the Presence of Dividend Barriers

Medium Econometrische Toepassingen, Vol. 11, No. 2, pp. 18-25, 2003 , Proceedings Astin Colloquium, pp. 30, 2001
Number of pages: 20 Posted: 02 Mar 2006
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven, Ghent University - Department of Applied Mathematics and Computer Science and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 75 (426,642)

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6.

On the Distribution of Cash-Flows Using Esscher Transforms

Journal of Risk and Insurance, Vol. 70, No. 3, pp. 563-575, 2003
Number of pages: 15 Posted: 02 Mar 2006
Ghent University - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics, University of Antwerp - Faculty of Applied Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Katholieke Universiteit Leuven
Downloads 71 (439,532)

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7.

Duru-Kleinert Asymptotic Expansions for Long-Term Foreign Exchange and Swaptions Implied Volatility Smile

Number of pages: 15 Posted: 28 Nov 2009 Last Revised: 26 Jan 2012
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Downloads 69 (446,206)

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FX option, Duru-Kleinert transformation, Parameter averaging

8.

Closed Form Approximations for Diffusion Densities: A Path Integral Approach

Journal of Computational and Applied Mathematics, Vols. 164-165, pp. 337-364, March 2004
Number of pages: 39 Posted: 06 Oct 2008
Ann De Schepper, Marc Goovaerts and Marc Decamps
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven (KUL)
Downloads 61 (474,916)
Citation 3

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diffusion processes, transition probability, path integral, comonoticity

9.

Stochastic Upper Bounds for Present Value Functions

Journal of Risk and Insurance, Vol. 67, No. 1, pp. 1-14, 2000
Number of pages: 16 Posted: 24 Feb 2006
Marc Goovaerts, Jan Dhaene and Ann De Schepper
Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven and University of Antwerp - Faculty of Applied Economics
Downloads 57 (490,323)

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10.

Stable Laws and the Present Value of Fixed Cash-Flows

North American Actuarial Journal, Vol. 7, No. 4, pp. 32-43, 2003
Number of pages: 20 Posted: 02 Mar 2006
Catholic University of Leuven (KUL) - Department of Economics, University of Antwerp - Faculty of Applied Economics, Ghent University - Department of Applied Mathematics and Computer Science, Katholieke Universiteit Leuven and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 54 (502,418)

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cash flow, stochastic interest rates, stable laws, distribution,convex order

11.

Bounds for Present Value Functions with Stochastic Interest Rates And Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 31, No. 1, pp. 87-103, 2002
Number of pages: 24 Posted: 02 Mar 2006
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 50 (519,467)

Abstract:

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12.

A Path Integral Approach to Asset-Liability Management

Physica A: Statistical Mechanics and its Applications, Vol. 363, No. 2, pp.404-416, 2006
Posted: 14 Mar 2009
Marc Decamps, Ann De Schepper and Marc Goovaerts
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics and Catholic University of Leuven (KUL) - Department of Economics

Abstract:

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Functional integral; ALM; Delta-Function perturbation; Local time; Spectral method