J. Aase Nielsen

Aarhus University - Department of Theoretical Statistics and Operations Research

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

9

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2

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31

Scholarly Papers (9)

1.

Pricing Bounds on Asian Options

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, June 2003
Number of pages: 22 Posted: 17 May 2006
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics
Downloads 416 (75,031)

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Asian Option, arbitrage pricing, hedging, Monte Carlo simulation,

2.

The Fair Premium of an Equity-Linked Life and Pension Insurance

Number of pages: 30 Posted: 10 Mar 2002
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics
Downloads 352 (91,044)
Citation 1

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Life insurance, pension funds, forward risk adjusted measure, Asian option

3.

New No-Arbitrage Conditions and the Term Structure of Interest Rate Futures

Annals of Finance, 2006
Number of pages: 21 Posted: 17 May 2006
Kristian R. Miltersen, J. Aase Nielsen and Klaus Sandmann
Copenhagen Business School, Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics
Downloads 235 (139,851)

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No-arbitrage restrictions, term structure of interest rates, interest rate futures, change of measure

4.

Pricing of Asian Exchange Rate Options Under Stochastic Interest Rates As a Sum of Options

Finance and Stochastics, Vol. 3, No. 6, pp. 355-370, 2002
Number of pages: 25 Posted: 17 May 2006
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics
Downloads 228 (144,038)

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Asian Exchange Rate Option, Forward Risk Adjusted Measure, Stochastic Interest Rates

5.

Equity-Linked Pension Schemes with Guarantees

Number of pages: 31 Posted: 19 Feb 2009
J. Aase Nielsen, Klaus Sandmann and Erik Schlögl
Aarhus University - Department of Theoretical Statistics and Operations Research, University of Bonn - The Bonn Graduate School of Economics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 145 (215,520)
Citation 4

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Pension funds, forward risk adjusted measure, Asian option

6.

Subsidy‐Induced Dumping

The World Economy, Vol. 37, Issue 5, pp. 654-671, 2014
Number of pages: 18 Posted: 08 May 2014
Jørgen Hansen and J. Aase Nielsen
University of Southern Denmark and Aarhus University - Department of Theoretical Statistics and Operations Research
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7.

The Pricing of Asian Options Under Stochastic Interest Rates

Applied Mathematical Finance, Vol. 3, No. 3, pp. 209-236, 1995
Posted: 13 Jul 1998
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics

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8.

Equity-Linked Life Insurance - a Model with Stochastic Interest Rates

Insurance, Mathematics and Economics, Vol. 16, No. 3, pp. 225-253, 1995
Posted: 05 May 1998
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics

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Life insurance, stochastic interest rates

Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts

Posted: 22 Aug 1996
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics

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Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1, June 1996
Posted: 21 May 1996
J. Aase Nielsen and Klaus Sandmann
Aarhus University - Department of Theoretical Statistics and Operations Research and University of Bonn - The Bonn Graduate School of Economics

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