Andreas E. Kyprianou

University of Bath

Claverton Down

Bath, BA2 7AY

United Kingdom

  • University of Bath

SCHOLARLY PAPERS

5

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633

SSRN CITATIONS

0

CROSSREF CITATIONS

12

Scholarly Papers (5)

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1.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
José Manuel Corcuera, Jan De Spiegeleer, Albert Ferreiro-Castilla, Andreas E. Kyprianou, Dilip B. Madan and Wim Schoutens
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 432 (102,961)
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Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

2.

A Note on Scale Functions and the Time Value of Ruin for Lévy Insurance Risk Processes

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 18 Posted: 29 Oct 2009
Enrico Biffis and Andreas E. Kyprianou
Imperial College Business School and University of Bath
Downloads 79 (455,541)

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3.

Optimal Dividends in the Dual Model Under Transaction Costs

Insurance: Mathematics and Economics, Vol. 54, 2014
Number of pages: 22 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 56 (544,476)

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dual model, dividends, impulse control, spectrally positive Levy processes, scale functions

4.

On Optimal Dividends in the Dual Model

Astin Bulletin, vol. 43, no. 3, 2013, pp 359 - 372
Number of pages: 13 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 46 (592,794)

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Dual model, dividends, capital injections, spectrally positive Levy processes, scale functions

5.

Callable Puts as Composite Exotic Options

Mathematical Finance, Vol. 17, No. 4, pp. 487-502, October 2007
Number of pages: 16 Posted: 14 Sep 2007
Christoph Kühn and Andreas E. Kyprianou
Goethe University Frankfurt and University of Bath
Downloads 20 (774,985)

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