Klaus Sandmann

University of Bonn - The Bonn Graduate School of Economics

Professor of Business Administration

Adenauerallee 24-26

Bonn, D-53113

Germany

  • University of Bonn - The Bonn Graduate School of Economics

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 12,558

SSRN RANKINGS

Top 12,558

in Total Papers Downloads

4,075

SSRN CITATIONS
Rank 22,951

SSRN RANKINGS

Top 22,951

in Total Papers Citations

2

CROSSREF CITATIONS

34

Scholarly Papers (16)

Actions:
Email selected abstracts
1.

Log-Normal Interest Rate Models: Stability and Methodology

Downloads 1,871 ( 8,916)
Citation 3

Log-Normal Interest Rate Models: Stability and Methodology

Number of pages: 11 Posted: 06 Mar 1997
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics
Downloads 1,871 (8,738)
Citation 3

Abstract:

Loading...

Log-Normal Interest Rate Models: Stability and Methodology

Mathematical Finance, Vol. 7, No. 2, pp. 119-125, April 1997
Posted: 05 Jun 1997
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

Abstract:

Loading...

2.

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 (74,936)

Abstract:

Loading...

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

3.

A Discrete Time Approach for European and American Barrier Options

Number of pages: 27 Posted: 24 Apr 1998
Matthias Reimer and Klaus Sandmann
University of Bonn - Institute of Statistics and University of Bonn - The Bonn Graduate School of Economics
Downloads 380 (83,203)
Citation 4

Abstract:

Loading...

Barrier option, binomial model, limit results

4.

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 (90,916)
Citation 1

Abstract:

Loading...

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

5.

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 (139,668)

Abstract:

Loading...

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

6.

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 (143,837)

Abstract:

Loading...

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

7.

New Performance-Vested Stock Option Schemes

Applied Financial Economics, Forthcoming
Number of pages: 41 Posted: 29 May 2010 Last Revised: 12 Nov 2012
An Chen, Markus Pelger and Klaus Sandmann
University of Ulm, Stanford University - Management Science & Engineering and University of Bonn - The Bonn Graduate School of Economics
Downloads 211 (154,861)
Citation 1

Abstract:

Loading...

Executive Stock Options, Asian Options, Parisian Options

8.

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 (215,283)
Citation 4

Abstract:

Loading...

Pension funds, forward risk adjusted measure, Asian option

9.

Return Guarantees with Delayed Payment

German Economic Review, 2006
Number of pages: 27 Posted: 17 May 2006
Klaus Sandmann and Antje Brigitte Mahayni
University of Bonn - The Bonn Graduate School of Economics and Mercator School of Management
Downloads 130 (234,739)

Abstract:

Loading...

Periodic return guarantees, life insurance, robust hedging

10.

In-Arrears Term Structure Products: No Arbitrage Pricing Bounds and the Convexity Adjustments

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 25 Posted: 19 Oct 2009 Last Revised: 16 Nov 2012
Klaus Sandmann and An Chen
University of Bonn - The Bonn Graduate School of Economics and University of Ulm
Downloads 107 (270,636)

Abstract:

Loading...

In-arrears Swaps, In-arrears Caps and Floors, Convexity Adjustments, Pricing Bounds, Risk-neutral Pricing, Change of Measure.

11.

It's Your Choice: A Unified Approach to Chooser Options

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Klaus Sandmann and Manuel Wittke
University of Bonn - The Bonn Graduate School of Economics and Deloitte & Touche - Financial Risk Solutions

Abstract:

Loading...

Option pricing and hedging, interest rate risk, exchange rate risk, change of numeraire

12.

On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures

Posted: 08 Sep 1999
Klaus Sandmann and Dieter Sondermann
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

Abstract:

Loading...

13.

Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

Downloads 0 (710,629)

Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

Posted: 18 Aug 1999
Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann
Copenhagen Business School, University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

Abstract:

Loading...

Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

The Journal of Finance, Vol. 52, pp. 409-430, 1997
Posted: 17 May 2006
Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann
Copenhagen Business School, University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

Abstract:

Loading...

LIBOR Market, Black Formular

14.

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

Abstract:

Loading...

15.

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

Abstract:

Loading...

Life insurance, stochastic interest rates

16.

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

Downloads 0 (710,629)

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

Abstract:

Loading...

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

Abstract:

Loading...