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

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4

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34

Scholarly Papers (16)

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1.

Log-Normal Interest Rate Models: Stability and Methodology

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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 2,018 (11,891)
Citation 3

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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

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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 439 (101,139)
Citation 2

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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 417 (107,403)
Citation 5

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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 367 (124,307)
Citation 1

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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 245 (189,510)

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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 240 (193,297)

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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
Ulm University - Institute of Insurance Science, Stanford University - Department of Management Science & Engineering and University of Bonn - The Bonn Graduate School of Economics
Downloads 226 (204,810)
Citation 1

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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 162 (275,650)
Citation 4

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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 143 (305,283)

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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 Ulm University - Institute of Insurance Science
Downloads 116 (357,076)
Citation 1

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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

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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

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13.

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

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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

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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

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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

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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

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Life insurance, stochastic interest rates

16.

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

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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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