Antje Brigitte Mahayni

Mercator School of Management

Prof. Dr.

Lotharstraße 65

Duisburg, Nordrhein-Westfalen 47057

Germany

SCHOLARLY PAPERS

18

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CITATIONS
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in Total Papers Citations

27

Scholarly Papers (18)

1.

Effectiveness of CPPI Strategies under Discrete-Time Trading

Number of pages: 28 Posted: 27 Apr 2006
Sven Balder, Michael Brandl and Antje Brigitte Mahayni
University of Duisburg-Essen - Mercator School of Management, University of Bonn - Department of Banking and Finance and Mercator School of Management
Downloads 811 (21,963)
Citation 9

Abstract:

Portfolio insurance, discrete-time trading, return guarantees, gap risk, volatility risk

2.

The Risk Management of Minimum Return Guarantees

BuR Business Research Journal, Vol. 1, No. 1 May 2008
Number of pages: 23 Posted: 31 Jul 2003
Antje Brigitte Mahayni and Erik Schlogl
Mercator School of Management and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 577 (35,571)
Citation 3

Abstract:

Minimum return guarantee, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model misspecification, model risk

3.

Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions

EFA 2002 Berlin Meetings Presented Paper; University of Bonn Statistics Technical Report
Number of pages: 25 Posted: 09 Mar 2002
Antje Brigitte Mahayni
Mercator School of Management
Downloads 513 (42,685)
Citation 4

Abstract:

Hedging, Model Misspecification, Trading Restrictions, Superhedging

4.

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

April 1999
Number of pages: 24 Posted: 04 May 1999
Antje Brigitte Mahayni, Erik Schlogl and Lutz Schlögl
Mercator School of Management, University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group and University of Bonn - Institute of Statistics
Downloads 422 (51,307)
Citation 1

Abstract:

5.

Effectiveness of CPPI Strategies under Discrete-Time Trading

Number of pages: 26 Posted: 03 Mar 2008
Antje Brigitte Mahayni
Mercator School of Management
Downloads 395 (56,875)

Abstract:

Portfolio insurance, discrete-time trading, return guarantees, gap risk, volatility risk.

6.

Performance Evaluation of Optimized Portfolio Insurance Strategies

Number of pages: 30 Posted: 01 Dec 2012 Last Revised: 26 Oct 2013
Daniel Zieling, Antje Brigitte Mahayni and Sven Balder
University of Duisburg-Essen - Mercator School of Management, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 321 (61,982)

Abstract:

Portfolio insurance, Performance evaluation, S&P 500, Regime switching EGARCH model, Transaction costs, Trigger trading, Gap risk

7.

Tractable Hedging: An Implementation of Robust Hedging Strategies

EFA 2004 Maastricht Meetings Paper No. 3698; EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 28 May 2004
Nicole Branger and Antje Brigitte Mahayni
University of Muenster - Finance Center Muenster and Mercator School of Management
Downloads 316 (74,584)
Citation 3

Abstract:

Uncertain volatility, stochastic volatility, robust hedging, tractable hedging, model misspeci cation, incomplete markets

8.

Robustness of Stable Volatility Strategies

Number of pages: 53 Posted: 04 Dec 2014 Last Revised: 13 May 2015
Nicole Branger, Antje Brigitte Mahayni and Daniel Zieling
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 233 (93,251)

Abstract:

Stable volatility strategies, jump diffusion processes, model risk, robustness, performance evaluation

9.

Variable Annuities and the Option to Seek Risk - Why Should You Diversify?

Number of pages: 45 Posted: 05 Jul 2010 Last Revised: 24 Apr 2012
Antje Brigitte Mahayni and Judith C. Schneider
Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 147 (159,401)
Citation 1

Abstract:

Guaranteed accumulation benefits, fair contracts, feasible contracts, background risk diversification, utility losses

10.

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 109 (191,548)
Citation 1

Abstract:

Periodic return guarantees, life insurance, robust hedging

11.

Minimum Return Guarantees, Investment Caps, and Investment Flexibility

Number of pages: 31 Posted: 18 Dec 2012 Last Revised: 21 Aug 2015
Antje Brigitte Mahayni and Judith C. Schneider
Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 92 (201,620)

Abstract:

Minimum Return Guarantees, Investment Caps, Investment Flexibility, Pareto efficient Contract Design

12.

Tractable Hedging With Additional Instruments

Number of pages: 31 Posted: 05 Mar 2007
Nicole Branger and Antje Brigitte Mahayni
University of Muenster - Finance Center Muenster and Mercator School of Management
Downloads 88 (229,523)
Citation 1

Abstract:

Stochastic Volatility, Robust Hedging, Tractable Hedging, Uncertain Volatility Model, Additional Hedge Instrument

13.

On the Optimal Design of Insurance Contracts with Guarantees

Insurance: Mathematics and Economics, Vol. 4, 2010
Number of pages: 25 Posted: 01 Jul 2010 Last Revised: 04 Jul 2010
Nicole Branger, Antje Brigitte Mahayni and Judith C. Schneider
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 76 (232,717)
Citation 4

Abstract:

Interest Rate Guarantee, Optimal Portfolio Choice, Utility Loss, Guarantee Scheme, CPPI

14.

Pricing and Upper Price Bounds of Relax Certificates

Review of Managerial Science, Forthcoming
Number of pages: 30 Posted: 05 Jul 2010
Nicole Branger, Antje Brigitte Mahayni and Judith C. Schneider
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Muenster - Finance Center Muenster
Downloads 38 (359,928)

Abstract:

Certificates, Barrier Option, Price Bounds

15.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

Number of pages: 31 Posted: 30 Mar 2017
Nicole Branger, Antje Brigitte Mahayni, Nikolaus Schweizer and Cathleen Sende
University of Muenster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 0 (474,195)

Abstract:

Precautionary saving, insurance, mean variance preferences

16.

Minimum Return Rate Guarantees Under Default Risk - Optimal Design of Quantile Guarantees

Number of pages: 27 Posted: 30 Mar 2017
Antje Brigitte Mahayni, Oliver Lubos and Sascha Offermann
Mercator School of Management, University of Duisburg-Essen - Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 0 (422,757)

Abstract:

Guarantee schemes, derivatives, life insurance, return rate guarantees, default risk, regulatory requirements, utility to the insured

17.

The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk

Posted: 30 Sep 2015 Last Revised: 06 Mar 2017
Antje Brigitte Mahayni and Matthias Muck
Mercator School of Management and University of Bamberg

Abstract:

Derivatives, Life Insurance, Capped Index Participation, Monthly Summed Cap, Select Products

18.

Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Zeitschrift für Betriebswirtschaft, Vol. 76, No. 4, pp. 347-372, 2006,
Posted: 04 Jul 2011
Antje Brigitte Mahayni and Michael Suchanecki
Mercator School of Management and Deutsche Asset Management

Abstract:

Turbo-Certificates, put-call-symmetry, static hedging, barrier options, product design