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A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
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Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186
Persistent link: https://www.econbiz.de/10011428649
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Modeling spot price dependence in Australian electricity markets with applications to risk management
Ignatieva, Ekaterina; Trück, Stefan - In: Computers & operations research : and their … 66 (2016), pp. 415-433
Persistent link: https://www.econbiz.de/10011429137
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A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
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Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
Fonseca, José da; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Energy economics 56 (2016), pp. 215-228
Persistent link: https://www.econbiz.de/10011664232
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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 70 (2016), pp. 286-300
Persistent link: https://www.econbiz.de/10011597296
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Commodity currencies and commodity prices : modelling static and time-varying dependence
Ignatieva, Ekaterina; Ponomareva, Natalia - In: Applied economics 49 (2017) 15, pp. 1491-1512
Persistent link: https://www.econbiz.de/10011813615
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Fourier space time-stepping algorithm for valuing Guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 139-169
Persistent link: https://www.econbiz.de/10011875585
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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
Fonseca, José da; Ignatieva, Ekaterina - In: Journal of banking & finance 99 (2019), pp. 45-62
Persistent link: https://www.econbiz.de/10012162294