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A unifying approach for the pricing of debt securities
Vachon, Marie-Claude; MacKay, Anne - In: Quantitative finance 24 (2024) 12, pp. 1747-1772
Persistent link: https://www.econbiz.de/10015196964
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Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
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Optimal portfolios under a correlation constraint
Bernard, Carole; Cornilly, Dries; Vanduffel, Steven - In: Quantitative finance 18 (2018) 3, pp. 333-345
Persistent link: https://www.econbiz.de/10011906370
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When do two- or three-fund separation theorems hold?
Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven - In: Quantitative finance 21 (2021) 11, pp. 1869-1883
Persistent link: https://www.econbiz.de/10012696788