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Pricing equity-linked pure endowments with risky assets that follow Lévy processes
Jaimungal, Sebastian; Young, Virginia R. - In: Insurance / Mathematics & economics 36 (2005) 3, pp. 329-346
Persistent link: https://www.econbiz.de/10006876264
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008715283
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008716622
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Real option pricing with mean-reverting investment and project value
Jaimungal, Sebastian; de Souza, Max O.; Zubelli, Jorge P. - In: The European journal of finance 19 (2013) 7, pp. 625-644
Persistent link: https://www.econbiz.de/10010176119
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5, pp. 449-478
Persistent link: https://www.econbiz.de/10008155115
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INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
Jaimungal, Sebastian; Sigloch, Georg - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10009822581
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Asymptotic aspects of the Gerber–Shiu function in the renewal risk model using Wiener–Hopf factorization and convolution equivalence
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 19-32
Persistent link: https://www.econbiz.de/10008378698
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OPTIONS: JUMPING IN LINE - The variance gamma jump model is known to describe the volatility smile for short-dated options accurately. However, implementation for exotic pathdependent options can prove difficult. The authors use the method of lines to develop an alternative approach.
Albanese, Claudio; Jaimungal, Sebastian; Rubisov, Dmitri - In: Risk : managing risk in the world's financial markets 14 (2001) 2, pp. 65-68
Persistent link: https://www.econbiz.de/10007044944
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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
Cartea, Álvaro; Figueroa, Marcelo - In: Applied mathematical finance 12 (2005) 4, pp. 313-336
Persistent link: https://www.econbiz.de/10008223040