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Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management

Ignatieva, Ekaterina - 2012

Persistent link: https://www.econbiz.de/10009548356

A hybrid model for pricing and hedging of long dated bonds

Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - 2013

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A hybrid model for pricing and hedging of long-dated bonds

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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

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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

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Persistent link: https://www.econbiz.de/10012194671

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

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Electricity price modelling with stochastic volatility and jumps : an empirical investigation

Gudkov, Nikolay; Ignatieva, Ekaterina - In: Energy economics 98 (2021), pp. 1-26

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Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

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Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21

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A Hybrid Model for Pricing and Hedging of Long Dated Bonds

Baldeaux, Jan F. - 2015

Long dated fixed income securities play an important role in asset-liability management, in life insurance and in annuity businesses. This paper applies the benchmark approach, where the growth optimal portfolio (GOP) is employed as numeraire together with the real world probability measure for...

Persistent link: https://www.econbiz.de/10013026575