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Swaption Pricing under the Discrete-Time Arbitrage-Free Nelson-Siegel Model

Eghbalzadeh, Ramin; Godin, Frédéric; Gaillardetz, Patrice - 2023

The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic...

Persistent link: https://www.econbiz.de/10014355775

Modeling mortality and pricing life annuities with Lévy processes

Ahmadi, Seyed Saeed; Gaillardetz, Patrice - In: Insurance / Mathematics & economics 64 (2015), pp. 337-350

Persistent link: https://www.econbiz.de/10011398092

Partial hedging for equity-linked products using risk-minimizing strategies

Gaillardetz, Patrice; Moghtadai, Mehran - In: North American actuarial journal 21 (2017) 4, pp. 580-593

Persistent link: https://www.econbiz.de/10011858646

Dynamic hedging strategies based on changing pricing parameters for compound ratchets

Gaillardetz, Patrice; El Khoury, Samia - In: Asia-Pacific journal of risk and insurance : APJRI 14 (2020) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012196944

Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies

Gaillardetz, Patrice; Hachem, Saeb; Moghtadai, Mehran - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10013187283

Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model

Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice - In: Review of derivatives research 26 (2023) 2/3, pp. 171-206

Persistent link: https://www.econbiz.de/10014423872

American option evaluations using higher moments

Gaillardetz, Patrice; Hachem, Saeb el - In: Studies in economics and finance 41 (2024) 5, pp. 981-997

Persistent link: https://www.econbiz.de/10015199615