Similar Search Results

Optimal design of the guarantee for defined contribution funds

Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Journal of economic dynamics & control 28 (2004) 11, pp. 2239-2260

Persistent link: https://www.econbiz.de/10002172298

Optimal funding of defined benefit pension plans

Hainaut, Donatien; Deelstra, Griselda - In: Journal of pension economics and finance 10 (2011) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10009007169

Risk management of a bond portfolio using options

Annaert, Jan; Deelstra, Griselda; Heyman, Dries; … - 2007

Persistent link: https://www.econbiz.de/10003476828

Multivariate FX Models with Jumps : Triangles, Quantos and Implied Correlation

Ballotta, Laura - 2017

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous...

Persistent link: https://www.econbiz.de/10012963076