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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
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A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
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A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778131
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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
Persistent link: https://www.econbiz.de/10011597296
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Fourier space time-stepping algorithm for valuing Guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 139-169
Persistent link: https://www.econbiz.de/10011875585
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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
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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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
Persistent link: https://www.econbiz.de/10012162294
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379
Persistent link: https://www.econbiz.de/10011962562