The characteristic functions of many affine jump-diffusion models, such as Heston's stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages, the...

The characteristic functions of many affine jump-diffusion models, such as Heston's stochastic volatility model and all of its extensions, involve multivalued functions like the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages, the...

We present a comprehensive overview of derivative pricing in Gaussian affine asset pricing models. Gaussian affine asset pricing models are widely used in practice for pricing and scenario analysis due to their tractable pricing implications and easy estimation. This tractability is essential to...

We present a comprehensive overview of derivative pricing in Gaussian affine asset pricing models. Gaussian affine asset pricing models are widely used in practice for pricing and scenario analysis due to their tractable pricing implications and easy estimation. This tractability is essential to...

The valuation of insurance contracts using a market value approach, also known as the fair value approach has recently attracted a lot of interest. Seconding this trend...

In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...