Jonathan Ziveyi
Jonathan Ziveyi
Associate Professor, School of Risk and Actuarial Studies, UNSW Business School
Email verificata su unsw.edu.au - Home page
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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
J Alonso-García, O Wood, J Ziveyi
Quantitative Finance 18 (6), 1049-1075, 2018
172018
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
K Ignatieva, A Song, J Ziveyi
Insurance: Mathematics and Economics 70, 286-300, 2016
172016
American option pricing under two stochastic volatility processes
C Chiarella, J Ziveyi
Applied Mathematics and Computation 224, 283-310, 2013
162013
Representation and numerical approximation of American option prices under Heston stochastic volatility dynamics
T Adolfsson, C Chiarella, A Ziogas, J Ziveyi
Quantitative Finance Research Centre, University of Technology, Sydney …, 2013
142013
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
B Kang, J Ziveyi
Insurance: Mathematics and Economics 79, 43-56, 2018
132018
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
J Da Fonseca, K Ignatieva, J Ziveyi
Energy Economics 56, 215-228, 2016
132016
Pricing American options written on two underlying assets
C Chiarella, J Ziveyi
Quantitative Finance 14 (3), 409-426, 2014
132014
Pricing European options on deferred annuities
J Ziveyi, C Blackburn, M Sherris
Insurance: Mathematics and Economics 52 (2), 300-311, 2013
122013
Pricing European options on deferred annuities
J Ziveyi, C Blackburn, M Sherris
Insurance: Mathematics and Economics 52 (2), 300-311, 2013
122013
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
C Chiarella, A Ziogas, J Ziveyi
Contemporary quantitative finance, 281-315, 2010
112010
Valuing variable annuity guarantees on multiple assets
J Da Fonseca, J Ziveyi
Scandinavian Actuarial Journal 2017 (3), 209-230, 2017
102017
Two stochastic volatility processes-American option pricing
C Chiarella, J Ziveyi
University of Technology Sydney Quantitative Finance Research Centre Working …, 2011
102011
Market price of longevity risk for a multi‐cohort mortality model with application to longevity bond option pricing
Y Xu, M Sherris, J Ziveyi
Journal of Risk and Insurance 87 (3), 571-595, 2020
9*2020
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
K Ignatieva, A Song, J Ziveyi
ASTIN Bulletin: The Journal of the IAA 48 (1), 139-169, 2018
92018
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Y Shen, M Sherris, J Ziveyi
Insurance: Mathematics and Economics 69, 127-137, 2016
62016
The application of affine processes in multi-cohort mortality model
Y Xu, M Sherris, J Ziveyi
UNSW Business School Research Paper, 2015
62015
Pricing American Options under Stochastic Volatility
T Adolfsson, C Chiarella, A Ziogas, J Ziveyi
Quantitative Finance Research Centre, University of Technology Sydney …, 2009
52009
Cohort and value-based multi-country longevity risk management
M Sherris, Y Xu, J Ziveyi
Scandinavian Actuarial Journal, 1-27, 2020
32020
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise …
N Gudkov, K Ignatieva, J Ziveyi
Quantitative Finance 19 (3), 501-518, 2019
32019
Method of lines approach for pricing American spread options
C Chiarella, J Ziveyi
Available at SSRN 2019353, 2011
32011
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