Jonathan Ziveyi
Jonathan Ziveyi
Senior Lecturer of Risk and Actuarial Studies
Email verificata su unsw.edu.au - Home page
TitoloCitata daAnno
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
132018
American option pricing under two stochastic volatility processes
C Chiarella, J Ziveyi
Applied Mathematics and Computation 224, 283-310, 2013
132013
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
132013
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
122016
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
102016
Pricing American options written on two underlying assets
C Chiarella, J Ziveyi
Quantitative Finance 14 (3), 409-426, 2014
102014
Pricing European options on deferred annuities
J Ziveyi, C Blackburn, M Sherris
Insurance: Mathematics and Economics 52 (2), 300-311, 2013
102013
Pricing European options on deferred annuities
J Ziveyi, C Blackburn, M Sherris
Insurance: Mathematics and Economics 52 (2), 300-311, 2013
102013
Two stochastic volatility processes-American option pricing
C Chiarella, J Ziveyi
University of Technology Sydney Quantitative Finance Research Centre Working …, 2011
102011
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
92018
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
92010
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
82018
The application of affine processes in multi-cohort mortality model
Y Xu, M Sherris, J Ziveyi
UNSW Business School Research Paper, 2015
62015
Valuing variable annuity guarantees on multiple assets
J Da Fonseca, J Ziveyi
Scandinavian Actuarial Journal 2017 (3), 209-230, 2017
52017
Pricing American Options under Stochastic Volatility
T Adolfsson, C Chiarella, A Ziogas, J Ziveyi
Quantitative Finance Research Centre, University of Technology Sydney …, 2009
52009
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, 2018
42018
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
42016
The evaluation of early exercise exotic options
J Ziveyi
32011
Pricing of GMWB options in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
N Gudkov, K Ignatieva, J Ziveyi
ARC Centre of Excellence in Population Ageing Research Working Papers 4, 2017
22017
Method of lines approach for pricing American spread options
C Chiarella, J Ziveyi
Available at SSRN 2019353, 2011
22011
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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