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Details about Klaus Sandmann

Homepage:http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=5368
Workplace:Quantitative Finance Research Centre, Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Klaus Sandmann.

Last updated 2013-07-23. Update your information in the RePEc Author Service.

Short-id: psa599


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Working Papers

2010

  1. Equity-Linked Pension Schemes with Guarantees
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2011)

Journal Articles

2011

  1. Equity-linked pension schemes with guarantees
    Insurance: Mathematics and Economics, 2011, 49, (3), 547-564 Downloads View citations (6)
    See also Working Paper (2010)

2008

  1. Return Guarantees with Delayed Payment
    German Economic Review, 2008, 9, 207-231 Downloads

2006

  1. New No-arbitrage Conditions and the Term Structure of Interest Rate Futures
    Annals of Finance, 2006, 2, (3), 303-325 Downloads View citations (2)

2003

  1. Pricing Bounds on Asian Options
    Journal of Financial and Quantitative Analysis, 2003, 38, (02), 449-473 Downloads View citations (41)

2002

  1. Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
    Finance and Stochastics, 2002, 6, (3), 355-370 Downloads View citations (13)

1997

  1. A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
    Mathematical Finance, 1997, 7, (2), 119-125 Downloads View citations (27)
  2. Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
    Journal of Finance, 1997, 52, (1), 409-30 Downloads View citations (168)

1996

  1. The pricing of Asian options under stochastic interest rates
    Applied Mathematical Finance, 1996, 3, (3), 209-236 Downloads View citations (9)
  2. Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
    The Geneva Risk and Insurance Review, 1996, 21, (1), 65-102 Downloads View citations (11)

1995

  1. Equity-linked life insurance: A model with stochastic interest rates
    Insurance: Mathematics and Economics, 1995, 16, (3), 225-253 Downloads View citations (41)

1993

  1. The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach
    Mathematical Finance, 1993, 3, (2), 201-216 Downloads View citations (2)

1992

  1. Book reviews
    Journal of Economics, 1992, 55, (2), 221-244 Downloads
 
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