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Details about Klaus Sandmann

Homepage:http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=5368
Postal address:University of Bonn Institut of Financial Economics and Statistics (IFS) Adenauerallee 24-42 D-53113 Bonn Germany
Workplace:Institute für Finanzmarktökonomik und Statistik (IFS) (Institute of Finance and Statistics), Wirtschaftswissenschaftlicher Fachbereich (Economics Department), Rheinische Friedrich-Wilhelms-Universität Bonn (University of Bonn), (more information at EDIRC)

Access statistics for papers by Klaus Sandmann.

Last updated 2020-03-01. 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

2013

  1. New performance-vested stock option schemes
    Applied Financial Economics, 2013, 23, (8), 709-727 Downloads

2012

  1. IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-24 Downloads

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)

2010

  1. IT'S YOUR CHOICE: A UNIFIED APPROACH TO CHOOSER OPTIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (01), 139-161 Downloads
  2. Strukturierte Zinsswaps vor den Berufungsgerichten: eine Zwischenbilanz
    Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), 2010, 22, (2), 77-95 Downloads View citations (1)

2008

  1. Return Guarantees with Delayed Payment
    German Economic Review, 2008, 9, 207-231 Downloads
    Also in German Economic Review, 2008, 9, (2), 207-231 (2008) 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, (2), 449-473 Downloads View citations (43)

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 (14)

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 (28)
  2. Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
    Journal of Finance, 1997, 52, (1), 409-30 Downloads View citations (171)

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 Approach1
    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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