Details about Klaus Sandmann

Access statistics for papers by Klaus Sandmann.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: psa599

Working Papers

2010

1. Equity-Linked Pension Schemes with Guarantees
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
   See also Journal Article Equity-linked pension schemes with guarantees, Insurance: Mathematics and Economics, Elsevier (2011) View citations (8) (2011)

Journal Articles

2013

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

2012

2. 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

2011

3. Equity-linked pension schemes with guarantees
   Insurance: Mathematics and Economics, 2011, 49, (3), 547-564 View citations (8)
   See also Working Paper Equity-Linked Pension Schemes with Guarantees, Research Paper Series (2010) View citations (2) (2010)

2010

4. IT'S YOUR CHOICE: A UNIFIED APPROACH TO CHOOSER OPTIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (01), 139-161
5. 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 View citations (1)

2008

6. Return Guarantees with Delayed Payment
   German Economic Review, 2008, 9, (2), 207-231

2006

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

2003

8. Pricing Bounds on Asian Options
   Journal of Financial and Quantitative Analysis, 2003, 38, (2), 449-473 View citations (48)

2002

9. Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
   Finance and Stochastics, 2002, 6, (3), 355-370 View citations (16)

1997

10. A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
    Mathematical Finance, 1997, 7, (2), 119-125 View citations (29)
11. Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
    Journal of Finance, 1997, 52, (1), 409-30 View citations (212)

1996

12. The pricing of Asian options under stochastic interest rates
    Applied Mathematical Finance, 1996, 3, (3), 209-236 View citations (10)
13. Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
    The Geneva Risk and Insurance Review, 1996, 21, (1), 65-102 View citations (16)

1995

14. Equity-linked life insurance: A model with stochastic interest rates
    Insurance: Mathematics and Economics, 1995, 16, (3), 225-253 View citations (47)

1993

15. The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1
    Mathematical Finance, 1993, 3, (2), 201-216 View citations (2)

1992

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