13 results
Managing the shortfall risk of target date funds by overfunding
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- Journal of Pension Economics & Finance , First View
- Published online by Cambridge University Press:
- 10 January 2024, pp. 1-25
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No arbitrage and multiplicative special semimartingales
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- Advances in Applied Probability / Volume 55 / Issue 3 / September 2023
- Published online by Cambridge University Press:
- 09 June 2023, pp. 1033-1074
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- September 2023
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Less-expensive long-term annuities linked to mortality, cash and equity
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- Annals of Actuarial Science / Volume 17 / Issue 1 / March 2023
- Published online by Cambridge University Press:
- 28 July 2022, pp. 170-207
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DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 51 / Issue 2 / May 2021
- Published online by Cambridge University Press:
- 29 March 2021, pp. 449-474
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- May 2021
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On the existence of sure profits via flash strategies
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- Journal of Applied Probability / Volume 56 / Issue 2 / June 2019
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- 30 July 2019, pp. 384-397
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- June 2019
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A class of complete benchmark models with intensity-based jumps
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- Journal of Applied Probability / Volume 41 / Issue 1 / March 2004
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- 14 July 2016, pp. 19-34
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- March 2004
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Estimation for discretely observed diffusions using transform functions
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- Journal of Applied Probability / Volume 41 / Issue A / 2004
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- 14 July 2016, pp. 99-118
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- 2004
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A Discrete Time Benchmark Approach for Insurance and Finance
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- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 33 / Issue 2 / November 2003
- Published online by Cambridge University Press:
- 17 April 2015, pp. 153-172
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- November 2003
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Arbitrage in continuous complete markets
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- Advances in Applied Probability / Volume 34 / Issue 3 / September 2002
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- 01 July 2016, pp. 540-558
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- September 2002
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Axiomatic principles for a market model
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- Journal:
- Journal of Applied Probability / Volume 36 / Issue 1 / March 1999
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- 14 July 2016, pp. 295-300
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- March 1999
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An introduction to numerical methods for stochastic differential equations
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- Journal:
- Acta Numerica / Volume 8 / January 1999
- Published online by Cambridge University Press:
- 07 November 2008, pp. 197-246
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- January 1999
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Principles for modelling financial markets
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- Journal of Applied Probability / Volume 33 / Issue 3 / September 1996
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- 14 July 2016, pp. 601-613
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- September 1996
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Pricing via anticipative stochastic calculus
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- Advances in Applied Probability / Volume 26 / Issue 4 / December 1994
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- 01 July 2016, pp. 1006-1021
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- December 1994
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