Seguir
Jonathan Ziveyi
Jonathan Ziveyi
Associate Professor, School of Risk and Actuarial Studies, UNSW Business School
Dirección de correo verificada de unsw.edu.au - Página principal
Título
Citado por
Citado por
Año
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
502016
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
412018
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
312018
Continuous-time multi-cohort mortality modelling with affine processes
Y Xu, M Sherris, J Ziveyi
Scandinavian Actuarial Journal 2020 (6), 526-552, 2020
252020
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
252016
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 87 (3), 571-595, 2020
242020
Valuing variable annuity guarantees on multiple assets
J Da Fonseca, J Ziveyi
Scandinavian Actuarial Journal 2017 (3), 209-230, 2017
242017
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
242016
American option pricing under two stochastic volatility processes
C Chiarella, J Ziveyi
Applied Mathematics and Computation 224, 283-310, 2013
232013
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise …
N Gudkov, K Ignatieva, J Ziveyi
Quantitative Finance 19 (3), 501-518, 2019
192019
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
192018
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
182013
Mortality forecasting using stacked regression ensembles
SR Kessy, M Sherris, AM Villegas, J Ziveyi
Scandinavian Actuarial Journal 2022 (7), 591-626, 2022
152022
Pricing American options written on two underlying assets
C Chiarella, J Ziveyi
Quantitative Finance 14 (3), 409-426, 2014
152014
Pricing European options on deferred annuities
J Ziveyi, C Blackburn, M Sherris
Insurance: Mathematics and Economics 52 (2), 300-311, 2013
152013
Pricing European options on deferred annuities
J Ziveyi, C Blackburn, M Sherris
Insurance: Mathematics and Economics 52 (2), 300-311, 2013
152013
Cohort and value-based multi-country longevity risk management
M Sherris, Y Xu, J Ziveyi
Scandinavian Actuarial Journal 2020 (7), 650-676, 2020
142020
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
B Kang, Y Shen, D Zhu, J Ziveyi
Insurance: Mathematics and Economics 105, 96-127, 2022
122022
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
C Chiarella, A Ziogas, J Ziveyi
Contemporary quantitative finance: essays in honour of Eckhard Platen, 281-315, 2010
122010
A group regularisation approach for constructing generalised age-period-cohort mortality projection models
D SriDaran, M Sherris, AM Villegas, J Ziveyi
ASTIN Bulletin: The Journal of the IAA 52 (1), 247-289, 2022
102022
El sistema no puede realizar la operación en estos momentos. Inténtalo de nuevo más tarde.
Artículos 1–20