Branger, N.; Chen, A.; Gatzert, N.; Mahayni, A.: Optimal Investment under Linear Sharing Rules (Working Paper; 2018).
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Branger, N.; Mahayni, A.; Sende, C.: Optimal Insurance Demand - Low Probability, High Consequnce versus High Probability, Low Consequence (Working Paper; 2018).
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Balter, A.; Mahayni, A.; Schweizer, N.: Time-consistency of Optimal Investment under Smooth Ambiguity (Working Paper; 2018).
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Mahayni, A.; Muck, M.: The Benefit of Life Insurance Contracts with Capped Index Participations when Stock Prices are Subject to Jump Risk.
In:
Review of Derivatives Research , Jg. 20 (2017)
Nr.
3, S. 281-308.
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Mahayni, A.; Kiesel, R.: Vergleich von Wertsicherungsstrategien im Kontext innovativer Lebensversicherungsprodukte.
In:
Betriebswirtschaftliche Fragen zu Steuern, Finanzierung Banken und Management.
2017, S. 157-171.
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Mahayni, A.; Muck, M.: Vergleich von Garantiekonzepten im Kontext innovativer Lebensversicherungsprodukte.
In:
Kirmße, S.; Schüller, S. (Hrsg.):
Aktuelle Entwicklungslinien in der Finanzwirtschaft, Festschrift zum 60. Geburtstag von Bernd Rolfes, Management Reihe des zeb.
2017, S. 661-687.
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Antje Mahayni, Judith C. Schneider: Minimum Return Guarantees, Investment Caps, and Investment Flexibility.
In:
Review of Derivatives Research, Jg. 19 (2016), S. 85-111.
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Mahayni; A.; Muck, M.: The Benefit of Life Insurance Contracts with Capped Index Participation when Stock Prices are Subject to Jump Risk.
In:
Review of Derivatives Research, forthcoming (2016).
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Schneider, J. C.; Schweizer, N.: Robust measurement of (heavy-tailed) risks: Theory and implementation.
In:
Journal of Economic Dynamics & Control, forthcoming (2015).
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Bender, C.; Schweizer, N.; Zhuo, J.: A Primal-Dual Algorithm for BSDEs.
In:
Mathematical Finance, Early View (2015).
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Dickmann, F.; Schweizer, N.: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo.
In:
Journal of Computational Finance, accepted (2015).
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Kruse, T.; Schneider, J. C.; Schweizer, N.: What's in a ball? Characterizing and constructing uncertainty sets.
2015.
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Mahayni, A.; Muck, M.: The Benefit of Life Insurance Contracts with Capped Index Participation when Stock Prices are Subject to Jump Risk.
2015.
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Rudolf, D.; Schweizer, N.: Error bounds of MCMC for functions with unbounded stationary variance.
In:
Statistics & Probability Letters, Jg. 99 (2015), S. 85-111.
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Ankirchner, S.; Pigorsch, C.; Schweizer, N.: Estimating Residual Hedging Risk with Least-Squares Monte-Carlo.
In:
International Journal of Theoretical and Applied Finance, Jg. 17 (2014).
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Balder, Sven; Gramatke, Wolf C.; Mahayni, Antje: Bewertung von Kündigungsrechten in der privaten Wohnungsbaufinanzierung - Über den separaten Ausweis von Margen- und Kursschäden.
In:
Zeitschrift für betriebswirtschaftliche Forschung, Jg. 66 (2014), S. 3-36.
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Belomestny, D.; Bender, C.; Dickmann, F.; Schweizer, N.: Solving stochastic dynamic programs by convex optimization and simulation.
In:
Al., S. Dahlke Et (Hrsg.):
Extraction of Quantifiable Information from Complex Systems.
Springer,
Cham
2014, S. 1-22.
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Ankirchner, S.; Schneider, J. C.; Schweizer, N.: Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk.
In:
Journal of Economic Dynamics and Control, Jg. 41 (2014), S. 93-109.
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Rüdiger Kiesel, Antje Mahayni: Optimality and robustness of "rule-based" trigger strategies.
2014.
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Antje Mahayni, Daniel Steuten: Deferred Annuities - On the Combined Effect of Stochastic Mortality and Interest Rates.
In:
Review of Managerial Science, Jg. 7 (2013)
Nr.
1, S. 1-28.
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Balder, Sven; Mahayni, Antje; Schoenmakers, John G. M.: Primal-dual linear Monte Carlo algorithm for multiple stopping - An application to Flexible Caps.
In:
Quantitative Finance, Jg. 13 (2013)
Nr.
7, S. 1003-1013.
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Schweizer, N.: Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators.
2012.
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Antje Mahayni, Judith C. Schneider: Variable Annuities and the Option to seek Risk: Why should you diversify?.
In:
Journal of Banking and Finance, Jg. 36 (2012), S. 2417-2428.
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Grominski, Dmitri; Schwake, Daniel; Sudmann, Tobias: Valuation of Credit Default Swaps with Wrong Way Risk – Model Implementation and a Computational Tune-Up.
2012.
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Schwake, Daniel; Siwik, Thomas; Stemmer, Dirk: Kontrahentenausfallrisiken in Rechnungslegung und Aufsichtsrecht.
In:
Ludwig, Sven; Martin, Marcus R. W.; Wehn, Carsten S. (Hrsg.):
Kontrahentenrisiko: Bewertung, Steuerung, Unterlegung nach Basel III und IFRS.
Schäffer-Poeschel,
2012, S. 289-312.
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Nicole Branger, Antje Mahayni: Tractable Hedging with Additional Instruments.
In:
Review of Derivatives Research , Jg. 14 (2011)
Nr.
1, S. 85-114.
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Branger, Nicole; Mahayni, Antje; Schneider, Judith C.: Pricing and Upper Price Bounds of Relax Certificates.
In:
Review of Managerial Science, Jg. 5 (2011), S. 309-336.
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Antje Mahayni, John G. M. Schoenmakers: Minimum Return Guarantees with Fund Switching Rights - An Optimal Stopping Problem.
In:
Journal of Economic Dynamics and Control, Jg. 11 (2011), S. 1880-1897.
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Antje Mahayni, Stefan Kaltepoth: Best Garant Certificates - Is best entry really better?.
2011.
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Banh, M.; Cluse, M.; Schwake, D.: Die quantitative Behandlung von Kontrahentenausfallrisiken unter Basel III.
In:
Zeitschrift für das gesamte Kreditwesen (2011)
Nr.
10.
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Balder, Sven; Gramatke, Wolf Christoph; Mahayni, Antje: Bewertung von Kündigungsrechten in der privaten Wohnungsbaufinanzierung – Über den separaten Ausweis von Margen- und Kursschäden.
2011.
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Sven Balder, Daniel Schwake: Delta Hedging of Interest Rate Risks in Long-term Contracts-An Application of the Cairns Model.
2010.
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Sven Balder, Antje Mahayni: Cash-Lock Comparison of Portfolio Insurance Strategies.
362.
Duisburg-Essen, Universität (Hrsg.),
2010.
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Sven Balder, Antje Mahayni: How good are portfolio insurance strategies.
In:
Kiesel, R.; Zagst, R. (Hrsg.):
Alternative Investments and Strategies.
World Scientific,
2010, S. 229-256.
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Branger, Nicole; Mahayni, Antje; Schneider, Judith C.: On the Optimal Design of Insurance Contracts with Guarantees.
In:
Insurance:Mathematics and Economics , Jg. 4 (2010), S. 485-492.
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Antje Mahayni, Judith C. Schneider: Variable Annuities and the Option to seek Risk: Why should you diversify?.
361.
Duisburg-Essen, Universität (Hrsg.),
2010.
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Schwake, Daniel: Volatility Forecasting and the Business Cycle: Evidence from the European Monetary Union,.
363.
Duisburg-Essen, Universität (Hrsg.),
2010.
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Balder, Sven; Brandl, Michael; Mahayni, Antje: Effectiveness of CPPI Strategies under Discrete-Time Trading.
In:
Journal of Economic Dynamics and Control , Jg. 33 (2009), S. 204-220.
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Antje Mahayni, Klaus Sandmann: Return Guarantees with Delayed Payment.
In:
German Economic Review , Jg. 9 (2008), S. 207-231.
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An Chen, Antje Mahayni: Endowment Assurance Products - Effectiveness of Risk-Minimizing Strategies under Model Risk.
In:
Asia - Pacific Journal of Risk and Insurance , Jg. 2 (2008), S. 47-74.
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Antje Mahayni, Erik Schlögl: The Risk Management of Minimum Return Guarantees.
In:
Business Research , Jg. 1 (2008), S. 55-76.
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Branger, N.; Kraft, H.; Mahayni, A.; Schlag, C.: Reconciling Smiles for Index and Stock Options.
2008.
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An Chen, Antje B. Mahayni: Hedging Guarantees under Interest Rate and Mortality Risk.
In:
Proceedings of the 5th Actuarial and Financial Mathematics Day.
Brüssel
2007.
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Antje Mahayni, Daniel Steuten: Solvency Requirements for Annuity Markets under Stochastic Mortality and Investment Risk.
2007.
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Sven Balder, Antje Mahayni: Robust Hedging with Short-Term Options.
In:
Wilmott Magazine, Jg. 9 (2006).
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Nicole Branger, Antje Mahayni: Tractable Hedging - An Implementation of Robust Hedging Strategies.
In:
Journal of Economic Dynamics & Control (2006)
Nr.
30, S. 1937-1962.
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Mahayni, Antje; Suchanecki, Michael: Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten.
In:
Zeitschrift für Betriebswirtschaftslehre, Jg. 4 (2006), S. 347-372.
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Mahayni, Antje: The Risk Management of Embedded Options and Return Guarantees.
Rheinische Friedrich-Wilhelms-Universität,
Bonn
2006.
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Sven Balder, Antje Mahayni: Superhedging with Short-Term Options und Model Risk.
2006.
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Mahayni, Antje: Effectiveness of Hedging Strategies under Model Misspecifications and Trading Restrictions.
In:
International Journal of Theoretical and Applied Finance, Jg. 6 (2003), S. 521-552.
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Antje Mahayni, Lutz Schlögl: An Examination of the Effects of Parameter Misspecification on the Duplication of Bonds.
Bonn Econ Discussion Paper ,
Bonn
2002.
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Mahayni, Antje: Analyse der Effektivität von Absicherungsstrategien in unvollständigen Finanzmarktmodellen (1).
Rheinische Friedrich-Wilhelms-Universität,
Bonn
2001.
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Mahayni, Antje; Schlögl, Erik; Schlögl, Lutz: Robustness of Gaussian Hedges und the Hedging of Fixed Income Derivatives.
1999.
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