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  • Mahayni, Antje; Offermann, Sascha; Stein, Katharina: Participating Life Insurance Contracts with Periodic Premium Payments (Working Paper 2018). BIB Download Details
  • Branger, N.; Chen, A.; Gatzert, N.; Mahayni, A.: Optimal Investment under Linear Sharing Rules (Working Paper; 2018). BIB Download Details
  • Branger, N.; Mahayni, A.; Sende, C.: Optimal Insurance Demand - Low Probability, High Consequnce versus High Probability, Low Consequence (Working Paper; 2018). BIB Download Details
  • Balter, A.; Mahayni, A.; Schweizer, N.: Time-consistency of Optimal Investment under Smooth Ambiguity (Working Paper; 2018). BIB Download Details
  • 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. BIB Download Details
  • Branger, N.; Mahayni, A.; Schweizer, N.; Sende, C.: Optimal Saving and Insurance under Generalized Mean-Variance Preferences (Working Paper; 2017). BIB Download Details
  • Mahayni, Antje; Lubos, Oliver; Offermann, Sascha: Minimum Return Rate Guarantees under Default Risk - Optimal Design of Quantile Guarantees (Working Paper; 2018). BIB Download Details
  • Mahayni, Antje; Lubos, Oliver; Stein, Katharina: Natural hedging with fix and floating strike guarantees (Working Paper; 2017). BIB Download Details
  • Mahayni, A.; Kiesel, R.: Vergleich von Wertsicherungsstrategien im Kontext innovativer Lebensversicherungsprodukte. In: Betriebswirtschaftliche Fragen zu Steuern, Finanzierung Banken und Management. 2017, S. 157-171. BIB Download Details
  • 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. BIB Download Details
  • Antje Mahayni, Judith C. Schneider: Minimum Return Guarantees, Investment Caps, and Investment Flexibility. In: Review of Derivatives Research, Jg. 19 (2016), S. 85-111. BIB Download Details
  • 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). BIB Download Details
  • Schweizer, N.; Szech, N.: Optimal Revelation of Life-Changing Information. 2015. BIB Download Details
  • Rothenhäusler, D.; Schweizer, N.; Szech, N.: Institutions, Shared Guilt, and Moral Transgression. 2015. BIB Download Details
  • Schneider, J. C.; Schweizer, N.: Robust measurement of (heavy-tailed) risks: Theory and implementation. In: Journal of Economic Dynamics & Control, forthcoming (2015). BIB Download Details
  • Bender, C.; Schweizer, N.; Zhuo, J.: A Primal-Dual Algorithm for BSDEs. In: Mathematical Finance, Early View (2015). BIB Download Details
  • Dickmann, F.; Schweizer, N.: Faster Comparison of Stopping Times by Nested Conditional Monte Carlo. In: Journal of Computational Finance, accepted (2015). BIB Download Details
  • Branger, Nicole; Mahayni, Antje; Zieling, Daniel: Robustness of stable volatility strategies. In: Journal of Economic Dynamics & Control, Jg. 60 (2015), S. 134-151. BIB Download Details
  • Balder, Sven: Model-Free Implied Variance Measures. 2015. BIB Download Details
  • Bender, C.; Gärtner, C.; Schweizer, N.: Pathwise Dynamic Programming. 2015. BIB Download Details
  • Schweizer, N.; Szech, N.: Revenues and Welfare in Auctions with Information Release. 2015. BIB Download Details
  • Rudolf, D.; Schweizer, N.: Perturbation Theory for Markov Chains via Wasserstein Distance. 2015. BIB Download Details
  • Kruse, T.; Schneider, J. C.; Schweizer, N.: What's in a ball? Characterizing and constructing uncertainty sets. 2015. BIB Download Details
  • Mahayni, A.; Muck, M.: The Benefit of Life Insurance Contracts with Capped Index Participation when Stock Prices are Subject to Jump Risk. 2015. BIB Download Details
  • Rudolf, D.; Schweizer, N.: Error bounds of MCMC for functions with unbounded stationary variance. In: Statistics & Probability Letters, Jg. 99 (2015), S. 85-111. BIB Download Details
  • 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). BIB Download Details
  • Zieling, Daniel; Mahayni, Antje; Balder, Sven: Performance evaluation of optimized portfolio insurance strategies. In: Journal of Banking and Finance, Jg. 43 (2014), S. 212-225. BIB Download Details
  • 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. BIB Download Details
  • 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. BIB Download Details
  • 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. BIB Download Details
  • Rüdiger Kiesel, Antje Mahayni: Optimality and robustness of "rule-based" trigger strategies. 2014. BIB Download Details
  • Mahayni, A.; Schweizer, N.: Optimal investment in a multi asset diffusion model with drift uncertainty. 2014. BIB Download Details
  • 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. BIB Download Details
  • 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. BIB Download Details
  • Schweizer, N.: Non-asymptotic Error Bounds for Sequential MCMC Methods in Multimodal Settings. 2012. BIB Download Details
  • Schweizer, N.: Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators. 2012. BIB Download Details
  • 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. BIB Download Details
  • Grominski, Dmitri; Schwake, Daniel; Sudmann, Tobias: Valuation of Credit Default Swaps with Wrong Way Risk – Model Implementation and a Computational Tune-Up. 2012. BIB Download Details
  • Balder, Sven; Feldman, Ruben; Mahayni, Antje: Optimizing Proportional Portfolio Insurance Strategies - From Theory to Practice. 2012. BIB Download Details
  • 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. BIB Download Details
  • Nicole Branger, Antje Mahayni: Tractable Hedging with Additional Instruments. In: Review of Derivatives Research , Jg. 14 (2011) Nr. 1, S. 85-114. BIB Download Details
  • 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. BIB Download Details
  • 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. BIB Download Details
  • Antje Mahayni, Stefan Kaltepoth: Best Garant Certificates - Is best entry really better?. 2011. BIB Download Details
  • Banh, M.; Cluse, M.; Schwake, D.: Die quantitative Behandlung von Kontrahentenausfallrisiken unter Basel III. In: Zeitschrift für das gesamte Kreditwesen (2011) Nr. 10. BIB Download Details
  • Zieling, Daniel: The Valuation of Compound Exchange Options Implicit in Equity-Linked Life Insurance. 2011. BIB Download Details
  • Balder, Sven; Gramatke, Wolf Christoph; Mahayni, Antje: Bewertung von Kündigungsrechten in der privaten Wohnungsbaufinanzierung – Über den separaten Ausweis von Margen- und Kursschäden. 2011. BIB Download Details
  • Sven Balder, Daniel Schwake: Delta Hedging of Interest Rate Risks in Long-term Contracts-An Application of the Cairns Model. 2010. BIB Download Details
  • Sven Balder, Antje Mahayni: Cash-Lock Comparison of Portfolio Insurance Strategies. 362. Duisburg-Essen, Universität (Hrsg.), 2010. BIB Download Details
  • 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. BIB Download Details
  • 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. BIB Download Details
  • Antje Mahayni, Judith C. Schneider: Variable Annuities and the Option to seek Risk: Why should you diversify?. 361. Duisburg-Essen, Universität (Hrsg.), 2010. BIB Download Details
  • Schwake, Daniel: Volatility Forecasting and the Business Cycle: Evidence from the European Monetary Union,. 363. Duisburg-Essen, Universität (Hrsg.), 2010. BIB Download Details
  • 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. BIB Download Details
  • Balder, Sven: Handelsstrategien mit Mindestgarantien (1). 2009. BIB Download Details

    URN: urn:nbn:de:hbz:5-17184

    URL: http://nbn-resolving.de/urn:nbn:de:hbz:5-17184

  • Antje Mahayni, Klaus Sandmann: Return Guarantees with Delayed Payment. In: German Economic Review , Jg. 9 (2008), S. 207-231. BIB Download Details
  • 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. BIB Download Details
  • Antje Mahayni, Erik Schlögl: The Risk Management of Minimum Return Guarantees. In: Business Research , Jg. 1 (2008), S. 55-76. BIB Download Details
  • Branger, N.; Kraft, H.; Mahayni, A.; Schlag, C.: Reconciling Smiles for Index and Stock Options. 2008. BIB Download Details
  • Chen, An; Mahayni, Antje: Variance Minimal Hedging under Model Risk-A Discrete-Time Approach. 2008. BIB Download Details
  • 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. BIB Download Details
  • Antje Mahayni, Daniel Steuten: Solvency Requirements for Annuity Markets under Stochastic Mortality and Investment Risk. 2007. BIB Download Details
  • Sven Balder, Antje Mahayni: Robust Hedging with Short-Term Options. In: Wilmott Magazine, Jg. 9 (2006). BIB Download Details
  • Nicole Branger, Antje Mahayni: Tractable Hedging - An Implementation of Robust Hedging Strategies. In: Journal of Economic Dynamics & Control (2006) Nr. 30, S. 1937-1962. BIB Download Details
  • Mahayni, Antje; Suchanecki, Michael: Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten. In: Zeitschrift für Betriebswirtschaftslehre, Jg. 4 (2006), S. 347-372. BIB Download Details
  • Mahayni, Antje: The Risk Management of Embedded Options and Return Guarantees. Rheinische Friedrich-Wilhelms-Universität, Bonn 2006. BIB Download Details
  • Sven Balder, Antje Mahayni: Superhedging with Short-Term Options und Model Risk. 2006. BIB Download Details
  • Antje Mahayni, Klaus Sandmann: Asset Liability Management fondsgebundener Versicherungsverträge. 2005. BIB Download Details
  • 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. BIB Download Details
  • Mahayni, Antje: How to Avoid a Hedging Bias. In: Willmott Magazine (2003). BIB Download Details
  • Antje Mahayni, Lutz Schlögl: An Examination of the Effects of Parameter Misspecification on the Duplication of Bonds. Bonn Econ Discussion Paper , Bonn 2002. BIB Download Details
  • Mahayni, Antje: Analyse der Effektivität von Absicherungsstrategien in unvollständigen Finanzmarktmodellen (1). Rheinische Friedrich-Wilhelms-Universität, Bonn 2001. BIB Download Details
  • Mahayni, Antje; Schlögl, Erik; Schlögl, Lutz: Robustness of Gaussian Hedges und the Hedging of Fixed Income Derivatives. 1999. BIB Download Details