Publications
Publications
Referenzen
18.
Klaus Sandmann und Dieter Sondermann
A Term Structure Model and the Pricing of Interest Rate Derivatives
In Lane Hughston, Editor, The New Interest Rate Models
Seite 255--278.
Herausgeber: RISK Magazine Publications,
2001
17.
J. Aase Nielsen, Klaus Sandmann und Dieter Sondermann
Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
In George M. Constantinides und A.G. Malliaris, Editor, Options Markets. Vol. II, The International Library of Critical Writings in Financial Economics
Herausgeber: Edward Elgar Publishing Lt.,
2001
16.
Klaus Sandmann und Dieter Sondermann
A Note on the Stability of Lognormal Interest Rate Models
Mathematical Finance, 7(2):119-125
1997
15.
Kristian Miltersen, Klaus Sandmann und Dieter Sondermann
Closed Form Solutions for Term Structure Derivatives with Log--Normal Interest Rates
The Journal of Finance, 52(1):409--430
1997
14.
J. Aase Nielsen und Klaus Sandmann
The Pricing of Asian Options under Stochastic Interest Rates
Applied Mathematical Finance, 3(3):209--306
1996
13.
J. Aase Nielsen und Klaus Sandmann
Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
The Geneva Papers on Risk and Insurance Theory, 21(1):65--102
1996
12.
Klaus Sandmann und Erik Schlögl
Zustandspreise und die Modellierung des Zinsänderungsrisikos
Zeitschrift für Betriebswirtschaft, 66(7):813--836
1996
11.
Klaus Sandmann, Dieter Sondermann und Kristian R. Miltersen
Closed Form Term Structure Derivatives in a Heath--Jarrow--Morton Model with Log--Normal Annually Compounded Interest Rates
Proceedings of the Seventh Annual European Research Symposium, Bonn, September 1994, Chicago Board of Trade, :145--164
1995
10.
J. Aase Nielsen und Klaus Sandmann
Equity-linked life insurance: a model with stochastic interest rates
Insurance Math. Econom., 16(3):225--253
1995
9.
Sven Rady und Klaus Sandmann
The Direct Approach to Debt Option Pricing
The Review of Futures Markets, 13(2):461--514
1994
8.
Matthias Reimer und Klaus Sandmann
An Efficient Approach for Down--and--Out--Calls in a Binomial Model
In A. Karmann, K. Mosler, M. Schader und G. Uede, Editor, Operations Research 93
Seite 418--421.
Herausgeber: Physica-Verlag, Heidelberg,
1994
7.
Klaus Sandmann und Erik Schlögl
Binomial Term Structure Models and the Forward Probability Measure: Algorithmic Model Specification and Simulation Results
In A. Karmann, K. Mosler, M. Schader und G. Uede, Editor, Operations Research 93
Seite 434--437.
Herausgeber: Physica-Verlag, Heidelberg,
1994
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