Search Results - "Kolkiewicz, Adam"

Optimal surrender policy for reverse mortgage loans.

Authors: Bernard, Carole Kolkiewicz, Adam Tang, Junsen

Source: Astin Bulletin. Sep2024, Vol. 54 Issue 3, p600-625. 26p.

Valuation of Reverse Mortgages with Default Risk Models.

Authors: Bernard, Carole Kolkiewicz, Adam Tang, Junsen

Source: Journal of Real Estate Finance & Economics. May2023, Vol. 66 Issue 4, p806-839. 34p. 4 Charts, 7 Graphs.

Acknowledgment to the Reviewers of Mathematics in 2022.

Source: Mathematics (2227-7390). Feb2023, Vol. 11 Issue 3, p643. 76p.

Projection pursuit based tests of normality with functional data.

Authors: Kolkiewicz, Adam Rice, Gregory Xie, Yijun

Source: Journal of Statistical Planning & Inference; Mar2021, Vol. 211, p326-339, 14p

Discrete Time Ruin Probability for Takaful (Islamic Insurance) with Investment and Qard-Hasan (Benevolent Loan) Activities.

Authors: Puspita, Dila Kolkiewicz, Adam Ken Seng Tan

Source: Journal of Risk & Financial Management. Sep2020, Vol. 13 Issue 9, p1-24. 24p. 1 Chart.

Bayesian Analysis of a Threshold Stochastic Volatility Model.

Authors: Wirjanto, Tony S. Kolkiewicz, Adam W. Men, Zhongxian

Source: Journal of Forecasting. Aug2016, Vol. 35 Issue 5, p462-476. 15p.

EFFICIENT HEDGING OF PATH-DEPENDENT OPTIONS.

Authors: KOLKIEWICZ, ADAM W.¹

Source: International Journal of Theoretical & Applied Finance. Aug2016, Vol. 19 Issue 5, p-1. 27p.

Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model.

Authors: Men, Zhongxian Kolkiewicz, Adam W. Wirjanto, Tony S.

Source: Journal of Forecasting. Jan2015, Vol. 34 Issue 1, p36-56. 21p.

Threshold Stochastic Conditional Duration Model for Financial Transaction Data.

Authors: Zhongxian Men Kolkiewicz, Adam W. Wirjanto, Tony S.

Source: Journal of Risk & Financial Management. Jun2019, Vol. 12 Issue 2, p1-21. 21p.

Pricing Bermudan options using low-discrepancy mesh methods.

Authors: BOYLE, PHELIM P. KOLKIEWICZ, ADAM W. TAN, KEN SENG

Source: Quantitative Finance. Jun2013, Vol. 13 Issue 6, p841-860. 20p. 1 Diagram, 6 Charts, 6 Graphs.

Comparison of asymmetric stochastic volatility models under different correlation structures.

Authors: Men, Zhongxian McLeish, Don Kolkiewicz, Adam W. et al.

Source: Journal of Applied Statistics; Jun2017, Vol. 44 Issue 8, p1350-1368, 19p, 12 Charts, 4 Graphs

Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions.

Authors: Men, Zhongxian Wirjanto, Tony S. Kolkiewicz, Adam W.

Source: Communications in Statistics: Simulation & Computation; 2016, Vol. 45 Issue 9, p3128-3148, 21p

Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects.

Authors: Zhongxian Men Wirjanto, Tony S. Kolkiewicz, Adam W.

Source: Journal of Risk & Financial Management. May2021, Vol. 14 Issue 5, p1-28. 28p.

Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees.

Authors: Tang, Junsen¹ (AUTHOR) junsen.tang@stthomas.edu

Source: Risks. Jan2024, Vol. 12 Issue 1, p7. 20p.

On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model.

Authors: Ivanov, Roman V.¹ (AUTHOR) roivanov@yahoo.com

Source: Risks. Jun2023, Vol. 11 Issue 6, p111. 23p.

Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information.

Authors: Toyabe, Tomoki Nakatsuma, Teruo

Source: Journal of Risk & Financial Management. Oct2022, Vol. 15 Issue 10, p470-N.PAG. 25p.

Using Neural Networks to Price and Hedge Variable Annuity Guarantees.

Authors: Doyle, Daniel Groendyke, Chris

Source: Risks. Mar2019, Vol. 7 Issue 1, p1. 1p.