By Associate Professor Jonathan Ziveyi

Preprints

Chiarella C; Ziveyi J, 2012, Method of Lines Approach for Pricing American Spread Options, http://dx.doi.org/10.2139/ssrn.2019353

Ziveyi J; Chiarella C, 2012, Pricing American Options Written on Two Underlying Assets, http://dx.doi.org/10.2139/ssrn.2034176

Ziveyi J; Blackburn C; Sherris M, 2012, Pricing European Options on Deferred Annuities, http://dx.doi.org/10.2139/ssrn.2005461

Chiarella C; Ziveyi J, 2012, Two Stochastic Volatility Processes - American Option Pricing, http://dx.doi.org/10.2139/ssrn.2019348

Zhou Y; Sherris M; Ziveyi J; Xu M, Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk, http://dx.doi.org/10.2139/ssrn.3580488

Sherris M; Xu Y; Ziveyi J, Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, http://dx.doi.org/10.2139/ssrn.3121520

Kang B; Ziveyi J, Optimal Surrender of Guaranteed Minimum Maturity Benefits Under Stochastic Volatility and Interest Rates, http://dx.doi.org/10.2139/ssrn.2789301

Xu Y; Sherris M; Ziveyi J, The Application of A ffine Processes in Multi-Cohort Mortality Model, http://dx.doi.org/10.2139/ssrn.2698757

Shen Y; Sherris M; Ziveyi J, Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options, http://dx.doi.org/10.2139/ssrn.2695265

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