By Associate Professor Katja Ignatieva

Preprints

Ignatieva K; Trueck S, Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management, http://dx.doi.org/10.2139/ssrn.1991452

Ignatieva K; Platen E, Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae, http://dx.doi.org/10.2139/ssrn.2170214

Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927

Ignatieva K; Rodrigues P; Seeger N, Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics, http://dx.doi.org/10.2139/ssrn.1363959

Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279283

Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279274

Ignatieva K; Platen E; Rendek R, Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index, http://dx.doi.org/10.2139/ssrn.2170183

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