Klaus Sandmann : Citation Profile


Are you Klaus Sandmann?

University of Technology Sydney
University of Technology Sydney

8

H index

8

i10 index

415

Citations

RESEARCH PRODUCTION:

12

Articles

18

Papers

RESEARCH ACTIVITY:

   19 years (1992 - 2011). See details.
   Cites by year: 21
   Journals where Klaus Sandmann has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 14 (3.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa599
   Updated: 2018-08-18    RAS profile: 2013-07-23    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Klaus Sandmann.

Is cited by:

Schlogl, Erik (26)

Pelsser, Antoon (20)

Pietersz, Raoul (13)

Navas, Javier (11)

Moreno, Manuel (11)

Chen, An (8)

Platen, Eckhard (6)

Jørgensen, Peter (5)

Dhaene, Jan (4)

Gupta, Anurag (4)

Groenen, Patrick (4)

Cites to:

Jarrow, Robert (12)

Vorst, Ton (11)

Ortu, Fulvio (7)

White, Alan (5)

White, Alan (5)

Goovaerts, Marc (4)

Dhaene, Jan (4)

Schlogl, Erik (3)

Brennan, Michael (3)

Rady, Sven (2)

Kreps, David (2)

Main data


Where Klaus Sandmann has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics2
Mathematical Finance2

Recent works citing Klaus Sandmann (2018 and 2017)


YearTitle of citing document
2018Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107.

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2017The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk. (2017). Mahayni, Antje ; Muck, Matthias. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9131-9.

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2018Explosion in the quasi-Gaussian HJM model. (2018). Pirjol, Dan ; Zhu, Lingjiong. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0367-5.

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2017Calibrating a market model with stochastic volatility to commodity and interest rate risk. (2017). Schlogl, Erik ; Pilz, K F ; Karlsson, P. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925.

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2017Negative interest rates effects on option pricing: Back to basics?. (2017). Burro, Giacomo ; Querci, Francesca ; Mulas, Martina ; Ligato, Simone ; Giribone, Pier Giuseppe . In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500347.

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2017CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs. (2017). Gogala, Jaka ; Kennedy, Joanne E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500212.

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2017On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities. (2017). Ewald, Christian-Oliver ; Chen, Jilong. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:01:n:s0219091517500059.

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Works by Klaus Sandmann:


YearTitleTypeCited
2008Return Guarantees with Delayed Payment In: German Economic Review.
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article0
1997 Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates. In: Journal of Finance.
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article165
1993The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach In: Mathematical Finance.
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article1
1997A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures In: Mathematical Finance.
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article17
The pricing of options with an uncertain interest rate: A discrete time approach In: Discussion Paper Serie B.
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paper0
A term structure model and the pricing of interest rate options In: Discussion Paper Serie B.
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paper2
1993A Term Structure Model and the Pricing of Interest Rate Derivative In: Discussion Paper Serie B.
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paper10
1995The Direct Approach to Debt Option Pricing In: Discussion Paper Serie B.
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paper8
1993Zustandspreise und die Modellierung des Zinsänderungsrisikos In: Discussion Paper Serie B.
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paper1
1993Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie In: Discussion Paper Serie B.
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paper0
Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten In: Discussion Paper Serie B.
[Citation analysis]
paper0
1994On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures In: Discussion Paper Serie B.
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paper8
1995A Discrete Time Approach for European and American Barrier Options In: Discussion Paper Serie B.
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paper6
1995Equity-linked life insurance - a model with stochastic interest rates In: Discussion Paper Serie B.
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paper27
1994Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates In: Discussion Paper Serie B.
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paper61
1995The Pricing of Asian Options under Stochastic Interest Rates In: Discussion Paper Serie B.
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paper2
1996Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts In: Discussion Paper Serie B.
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paper5
1997Log-Normal Interest Rate Models: Stability and Methodology In: Discussion Paper Serie B.
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paper1
1998Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options In: Discussion Paper Serie B.
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paper4
An intertemporal interest rate market model: Complete markets In: Discussion Paper Serie B.
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paper0
Zur Bewertung von Caps und Floors In: Discussion Paper Serie B.
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paper0
2003Pricing Bounds on Asian Options In: Journal of Financial and Quantitative Analysis.
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article34
1995Equity-linked life insurance: A model with stochastic interest rates In: Insurance: Mathematics and Economics.
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article30
2011Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics.
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article6
2010Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series.
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This paper has another version. Agregated cites: 6
paper
2006New No-arbitrage Conditions and the Term Structure of Interest Rate Futures In: Annals of Finance.
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article2
1992Book reviews In: Journal of Economics.
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article0
1996Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts In: The Geneva Risk and Insurance Review.
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article7
2002Pricing of Asian exchange rate options under stochastic interest rates as a sum of options In: Finance and Stochastics.
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article10
1996The pricing of Asian options under stochastic interest rates In: Applied Mathematical Finance.
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article8

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