Klaus Sandmann : Citation Profile

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University of Technology Sydney
University of Technology Sydney


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   19 years (1992 - 2011). See details.
   Cites by year: 16
   Journals where Klaus Sandmann has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 5 (1.56 %)


   Permalink: http://citec.repec.org/psa599
   Updated: 2019-11-10    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:

Pelsser, Antoon (15)

Schlogl, Erik (13)

Pietersz, Raoul (9)

Moreno, Manuel (8)

Navas, Javier (8)

Platen, Eckhard (6)

Dhaene, Jan (4)

Jarrow, Robert (4)

Jørgensen, Peter (3)

Groenen, Patrick (3)


Cites to:

Jarrow, Robert (6)

Ortu, Fulvio (5)

Goovaerts, Marc (4)

Schlogl, Erik (4)

Dhaene, Jan (4)

Vorst, Ton (4)

Brennan, Michael (3)

Boadway, Robin (1)

Wildasin, David (1)

Keen, Michael (1)

Costabile, Massimo (1)

Main data

Where Klaus Sandmann has published?

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

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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2019Explosion in the quasi-Gaussian HJM model. (2019). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1908.07102.

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2018Subjective value of the guarantees embedded in public cash-balance pension plans. (2018). Tang, Chun-Hua . In: Journal of Pension Economics and Finance. RePEc:cup:jpenef:v:17:y:2018:i:02:p:231-250_00.

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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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2017Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk. (2017). Augustyniak, Maciej ; Boudreault, Mathieu. In: North American Actuarial Journal. RePEc:taf:uaajxx:v:21:y:2017:i:4:p:502-525.

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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:

2008Return Guarantees with Delayed Payment In: German Economic Review.
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1997 Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates. In: Journal of Finance.
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1993The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach In: Mathematical Finance.
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1997A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures In: Mathematical Finance.
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2003Pricing Bounds on Asian Options In: Journal of Financial and Quantitative Analysis.
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1995Equity-linked life insurance: A model with stochastic interest rates In: Insurance: Mathematics and Economics.
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2011Equity-linked pension schemes with guarantees In: Insurance: Mathematics and Economics.
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2010Equity-Linked Pension Schemes with Guarantees.(2010) In: Research Paper Series.
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This paper has another version. Agregated cites: 8
2006New No-arbitrage Conditions and the Term Structure of Interest Rate Futures In: Annals of Finance.
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1992Book reviews In: Journal of Economics.
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1996Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts In: The Geneva Risk and Insurance Review.
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2002Pricing of Asian exchange rate options under stochastic interest rates as a sum of options In: Finance and Stochastics.
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1996The pricing of Asian options under stochastic interest rates In: Applied Mathematical Finance.
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