Now showing items 1-2 of 2

    • Hedging guarantees in variable annuities (under both market and interest rate risks) 

      Coleman, Thomas F; Li, Yuying; Patron, Maria-Cristina (Cornell University, 2004-05-21)
      In order to prevent possibly very large losses, insurance companies have to devise risk management strategies for the guarantees provided by variable annuities. When hedging the options embedded in these guarantees, due ...
    • Reconstructing the unknown volatility function 

      Coleman, Thomas F; Li, Yuying; Verma, Arun (Cornell University, 1998-09)
      Using market European option prices, a method for computing a {\em smooth} local volatility function in a 1-factor continuous diffusion model is proposed. Smoothness is introduced to facilitate accurate approximation of ...