稳健对冲提款保证（扩展版）

Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be inappropriate for such long maturity products. They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with stochastic interest rate (Hull White model). For this purpose we present four numerical methods for pricing GLWB variables annuities: a hybrid tree-finite differe…

Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai, the Black and Scholes framework seems to be inappropriate for such a long maturity products. Also Chen Vetzal and Forsyth in showed that the price of these products is very sensitive to interest rate and volatility parameters. We propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with stochastic interest rate (Hull White model). For this purpose we present four numerical metho…

低利率环境下一般GMWB年金的估值

Valuation of general GMWB annuities in a low interest rate environment

本文研究低利率环境下含阶梯上升、红利和退保特征的一般GMWB年金估值，采用Hull-White模型与动态规划提出基于树的高效算法，发现低负利率显著影响最优提取策略并推高公允价值。

可变年金：深入审视棘轮担保、混合合约设计与税收

Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation

本文研究含最低提款保障、棘轮机制与现金基金的可变年金合约，通过反向动态规划分析投保人最优策略，揭示税收、现金基金与棘轮机制的相互作用，发现二者均提升合约估值、抑制提前退保与主动提款，高税率时需同时包含以刺激需求。

用于定价和对冲可退保权益挂钩合约的自适应奇点方法

Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts

本文提出自适应奇点方法，用于定价和对冲含多类特征的可退保权益挂钩人寿保险合约，经理论分析与数值实验验证其有效性，揭示价值相似合约的风险敞口差异。

Robust Hedging of Options on a Leveraged Exchange Traded Fund

A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding model-free bounds on the price of these options. To obtain an upper bound, we establish a new optimal solution to the Skorokhod embedding problem (SEP) using methods introduced in Beiglböck-Cox-Huesmann. This stopping time can be represented as the hitting time of some region by a Brownian motion, but unlike other solutions of e.g. Root, this region is not unique…