Pricing of GLWB variable annuities with dynamic withdrawals, purchases, and optimal initiation timing; bang-bang control analysis reducing the strategy space to four choices; …
Regression-based Monte Carlo algorithms for pricing and hedging GLWB variable annuities under stochastic volatility; bang-bang control analysis and sensitivity of GLWB value to …
Invited talk at the SIAM Conference on Financial Mathematics and Engineering, November 2014.
Invited talk at the 5th International Gerber–Shiu Workshop, July 2014.
Invited talk at the 8th World Congress of the Bachelier Finance Society, June 2014.
Full mathematical analysis of optimal dynamic withdrawal policies in GMWB variable annuities; singular stochastic control formulation, integral equations for free boundaries, and …
Invited talk at the NUS–University of Tokyo Workshop, September 2013.