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.
Full mathematical analysis of optimal dynamic withdrawal policies in GMWB variable annuities; singular stochastic control formulation, integral equations for free boundaries, and …