Optimal Surrender of Guaranteed Minimum Maturity Benefits under Stochastic Volatility and Interest Rates

Analysis of a Multiple Year Gas Sales Agreement with Make-up, Carry Forward and Indexation
Dong, W. & Kang, B., 11 Apr 2018, (E-pub ahead of print)
Article in Energy economics
Particle Filters for Markov Switching Stochastic Volatility Models
Bao, Y., Chiarella, C. & Kang, B., 1 Apr 2018, The Oxford Handbook of Computational Economics and Finance. Oxford University Press, p. 249-266
Research output: Chapter in Book/Report/Conference proceeding › Chapter
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching
Chiarella, C., Clewlow, L. & Kang, B., 4 Feb 2016, (E-pub ahead of print)
Article in International Journal of Theoretical and Applied Finance
The Return–Volatility Relation in Commodity Futures Markets
Chiarella, C., Kang, B., Nikitopoulos, C. S. & Tô, T-D., 5 Jan 2016
Article in The Journal of Futures Markets
The Numerical Solution of American Pricing Problems: Finite Difference and Transform Methods
Chiarella, C., Kang, B. & Meyer, G. H., Dec 2014, WORLD SCIENTIFIC PUBL CO PTE LTD. 224 p.
Research output: Book/Report › Book

Research output: Contribution to journal › Article › peer-review

Author(s)

Journal	Insurance: Mathematics and Economics
Date	Accepted/In press - 23 Dec 2017
Date	E-pub ahead of print - 4 Jan 2018
Date	Published (current) - 1 Mar 2018
Volume	79
Number of pages	30
Pages (from-to)	43-56
Early online date	4/01/18
Original language	English

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