Research Explorer

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Researcher

Jan Liinev

Awards & Distinctions

9 Results

2006

Bounds for the price of discrete arithmetic Asian options

Michèle VanmaeleGriselda DeelstraJan LiinevJan DhaeneM Goovaerts

A1 Journal Article in JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

2005

On the distributional distance between the lognormal LIBOR and swap market models.

D BRIGOJan Liinev

A1 Journal Article in QUANTITATIVE FINANCE

2004

Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

Michèle VanmaeleGriselda DeelstraJan Liinev

A1 Journal Article in INSURANCE MATHEMATICS & ECONOMICS

Forward wap market models with jumps

Jan LiinevE Eberlein

Pricing of arithmetic basket options by conditioning

Griselda DeelstraJan LiinevMichèle Vanmaele

A1 Journal Article in INSURANCE MATHEMATICS & ECONOMICS

2003

Approximation of stop-loss premiums involving sums of lognormals by conditioning on more than one variable

Michèle VanmaeleJan LiinevGriselda Deelstra

Pricing of arithmetic basket and Asian basket options by conditioning

Griselda DeelstraJan LiinevMichèle Vanmaele

2002

Bounds for the price of discretely sampled arithmetic Asian options

Michèle VanmaeleGriselda DeelstraJan LiinevJan DhaeneMJ Goovaerts

2000

Diagnostic test analyses in search of their gold standard: latent class analyses with random effects.

Els GoetghebeurJan LiinevM BOELAERTPatrick Van Der Stuyft

A1 Journal Article in STATISTICAL METHODS IN MEDICAL RESEARCH