Edit Profile (opens in new tab) Kolkiewicz, Adam W. Compute Distance To: Compute Author ID: kolkiewicz.adam-w Published as: Kolkiewicz, Adam W.; Kolkiewicz, Adam Documents Indexed: 19 Publications since 1997 1 Contribution as Editor Co-Authors: 12 Co-Authors with 15 Joint Publications 512 Co-Co-Authors all top 5 Co-Authors 5 single-authored 6 Tan, Ken Seng 4 Boyle, Phelim P. 3 Men, Zhongxian 3 Wirjanto, Tony S. 2 Huh, Joonghee 2 McLeish, Donald L. 1 Forsyth, Peter A. 1 Lin, Fangyuan Sally 1 Liu, Yan 1 Rice, Gregory 1 Vetzal, Ken 1 Xie, Yijun all top 5 Serials 5 North American Actuarial Journal 1 The Canadian Journal of Statistics 1 Journal of Statistical Planning and Inference 1 Mathematics and Computers in Simulation 1 Journal of Complexity 1 Communications in Statistics. Simulation and Computation 1 Journal of Statistical Computation and Simulation 1 International Journal of Theoretical and Applied Finance 1 Journal of Applied Statistics 1 Quantitative Finance 1 SIAM Journal on Financial Mathematics 1 The Journal of Computational Finance Fields 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Statistics (62-XX) 8 Probability theory and stochastic processes (60-XX) 4 Numerical analysis (65-XX) 1 General and overarching topics; collections (00-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 10 Publications have been cited 47 times in 41 Documents Cited by ▼ Year ▼ Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205Kolkiewicz, Adam; Liu, Yan 14 2012 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 11 2001 Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414Kolkiewicz, Adam W.; Lin, Fangyuan Sally 6 2017 Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 6 2013 An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2003 Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 2 2002 Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges. Zbl 1407.65012Kolkiewicz, Adam W. 1 2018 On suboptimality of delta hedging for Asian options. Zbl 1315.91064Kolkiewicz, Adam W. 1 2015 Efficient Monte Carlo simulation for integral functionals of Brownian motion. Zbl 1287.65004Kolkiewicz, Adam W. 1 2014 Projection pursuit based tests of normality with functional data. Zbl 1455.62231Kolkiewicz, Adam; Rice, Gregory; Xie, Yijun 1 2021 Projection pursuit based tests of normality with functional data. Zbl 1455.62231Kolkiewicz, Adam; Rice, Gregory; Xie, Yijun 1 2021 Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges. Zbl 1407.65012Kolkiewicz, Adam W. 1 2018 Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414Kolkiewicz, Adam W.; Lin, Fangyuan Sally 6 2017 On suboptimality of delta hedging for Asian options. Zbl 1315.91064Kolkiewicz, Adam W. 1 2015 Efficient Monte Carlo simulation for integral functionals of Brownian motion. Zbl 1287.65004Kolkiewicz, Adam W. 1 2014 Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 6 2013 Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205Kolkiewicz, Adam; Liu, Yan 14 2012 An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 4 2003 Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 2 2002 Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng 11 2001 all cited Publications top 5 cited Publications all top 5 Cited by 78 Authors 5 Kolkiewicz, Adam W. 3 Ai, Meiqiao 3 Gan, Guojun 3 Tan, Ken Seng 3 Zhang, Zhimin 2 Bernard, Carole L. 2 Boyle, Phelim P. 2 Goard, Joanna M. 2 Kwak, Minsuk 2 Wang, Xiaoqun 2 Xiang, Jiangming 2 Xu, Wei (David) 1 Alonso-García, Jennifer 1 Bacinello, Anna Rita 1 Bao, Jiayong 1 Baude, Françoise 1 Becker, Sebastian 1 Berridge, S. J. 1 Bossy, Mireille 1 Chen, Yuehuan 1 Cheridito, Patrick 1 Coleman, Conrad 1 Coleman, Thomas F. 1 Crujeiras, Rosa María 1 Cui, Zhenyu 1 de la Cruz, H. 1 Deng, Guohe 1 Doan, Viet Dung 1 Engler, David A. 1 Forsyth, Peter A. 1 Fung, Man Chung 1 Gaikwad, Abhijeet 1 Gao, Yin 1 García-Portugués, Eduardo 1 González-Manteiga, Wenceslao 1 González, Hernán Mardones 1 Groendyke, Chris 1 Hartman, Brian M. 1 Huang, Huaxiong 1 Hyndman, Cody Blaine 1 Ignatieva, Katja 1 Imai, Junichi 1 Jentzen, Arnulf 1 Jeon, Junkee 1 Jimenez, Juan Carlos 1 le Roux, Martin 1 Lejay, Antoine 1 Lin, Fangyuan Sally 1 Lin, X. Sheldon 1 Liu, Kai 1 Ma, Chaoqun 1 Madan, Dilip B. 1 Mallier, Roland 1 Milevsky, Moshe Arye 1 Pan, Zeyu 1 Pistorius, Martijn R. 1 Qin, Bin 1 Salisbury, Thomas S. 1 Schoutens, Wim 1 Schumacher, Johannes M. 1 Sherris, Michael 1 Shi, Benxuan 1 Stokes-Rees, Ian 1 Valdez, Emiliano A. 1 Vanduffel, Steven 1 Vetzal, Kenneth R. 1 Wang, Jindong 1 Wenger, Menachem 1 Windcliff, Heath 1 Wood, Oliver 1 Wu, Xinyu 1 Xue, Guangming 1 Yang, Wenyu 1 Yu, Wenguang 1 Yuan, Lin 1 Zhao, Xiujuan 1 Zhao, Yuexu 1 Ziveyi, Jonathan all top 5 Cited in 21 Serials 8 Insurance Mathematics & Economics 5 Journal of Computational and Applied Mathematics 5 North American Actuarial Journal 3 Mathematics and Computers in Simulation 3 Quantitative Finance 1 Journal of Computational Physics 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Journal of Economic Dynamics & Control 1 Mathematical and Computer Modelling 1 Complexity 1 International Journal of Theoretical and Applied Finance 1 Communications in Nonlinear Science and Numerical Simulation 1 The ANZIAM Journal 1 Scandinavian Actuarial Journal 1 Journal of Systems Science and Complexity 1 Journal of Machine Learning Research (JMLR) 1 ASTIN Bulletin 1 Journal of Industrial and Management Optimization 1 Mathematics and Financial Economics 1 SIAM Journal on Financial Mathematics all top 5 Cited in 9 Fields 37 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Probability theory and stochastic processes (60-XX) 10 Statistics (62-XX) 10 Numerical analysis (65-XX) 2 Computer science (68-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Fluid mechanics (76-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year