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Author ID: ziveyi.jonathan Recent zbMATH articles by "Ziveyi, Jonathan"
Published as: Ziveyi, Jonathan
Documents Indexed: 17 Publications since 2010
Co-Authors: 18 Co-Authors with 17 Joint Publications
235 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

12 Publications have been cited 84 times in 54 Documents Cited by Year
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
14
2016
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. Zbl 1400.91249
Kang, Boda; Ziveyi, Jonathan
10
2018
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. Zbl 1369.91195
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan
9
2016
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Zbl 1400.91648
Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan
9
2018
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. Zbl 1420.91130
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan
9
2019
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
7
2018
American option pricing under two stochastic volatility processes. Zbl 1335.91079
Chiarella, Carl; Ziveyi, Jonathan
6
2013
Valuing variable annuity guarantees on multiple assets. Zbl 1401.91127
Da Fonseca, José; Ziveyi, Jonathan
6
2017
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
5
2020
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms. Zbl 1218.91152
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan
3
2010
Pricing American options written on two underlying assets. Zbl 1294.91169
Chiarella, Carl; Ziveyi, Jonathan
3
2014
Pricing European options on deferred annuities. Zbl 1284.91557
Ziveyi, Jonathan; Blackburn, Craig; Sherris, Michael
3
2013
Cohort and value-based multi-country longevity risk management. Zbl 1448.91267
Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan
5
2020
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. Zbl 1420.91130
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan
9
2019
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. Zbl 1400.91249
Kang, Boda; Ziveyi, Jonathan
10
2018
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Zbl 1400.91648
Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan
9
2018
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality. Zbl 1390.91190
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
7
2018
Valuing variable annuity guarantees on multiple assets. Zbl 1401.91127
Da Fonseca, José; Ziveyi, Jonathan
6
2017
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. Zbl 1371.91178
Ignatieva, Katja; Song, Andrew; Ziveyi, Jonathan
14
2016
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. Zbl 1369.91195
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan
9
2016
Pricing American options written on two underlying assets. Zbl 1294.91169
Chiarella, Carl; Ziveyi, Jonathan
3
2014
American option pricing under two stochastic volatility processes. Zbl 1335.91079
Chiarella, Carl; Ziveyi, Jonathan
6
2013
Pricing European options on deferred annuities. Zbl 1284.91557
Ziveyi, Jonathan; Blackburn, Craig; Sherris, Michael
3
2013
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms. Zbl 1218.91152
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan
3
2010
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Cited by 91 Authors

9 Ziveyi, Jonathan
5 Jeon, Junkee
4 Kwak, Minsuk
3 Canhanga, Betuel
3 Ignatieva, Katja
3 Kang, Boda
3 Malyarenko, Anatoliy A.
3 Sherris, Michael
3 Silvestrov, Sergei D.
2 Ballotta, Laura
2 Cheang, Gerald H. L.
2 Chiarella, Carl
2 Eberlein, Ernst W.
2 Griebsch, Susanne A.
2 Gudkov, Nikolay
2 Mamon, Rogemar S.
2 Molent, Andrea
2 Murara, Jean-Paul
2 Ni, Ying
2 Schmidt, Thorsten
2 Shen, Yang
2 Tan, Ken Seng
2 Weng, Chengguo
2 Xiong, Heng
2 Zeineddine, Raghid
1 Alonso-García, Jennifer
1 Aranishi, Futoshi
1 Bacinello, Anna Rita
1 Barigou, Karim
1 Blackburn, Craig
1 Blake, David
1 Bravo, Jorge Miguel
1 Cairns, Andrew J. G.
1 Company, Rafael
1 Da Fonseca, José
1 De Rosa, Clemente
1 Delong, Łukasz
1 Dong, Bing
1 Egorova, Vera N.
1 Engler, David A.
1 Fujihara, Masayuki
1 Fung, Man Chung
1 Gajek, Lesław
1 Gao, Xiong
1 Garces, Len Patrick Dominic M.
1 Godin, Frédéric
1 Goudenège, Ludovic
1 Groendyke, Chris
1 Hainaut, Donatien
1 Hartman, Brian M.
1 He, Lin
1 Huang, Yiming
1 Izumi, Tomoki
1 Jevtić, Petar
1 Jódar Sanchez, Lucas Antonio
1 Kim, Geonwoo
1 Kwok, Yue-Kuen
1 Lai, Van Son
1 Liang, Zongxia
1 Linders, Daniël
1 Luciano, Elisa
1 Lyu, Jianping
1 Ma, Ming
1 Ma, Yong
1 Mackay, Anne
1 McCarthy, David G.
1 Moenig, Thorsten
1 Njike Leunga, Charles Guy
1 Nunes, João Pedro Vidal
1 Ocejo, Adriana
1 Park, Kyunghyun
1 Pirvu, Traian A.
1 Rančić, Milica
1 Regis, Luca
1 Rudź, Marcin
1 Shen, Zhiyi
1 Song, Andrew
1 Tanaka, Tomomi
1 Trottier, Denis-Alexandre
1 van Bilsen, Servaas
1 Wang, Jindong
1 Wang, Po-Lin
1 Wood, Oliver
1 Yoshioka, Hidekazu
1 Zanette, Antonino
1 Zhang, Jinggong
1 Zhang, Sumei
1 Zhao, Yixing
1 Zhu, Dan
1 Ziogas, Andrew
1 Zoccolan, Ivan

Citations by Year