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Kolkiewicz, Adam W.

Author ID: kolkiewicz.adam-w Recent zbMATH articles by "Kolkiewicz, Adam W."
Published as: Kolkiewicz, Adam W.; Kolkiewicz, Adam

Publications by Year

Citations contained in zbMATH Open

12 Publications have been cited 53 times in 47 Documents Cited by Year
Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205
Kolkiewicz, Adam; Liu, Yan
14
2012
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414
Kolkiewicz, Adam W.; Lin, Fangyuan Sally
10
2017
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
6
2013
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
On suboptimality of delta hedging for Asian options. Zbl 1315.91064
Kolkiewicz, Adam W.
1
2015
Efficient Monte Carlo simulation for integral functionals of Brownian motion. Zbl 1287.65004
Kolkiewicz, Adam W.
1
2014
Comparison of asymmetric stochastic volatility models under different correlation structures. Zbl 1516.62475
Men, Zhongxian; Mcleish, Don; Kolkiewicz, Adam W.; Wirjanto, Tony S.
1
2017
Computation of multivariate barrier crossing probability and its applications in credit risk models. Zbl 1481.91219
Huh, Joonghee; Kolkiewicz, Adam
1
2008
Projection pursuit based tests of normality with functional data. Zbl 1455.62231
Kolkiewicz, Adam; Rice, Gregory; Xie, Yijun
1
2021
Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges. Zbl 1407.65012
Kolkiewicz, Adam W.
1
2018
Projection pursuit based tests of normality with functional data. Zbl 1455.62231
Kolkiewicz, Adam; Rice, Gregory; Xie, Yijun
1
2021
Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges. Zbl 1407.65012
Kolkiewicz, Adam W.
1
2018
Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes. Zbl 1414.91414
Kolkiewicz, Adam W.; Lin, Fangyuan Sally
10
2017
Comparison of asymmetric stochastic volatility models under different correlation structures. Zbl 1516.62475
Men, Zhongxian; Mcleish, Don; Kolkiewicz, Adam W.; Wirjanto, Tony S.
1
2017
On suboptimality of delta hedging for Asian options. Zbl 1315.91064
Kolkiewicz, Adam W.
1
2015
Efficient Monte Carlo simulation for integral functionals of Brownian motion. Zbl 1287.65004
Kolkiewicz, Adam W.
1
2014
Pricing Bermudan options using low-discrepancy mesh methods. Zbl 1281.91181
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
6
2013
Semi-static hedging for GMWB in variable annuities. Zbl 1291.91205
Kolkiewicz, Adam; Liu, Yan
14
2012
Computation of multivariate barrier crossing probability and its applications in credit risk models. Zbl 1481.91219
Huh, Joonghee; Kolkiewicz, Adam
1
2008
An improved simulation method for pricing high-dimensional American derivatives. Zbl 1036.91020
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
4
2003
Pricing American derivatives using simulation: A biased low approach. Zbl 1008.91059
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
2
2002
Valuation of the reset options embedded in some equity-linked insurance products. Zbl 1083.91511
Boyle, Phelim P.; Kolkiewicz, Adam W.; Tan, Ken Seng
11
2001
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Cited by 87 Authors

6 Zhang, Zhimin
5 Ai, Meiqiao
5 Kolkiewicz, Adam W.
3 Gan, Guojun
3 Tan, Ken Seng
2 Bernard, Carole
2 Boyle, Phelim P.
2 Goard, Joanna M.
2 Kwak, Minsuk
2 Wang, Xiaoqun
2 Xiang, Jiangming
2 Xu, Wei (David)
2 Zhu, Dan
1 Aguilar, Jean-Philippe
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 Kirkby, Justin Lars
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 Metzler, Adam
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 Wang, Yayun
1 Wang, Yunyun
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 Zhang, Zehua
1 Zhao, Ran
1 Zhao, Xiujuan
1 Zhao, Yuexu
1 Zhong, Wei
1 Ziveyi, Jonathan

Citations by Year