Natural hedging with fix and floating strike guarantees


We analyze minimum return rate guarantees including fixed guarantee rates prevailing for the whole contract horizon and floating guarantee rates linked to the interest rate evolution. In a complete arbitrage free market, we... [ view full abstract ]


  1. Antje Mahayni (University Duisburg-Essen)
  2. Katharina Stein (University Duisburg-Essen)
  3. Oliver Lubos (University Duisburg-Essen)

Topic Areas

Hedging , Insurance , Risk Management


WE-P-B2 » Asset Pricing (14:30 - Wednesday, 18th July, Beckett 2)

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