Valuation Of Currency Options In Target Zone Models With Cox Realignments (2007)
Steen Jørgensen, Kristian R. Miltersen, Lene B. Nielsen, B. Nielsen
We develop a model to price currency options in a Krugman (1991) exchange rate target zone model with realignment risk. We adapt the realignment scenario of Dumas, Jennergren, and Naslund (1995) with...
Rd Investments With Competitive Interactions (2007)
Kristian Miltersen And, Kristian R. Miltersen, Eduardo, S. Schwartz
In this article we develop a model to analyze patent-protected R&D investment projects when there is (imperfect) competition in the development and marketing of the resulting product. The...
A COMPARISON OF CALL STRATEGIES FOR CALLABLE ANNUITY MORTGAGES (2007)
Peter Løchte Jørgensen, Kristian R. Miltersen, Carsten Sørensen
In this paper we consider and compare di#erent strategies for calling callable anuity mortgages.
Minimum Rate Of Return Guarantees: The Danish Case (2001)
Mette Hansen, Kristian R. Miltersen, Kristian, R. Miltersen
. We analyze minimum rate of return guarantees for life insurance (investment) contracts and pension plans with a smooth surplus distribution mechanism. We specifically model the smoothing mechanism...
State-Dependent Realignments In Target Zone Currency Regimes (1999)
Peter Ove Christensen, David Lando, Kristian R. Miltersen, Kristian, R. Miltersen
. We model the realignment risk in a two-factor exchange rate target zone model using a Cox process framework. The first factor is the current exchange rate evolving inside the target zone, and the...
En sammenligning af konverteringsstrategier for konverterbare realkreditlån (1996)
Jørgensen, Peter Løchte, Miltersen, Kristian R., Sørensen, Carsten
The Term Structure, Kristian R. Miltersen, Odense Universitet
In the setting of the Heath-Jarrow-Morton model this paper presents su#cient conditions to assure that the stochastic forward rates are strictly positive while maintaining the martingale property of...
Kristian R. Miltersen, Eduardo, Eduardo S. Schwartz
. We develop a model to value options on commodity futures in the presence of stochastic interest rates as well as stochastic convenience yields. In the development of the model, we distinguish...
R&D Investments with Competitive Interactions
Kristian R. Miltersen, Eduardo S. Schwartz
In this article we develop a model to analyze patent-protected R&D investment projects when there is (imperfect) competition in the development and marketing of the resulting product. The competitive...
International Comparison of Interest Rate Guarantees in Life Insurance
Cummins, J. David, Miltersen, Kristian R., Persson, Svein-Arne
Interest rate guarantees seem to be included in life insurance and pension products in most countries. The exact implementations of these guarantees vary from country to country and are often linked...
Real Options With Uncertain Maturity and Competition
Kristian R. Miltersen, Eduardo S. Schwartz
We develop a new approach to dealing with real options problems with uncertain maturity. This type of situation is typical for R&D investments and mine or oil exploration projects. These types of...
Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates.
Miltersen, Kristian R, Sandmann, Klaus, Sondermann, Dieter
The authors derive a unified model that gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero-coupon bonds. The crucial assumption is...
R&D Investments with Competitive Interactions
Kristian R. Miltersen, Eduardo S. Schwart
In this article we develop a model to analyze patent-protected R&D investment projects when there is (imperfect) competition in the development and marketing of the resulting product. The competitive...
R&D Investments with Competitive Interactions
Kristian R. Miltersen, Eduardo S. Schwart
In this article we develop a model to analyze patent-protected R&D investment projects when there is (imperfect) competition in the development and marketing of the resulting product. The competitive...
Miltersen, Kristian R., Schwartz, Eduardo S.
We develop a model to value options on commodity futures in the presence of stochastic interest rates as well as stochastic convenience yields. In the development of the model, we distinguish between...