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Information about:
Klaus Sandmann

Personal Details | Affiliation | Works
This is information that was supplied by Klaus Sandmann in registering through RePEc. If you are Klaus Sandmann , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Klaus
Middle Name:
Last Name: Sandmann
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RePEc Short-ID: psa599

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Homepage: http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=5368
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany. [Downloadable!]

  2. Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B 398, University of Bonn, Germany. [Downloadable!]

  3. Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B 291, University of Bonn, Germany, revised Mar 1995. [Downloadable!]
    Published as:

  4. Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996. [Downloadable!]
    Published as:

  5. K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany. [Downloadable!]

  6. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]

  7. K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany. [Downloadable!]

  8. D. Sondermann & Sandmann, K., 1994. "On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures," Discussion Paper Serie B 263, University of Bonn, Germany. [Downloadable!]

  9. Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B 308, University of Bonn, Germany. [Downloadable!]
    Published as:

  10. Sandmann, K. & E. Schlögl, 1993. "Zustandspreise und die Modellierung des Zinsänderungsrisikos," Discussion Paper Serie B 238, University of Bonn, Germany.

  11. K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany. [Downloadable!]

  12. Reimer, Matthias & Klaus Sandmann, 1993. "Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie," Discussion Paper Serie B 239, University of Bonn, Germany.

  13. Sandmann,Klaus & Sondermann,Dieter, . "A term structure model and the pricing of interest rate options," Discussion Paper Serie B 129, University of Bonn, Germany.

  14. Sandmann,Klaus, . "The pricing of options with an uncertain interest rate: A discrete time approach," Discussion Paper Serie B 114, University of Bonn, Germany.

  15. von Borries,Daniel & Sandmann,Klaus, . "Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten," Discussion Paper Serie B 241, University of Bonn, Germany.

  16. Sandmann,Klaus, . "An intertemporal interest rate market model: Complete markets," Discussion Paper Serie B 94, University of Bonn, Germany.

  17. Sandmann,Klaus & Sondermann,Dieter, . "Zur Bewertung von Caps und Floors," Discussion Paper Serie B 98, University of Bonn, Germany.

Articles

  1. Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Blackwell Publishing, vol. 9, pages 207-231, 05. [Downloadable!] (restricted)

  2. Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006. "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, vol. 2(3), pages 303-325, July. [Downloadable!] (restricted)

  3. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 449-473, June. [Downloadable!]

  4. Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370. [Downloadable!] (restricted)

  5. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-30, March. [Downloadable!] (restricted)
    Other versions:

  6. J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan Journals, vol. 21(1), pages 65-102, June. [Downloadable!] (restricted)
    Other versions:

  7. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July. [Downloadable!] (restricted)
    Other versions:

  8. C. Seidl & G. Nöldeke & H. Zink & K. Sandmann & Y. Ishii & H. Welsch & F. Winden & K. Laski, 1992. "Book reviews," Journal of Economics, Springer, vol. 55(2), pages 221-244, June. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.

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