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Klaus Sandmann

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Personal Details

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

Email: [This author has chosen not to make the email address public]
Homepage: http://datasearch.uts.edu.au/business/finance/staff/StaffDetails.cfm?UnitStaffId=5368
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Affiliation

(in no particular order)

Works

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Working papers

  1. J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010. "Equity-Linked Pension Schemes with Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 270, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. 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, University of Bonn, Germany 431, University of Bonn, Germany.
  3. Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B, University of Bonn, Germany 398, University of Bonn, Germany.
  4. K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B, University of Bonn, Germany 272, University of Bonn, Germany.
  5. Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B, University of Bonn, Germany 327, University of Bonn, Germany, revised Mar 1996.
  6. K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B, University of Bonn, Germany 212, University of Bonn, Germany.
  7. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B, University of Bonn, Germany 323, University of Bonn, Germany, revised Dec 1995.
  8. Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B, University of Bonn, Germany 291, University of Bonn, Germany, revised Mar 1995.
  9. Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B, University of Bonn, Germany 308, University of Bonn, Germany.
  10. D. Sondermann & Sandmann, K., 1994. "On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures," Discussion Paper Serie B, University of Bonn, Germany 263, University of Bonn, Germany.
  11. Sandmann, K. & E. Schl�gl, 1993. "Zustandspreise und die Modellierung des Zinsänderungsrisikos," Discussion Paper Serie B, University of Bonn, Germany 238, University of Bonn, Germany.
  12. Reimer, Matthias & Klaus Sandmann, 1993. "Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie," Discussion Paper Serie B, University of Bonn, Germany 239, University of Bonn, Germany.
  13. K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B, University of Bonn, Germany 180, University of Bonn, Germany.
  14. Sandmann,Klaus & Sondermann,Dieter, . "A term structure model and the pricing of interest rate options," Discussion Paper Serie B, University of Bonn, Germany 129, University of Bonn, Germany.
  15. Sandmann,Klaus & Sondermann,Dieter, . "Zur Bewertung von Caps und Floors," Discussion Paper Serie B, University of Bonn, Germany 98, University of Bonn, Germany.
  16. Sandmann,Klaus, . "An intertemporal interest rate market model: Complete markets," Discussion Paper Serie B, University of Bonn, Germany 94, University of Bonn, Germany.
  17. Sandmann,Klaus, . "The pricing of options with an uncertain interest rate: A discrete time approach," Discussion Paper Serie B, University of Bonn, Germany 114, University of Bonn, Germany.
  18. von Borries,Daniel & Sandmann,Klaus, . "Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten," Discussion Paper Serie B, University of Bonn, Germany 241, University of Bonn, Germany.

Articles

  1. An Chen & Klaus Sandmann, 2012. "In-Arrears Term Structure Products: No Arbitrage Pricing Bounds And The Convexity Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250054-1-1.
  2. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
  3. Klaus Sandmann & Manuel Wittke, 2010. "It'S Your Choice: A Unified Approach To Chooser Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 139-161.
  4. Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 9, pages 207-231, 05.
  5. Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006. "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, Springer, vol. 2(3), pages 303-325, July.
  6. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 38(02), pages 449-473, June.
  7. 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, Springer, vol. 6(3), pages 355-370.
  8. 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, American Finance Association, vol. 52(1), pages 409-30, March.
  9. Klaus Sandmann & Dieter Sondermann, 1997. "A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(2), pages 119-125.
  10. 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, vol. 21(1), pages 65-102, June.
  11. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  12. 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.
  13. Klaus Sandmann, 1993. "The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 3(2), pages 201-216.
  14. C. Seidl & G. Nöldeke & H. Zink & K. Sandmann & Y. Ishii & H. Welsch & F. Winden & K. Laski, 1992. "Book reviews," Journal of Economics, Springer, Springer, vol. 55(2), pages 221-244, June.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-SEA: South East Asia (1) 2010-02-27. Author is listed

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