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Klaus Sandmann

Personal Details

First Name:Klaus
Middle Name:
Last Name:Sandmann
RePEc Short-ID:psa599
[This author has chosen not to make the email address public]
Terminal Degree:1991 Wirtschaftswissenschaftlicher Fachbereich; Rheinische Friedrich-Wilhelms-Universität Bonn (from RePEc Genealogy)


(in no particular order)

Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia

+61 2 9514-7777
+61 2 9514-7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:qfutsau (more details at EDIRC)

Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia

+61 2 9514 7777
+61 2 9514 7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:sfutsau (more details at EDIRC)

Research output

Jump to: Working papers Articles

Working papers

  1. J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010. "Equity-Linked Pension Schemes with Guarantees," Research Paper Series 270, Quantitative Finance Research Centre, University of Technology, Sydney.

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  1. 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.
  2. Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Verein für Socialpolitik, vol. 9, pages 207-231, May.
  3. 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.
  4. 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.
  5. 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.
  6. 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 409-430, March.
  7. 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, vol. 7(2), pages 119-125.
  8. 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;International Association for the Study of Insurance Economics (The Geneva Association), vol. 21(1), pages 65-102, June.
  9. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  10. 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.
  11. Klaus Sandmann, 1993. "The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 201-216.
  12. 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.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-SEA: South East Asia (1) 2010-02-27


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