The market for structured products has grown dramatically in the past decade. Their diversity
and complexity have led to the development of many different valuation approaches, and it …

In this paper, we propose a semi-analytic algorithm for measuring the mean and variance of
the cost associated with a two-sided move-based hedging of options written on an …

In this thesis, the common special features and the main assumptions of valuing and pricing
Structured Products are analysed. The method reviewed uses one dimensional modelling in …

This thesis provides various contributions on the subjects of counterparty risk and structured
product valuation. Concerning counterparty risk, we propose new flexible and effective …

Variable annuities (VA) are equity-linked annuity contracts which provide the opportunity for
policy-holders to benefit from financial markets appreciation and at the mean time provide …