Daniel Hemant Linders

20122020
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Research Output 2012 2020

  • 16 Article
  • 2 Conference contribution
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Article
2020

Comonotonic asset prices in arbitrage-free markets

Dhaene, J., Kukush, A. & Linders, D. H., Jan 15 2020, In : Journal of Computational and Applied Mathematics. 364, 112310.

Research output: Contribution to journalArticle

Arbitrage
Comonotonicity
Asian Options
Reachability
Date
2019

Affordable and adequate annuities with stable payouts: Fantasy or reality?

van Bilsen, S. & Linders, D. H., May 1 2019, In : Insurance: Mathematics and Economics. 86, p. 19-42 24 p.

Research output: Contribution to journalArticle

Stylized Facts
Stock Returns
Misspecification
Hedging
Asymmetry

American-type basket option pricing: a simple two-dimensional partial differential equation

Hanbali, H. & Linders, D. H., Oct 3 2019, In : Quantitative Finance. 19, 10, p. 1689-1704 16 p.

Research output: Contribution to journalArticle

Derivatives
Option pricing
Basket option
Partial differential equations
Methodology
2017

Aggregating risks with partial dependence information

Linders, D. H. & Yang, F., Oct 10 2017, In : North American Actuarial Journal. 21, 4, p. 565-579 15 p.

Research output: Contribution to journalArticle

Upper bound
Partial
Convex Order
Dependence Structure
Uniqueness

Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency

Dhaene, J., Stassen, B., Barigou, K., Linders, D. H. & Chen, Z., Sep 1 2017, In : Insurance: Mathematics and Economics. 76, p. 14-27 14 p.

Research output: Contribution to journalArticle

Insurance
Valuation
Merging
Market
Judgment
2016

The multivariate Variance Gamma model: basket option pricing and calibration

Linders, D. H. & Stassen, B., Apr 2 2016, In : Quantitative Finance. 16, 4, p. 555-572 18 p.

Research output: Contribution to journalArticle

Option pricing
Calibration
Basket option
Variance gamma
Multivariate models
2015

On an optimization problem related to static super-replicating strategies

Chen, X., Deelstra, G., Dhaene, J., Linders, D. H. & Vanmaele, M., Apr 15 2015, In : Journal of Computational and Applied Mathematics. 278, p. 213-230 18 p.

Research output: Contribution to journalArticle

Superreplication
Comonotonicity
Stochastic Interest Rates
Optimization Problem
Nonuniqueness

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, D., Dhaene, J. & Schoutens, W., 2015, In : Int. J. Financ. Eng.. 2, 2, p. 1550012, 35

Research output: Contribution to journalArticle

Stock market
Option prices
Herd behavior
Stock prices
Random variables

Ordered random vectors and equality in distribution

Cheung, K. C., Dhaene, J., Kukush, A. & Linders, D. H., Apr 3 2015, In : Scandinavian Actuarial Journal. 2015, 3, p. 221-244 24 p.

Research output: Contribution to journalArticle

Random Vector
Equality
Comonotonicity
Sum formula
Moment Conditions

Stochastic modelling of herd behaviour indices

Guillaume, F. & Linders, D. H., Dec 2 2015, In : Quantitative Finance. 15, 12, p. 1963-1977 15 p.

Research output: Contribution to journalArticle

Stochastic modeling
Herd behavior
Mean-reverting process
Time series data
Diffusion process
2014

A framework for robust measurement of implied correlation

Linders, D. H. & Schoutens, W., Dec 1 2014, In : Journal of Computational and Applied Mathematics. 271, p. 39-52 14 p.

Research output: Contribution to journalArticle

Stock Prices
Volatility
Estimate
Framework
Log Normal Distribution

A multivariate dependence measure for aggregating risks

Dhaene, J., Linders, D. H., Schoutens, W. & Vyncke, D., Jun 1 2014, In : Journal of Computational and Applied Mathematics. 263, p. 78-87 10 p.

Research output: Contribution to journalArticle

Copula
Risk Factors
Distribution Function
Distribution functions
Sums of Random Variables

The multivariate black & scholes market: Conditions for completeness and no-arbitrage

Dhaene, J., Kukush, A. & Linders, D. H., 2014, In : Theory of Probability and Mathematical Statistics. 88, p. 85-98 14 p.

Research output: Contribution to journalArticle

Arbitrage
Completeness
Model
Multivariate Models
Stock Prices
2012

On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures

Goovaerts, M., Linders, D. H., Van Weert, K. & Tank, F., Jul 1 2012, In : Insurance: Mathematics and Economics. 51, 1, p. 10-18 9 p.

Research output: Contribution to journalArticle

Risk Measures
Mean Value
Tail
Convex Risk Measures
Value at Risk

Remarks on quantiles and distortion risk measures

Dhaene, J., Kukush, A., Linders, D. H. & Tang, Q., Dec 1 2012, In : European Actuarial Journal. 2, 2, p. 319-328 10 p.

Research output: Contribution to journalArticle

Risk Measures
Quantile
Additivity
Weighted Average
Cover

The herd behavior index: A new measure for the implied degree of co-movement in stock markets

Dhaene, J., Linders, D. H., Schoutens, W. & Vyncke, D., May 1 2012, In : Insurance: Mathematics and Economics. 50, 3, p. 357-370 14 p.

Research output: Contribution to journalArticle

Stock Market
Extremes
Stock Prices
Movement
Stock market