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Adam Kolkiewicz
Adam Kolkiewicz
Verified email at uwaterloo.ca
Title
Cited by
Cited by
Year
Pricing and hedging more general double-barrier options
AW Kolkiewicz
Journal of Computational Finance 5 (3), 1-26, 2002
432002
Semi-static hedging for GMWB in variable annuities
A Kolkiewicz, Y Liu
North American Actuarial Journal 16 (1), 112-140, 2012
422012
An improved simulation method for pricing high-dimensional American derivatives
PP Boyle, AW Kolkiewicz, KS Tan
Mathematics and Computers in Simulation 62 (3-6), 315-322, 2003
412003
Pricing American style options using low discrepancy mesh methods
PP Boyle, A Kolkiewicz, KS Tan
University of Waterloo, Tech. Rep. IIPR 00-07, 2000
352000
Valuation of the reset options embedded in some equity-linked insurance products
PP Boyle, AW Kolkiewicz, KS Tan
North American Actuarial Journal 5 (3), 1-18, 2001
342001
Pricing American derivatives using simulation: A biased low approach
PP Boyle, AW Kolkiewicz, KS Tan
Monte Carlo and Quasi-Monte Carlo Methods 2000: Proceedings of a Conferenceá…, 2002
322002
A parallel quasi-Monte Carlo approach to pricing multidimensional American options
JWL Wan, K Lai, AW Kolkiewicz, KS Tan
International Journal of High Performance Computing and Networking 4 (5-6á…, 2006
30*2006
Unit-linked life insurance contracts with lapse rates dependent on economic factors
AW Kolkiewicz, KS Tan
Annals of actuarial science 1 (1), 49-78, 2006
222006
Pricing surrender risk in ratchet equity-index annuities under regime-switching LÚvy processes
AW Kolkiewicz, FS Lin
North American Actuarial Journal 21 (3), 433-457, 2017
152017
Fitting diffusion models in finance
DL McLeish, AW Kolkiewicz
Lecture Notes-Monograph Series, 327-350, 1997
141997
Projection pursuit based tests of normality with functional data
A Kolkiewicz, G Rice, Y Xie
Journal of Statistical Planning and Inference 211, 326-339, 2021
132021
Bayesian analysis of asymmetric stochastic conditional duration model
Z Men, AW Kolkiewicz, TS Wirjanto
Journal of Forecasting 34 (1), 36-56, 2015
132015
Comparison of asymmetric stochastic volatility models under different correlation structures
Z Men, D McLeish, AW Kolkiewicz, TS Wirjanto
Journal of Applied Statistics 44 (8), 1350-1368, 2017
122017
Pricing Bermudan options using low-discrepancy mesh methods
PP Boyle, AW Kolkiewicz, KS Tan
Quantitative Finance 13 (6), 841-860, 2013
122013
Bayesian inference of asymmetric stochastic conditional duration models
Z Men, AW Kolkiewicz, TS Wirjanto
Journal of Statistical Computation and Simulation 86 (7), 1295-1319, 2016
112016
Discrete time ruin probability for takaful (islamic insurance) with investment and qard-hasan (benevolent loan) activities
D Puspita, A Kolkiewicz, KS Tan
Journal of Risk and Financial Management 13 (9), 211, 2020
92020
Bayesian analysis of a threshold stochastic volatility model
TS Wirjanto, AW Kolkiewicz, Z Men
Journal of Forecasting 35 (5), 462-476, 2016
82016
Variable annuities with fees tied to VIX
C Bernard, A Kolkiewicz, J Tang
Working paper. http://egrie2016. ucy. ac. cy/wp-content/uploads/2016/09á…, 2016
82016
Computation of multivariate barrier crossing probability and its applications in credit risk models
J Huh, A Kolkiewicz
North American Actuarial Journal 12 (3), 263-291, 2008
82008
Threshold stochastic conditional duration model for financial transaction data
Z Men, AW Kolkiewicz, TS Wirjanto
Journal of Risk and Financial Management 12 (2), 88, 2019
62019
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Articles 1–20