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  7. Ignatieva, Katja [Author] ; Song, Andrew [Other]; Ziveyi, Jonathan [Other]

    Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality

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    [S.l.]: SSRN, [2016]

  8. Ignatieva, Katja [Author] ; Rodrigues, Paulo [Other]; Seeger, Norman [Other]

    Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices

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    [S.l.]: SSRN, [2015]

  11. Ignatieva, Katja [Author] ; Platen, Eckhard [Other]

    Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae

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    [S.l.]: SSRN, [2012]

    Published in: Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 265

  12. Ignatieva, Katja [Author] ; Platen, Eckhard [Other]; Rendek, Renatak [Other]

    Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

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    [S.l.]: SSRN, [2012]

    Published in: Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 284

  13. Ignatieva, Katja [Author] ; Rodrigues, Paulo [Other]; Seeger, Norman [Other]

    Stochastic Volatility and Jumps : Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics

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    [S.l.]: SSRN, [2009]

  15. Da Fonseca, José [Author] ; Ignatieva, Katja [Other]; Ziveyi, Jonathan [Other]

    Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

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    [S.l.]: SSRN, [2015]

    Published in: UNSW Business School Research Paper ; No. 2015ACTL05

  16. Fung, Simon Man Chung [Author] ; Ignatieva, Katja [Other]; Sherris, Michael [Other]

    Managing Systematic Mortality Risk in Life Annuities : An Application of Longevity Derivatives

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    [S.l.]: SSRN, [2015]

    Published in: UNSW Business School Research Paper ; No. 20015ACTL04

  18. Ignatieva, Katja [Author]; Landsman, Zinoviy [Author]

    A New Class of Generalised Hyper-Elliptical Distributions and Their Applications in Computing Conditional Tail Risk Measures

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    [S.l.]: SSRN, [2021]

  19. Ignatieva, Katja [Author]; Landsman, Zinoviy [Author]

    Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family

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    [S.l.]: SSRN, 2015

    Published in: UNSW Business School Research Paper ; No. 2015ACTL07