4 papers
Valuation of Variable Annuities with Equity Protection Swaps under Jumps and Default Risks
Marek Rutkowski, Huansang Xu
This paper examines the valuation and hedging of standard equity protection swap (EPS) products proposed by Xu et al.. To account for financial crises and counterparty default risk…
Fast catastrophe bond valuation with neural-network surrogates
Julian Sester, Huansang Xu
Catastrophe bonds are increasingly important risk-transfer securities, but structural pricing is too slow for real-time valuation, screening, and sensitivity analysis. We develop a…
Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps
Marek Rutkowski, Huansang Xu
In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPS…
Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
Huansang Xu, Ruyi Liu, Marek Rutkowski
We propose to develop a new class of investment insurance products for holders of superannuation accounts in Australia, which we tentatively call equity protection swaps (EPSs). An…