Prof. Dr. Klaus Sandmann
© Jürgen Hofmann/Uni Bonn
Prof. Dr. Klaus Sandmann
1.008
Adenauerallee 24-26
53113 Bonn
Office Hours
By Agreement. Please write an e-mail to make an appointment.
Teaching
Current lectures and seminars held by Prof. Dr. Sandmann can be found on Basis
Degree Thesis
Due to his position as a vice rector of the University of Bonn, Prof. Dr. Sandmann is currently not available for thesis supervision.
Affilations
Research Interests
- Term structure of interest rates
- Exotic option pricing
- Risk management of non-standard interest rate dependent claims
- Equity linked pension and life insurance with guarantees
- Executives' stock options schemes
Curriculum Vitae
Publications in refereed journals
- Chen, An; M. Pelger; K. Sandmann (2013): New Performance-Vested Stock Option Schemes; Applied Financial Economics 23(8), 709-727.
- Chen, A.; K. Sandmann (2012): In Arrear Term Structure Products: No Arbitrage Pricing Bounds and The Convexity Adjustments, International Journal of Theoretical and Applied Finance (IJTAF) 13(01), 139-161.
- Nielsen, J. A.; K. Sandmann; E. Schlögl (2011): Equity-linked pension schemes with guarantees; Insurance, Mathematics and Economics 49; 547–564.
- Sandmann, K.; M. Wittke (2010): It's Your Choice: A Unified Approach To Chooser Options, International Journal of Theoretical and Applied Finance (IJTAF) 13(01), 139-161.
- Mahayni, A.; K. Sandmann (2008): Return guarantees with delayed payments, German Economic Review 9(2), 207-231.
- Miltersen, K.R.; J.A. Nielsen; K. Sandmann (2006): New no-arbitrage conditions and the term structure of interest rate futures, Annals of Finance 2(3), 303-325.
- Nielsen, J.A.; K. Sandmann (2003): Pricing Bounds on Asian Options; Journal of Financial and Quantitative Analysis 38(2), 449-473.
- Nielsen, J.A.; K. Sandmann (2002): Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options; Finance and Stochastics 6(3), 355-370.
- Miltersen, K. R.; K. Sandmann; D. Sondermann (1997): Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates; The Journal of Finance 52(1), 409-430.
- Sandmann, K.; D. Sondermann (1997): A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures; Mathematical Finance 7(2), 119-125.
- Nielsen, J.A.; K. Sandmann (1996a): The Pricing of Asian Options Under Stochastic Interest Rates; Applied Mathematical Finance 3(3), 209-236.
- Nielsen, J.A.; K. Sandmann (1996b): Uniqueness of the Fair Premium for Equity-Linked Life Contracts; The Geneva Papers on Risk and Insurance Theory 21(1), 65-102.
- Sandmann, K.; E. Schlögl (1996): Zustandspreise und die Modellierung des Zinsänderungsrisikos; Zeitschrift für Betriebswirtschaftslehre 66 (7), 813-836.
- Nielsen, J.A.; K. Sandmann (1995): Equity-linked Life Insurance - A Model with Stochastic Interest Rates; Insurance, Mathematics and Economics 16(3), 225-253.
- Rady, S.; K. Sandmann (1994): The Direct Approach to Debt Option Pricing. The Review of Futures Markets; 13(2), 461-514;
- Sandmann, K. (1993): The Pricing of Options with an Uncertain Interest Rate: A Discrete Time Approach; Mathematical Finance; 3(2), 201-216.
- Sandmann, K.; D. Sondermann (1993): A Term Structure Model and the Pricing of Interest Rate Derivatives; The Review of Futures Markets; 12(2), 391-423.
- Sandmann, K.; D. Sondermann (1990): Zur Bewertung von Caps und Floors; Zeitschrift für Betriebswirtschaftslehre, 11, 1205-1238.