Publikationen
Refereed Articles
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 13(1), 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 3(6), 355-370.
Miltersen, K. R.; K. Sandmann; D. Sondermann (1997a): Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates; The Journal of Finance 52(1), 409-430.
Sandmann, K.; D. Sondermann (1997b): 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, 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, 65-102.
Sandmann, K.; E. Schlögl (1996c): 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, 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. (1993a): The Pricing of Options with an Uncertain Interest Rate: A Discrete Time Approach; Mathematical Finance; 3(2), 201-216.
Sandmann, K.; D. Sondermann (1993b): 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.
Proceedings and Articles in Books
Sandmann, K (2005): Überschussbeteiligung fondsgebundener Lebens- und Rentenversicherungen. In W. Kürsten and B. Nietert (eds): Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen, Festsschrift für Jochen Wilhelm, Springer Verlag Heidelberg, 519-552.
Nielsen, J.A.; K. Sandmann (2002): The Fair Premium of an Equity Linked Life and Pension Insurance. In P. Schönbucher and K. Sandmann (eds.): Advances in Finance and Stochastics: Essays in Honor of Dieter Sondermann, Springer Verlag, Heidelberg, 219-255.
Miltersen, K.; K. Sandmann; D. Sondermann (2001): Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates. Reprint in George M. Constantinides and A.G. Malliaris (eds.): Options Markets. Vol. II, The International Library of Critical Writings in Financial Economics, Edward Elgar Publishing Lt.
Sandmann, K.; D. Sondermann (2001): A Term Structure Model and the Pricing of Interest Rate Derivatives. Reprint in Lane Hughston (eds.): The New Interest Rate Models, RISK Magazine Publications, 255-278.
Miltersen, K.; K. Sandmann; D. Sondermann (1995): Closed Form Term Structure Derivatives in a Heath-Jarrow-Morton-Model with Log-Normal Annually Compounded Interest Rates, Proceedings of the Seventh Annual European Futures Research Symposium, Chicago Board of Trade, 45-164.
Reimer, M.; K. Sandmann (1994a): An Efficient Approach for Down-and-Out Calls in a Binomial Model. In: A. Karmann, K. Mosler, M. Schader und G. Uebe (eds.): Operations Research '93; Physica-Verlag; Heidelberg, 418-421.
Sandmann, K.; E. Schlögl (1994b): Binomial Structure Model and the Forward Probability Measure: Algorithmic Model Specification and Simulation Results. In: A. Karmann, K. Mosler, M. Schader und G. Uebe (eds.): Operations Research '93; Physica-Verlag; Heidelberg, 434-437.
Sandmann, K.; D. Sondermann (1993): A Term Structure Model and Interest Rate Options. In: A. Karmann, K. Mosler, M. Schader und G. Uebe (eds.): Operations Research '92; Physica-Verlag; Heidelberg, 392-394.
Sandmann, K.; D. Sondermann (1992): Interest Rate Options. In: Wolf-Rüdiger Heilmann (eds.): Ergebnisband der 5. Tagung ``Geld, Banken und Versicherungen''; VVW; Karlsruhe, 739-759.
Books
Sandmann, K. (2010): Einführung in die Stochastik der Finanzmärkte. Springer Verlag: Heidelberg, 3rd edition, 654 pages.
Schönbucher, P.; K. Sandmann (2002): Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, Springer Verlag: Heidelberg.
Sandmann, K. (1991): Arbitrage und die Bewertung von Zinssatzoptionen. Physica-Verlag: Heidelberg.
Unpublished Manuscripts
Chen, A.; K. Sandmann (2010): In arrear term structure products: no arbitrage pricing bounds and the convexity adjustments, University of Bonn.
Chen, A.; M. Pelger; K. Sandmann (2010) New performance-vested stock option schemes, University of Bonn.
Mahayni, A; K. Sandmann (2005): Asset Liability Management fondsgebundener Versicherungsverträge, University of Bonn.
Reimer, M; K. Sandmann (1993): Down-and-Out Call: Bewertungstheorie, Konvergenz numerischer Verfahren und Simulationsstudie; University of Bonn, Discussion Paper B--239.
