Jonathan Ziveyi

Associate Professor

Jonathan is an Associate Investigator at the ARC Centre of Excellence in Population Ageing Research based at the UNSW Business School where he is an Associate Professor in the School of Risk and Actuarial Studies. He received his PhD in Quantitative Finance from the University of Technology Sydney where his thesis was on the evaluation of early exercise exotic options. His current research interests include longevity risk management, valuation of guarantees embedded in variable annuities and option pricing under stochastic volatility. His research output has been widely published in esteemed quantitative finance and actuarial journals such as Insurance: Mathematics and Economics, Quantitative Finance among others and has been presented at various international conferences.

 

publications

Journal articles
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Gudkov N; Ziveyi J, 2021, 'Application of power series approximation techniques to valuation of European style options', Quantitative Finance, vol. 21, pp. 609 - 635, http://dx.doi.org/10.1080/14697688.2020.1809696
2021
Sherris M; Xu Y; Ziveyi J, 2020, 'Cohort and value-based multi-country longevity risk management', Scandinavian Actuarial Journal, vol. 2020, pp. 650 - 676, http://dx.doi.org/10.1080/03461238.2019.1711450
2020
Xu Y; Sherris M; Ziveyi J, 2020, 'Continuous-time multi-cohort mortality modelling with affine processes', Scandinavian Actuarial Journal, vol. 2020, pp. 526 - 552, http://dx.doi.org/10.1080/03461238.2019.1696223
2020
Xu Y; Sherris M; Ziveyi J, 2020, 'Market Price of Longevity Risk for a Multi-Cohort Mortality Model With Application to Longevity Bond Option Pricing', Journal of Risk and Insurance, vol. 87, pp. 571 - 595, http://dx.doi.org/10.1111/jori.12273
2020
Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, vol. 19, pp. 501 - 518, http://dx.doi.org/10.1080/14697688.2018.1490806
2019
Kang B; Ziveyi J, 2018, 'Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates', Insurance: Mathematics and Economics, vol. 79, pp. 43 - 56, http://dx.doi.org/10.1016/j.insmatheco.2017.12.012
2018
Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', ASTIN Bulletin, vol. 48, pp. 139 - 169, http://dx.doi.org/10.1017/asb.2017.23
2018
Da Fonseca J; Ziveyi J, 2017, 'Valuing variable annuity guarantees on multiple assets', Scandinavian Actuarial Journal, vol. 2017, pp. 209 - 230, http://dx.doi.org/10.1080/03461238.2015.1102167
2017
Alonso Garcia J; Wood O; Ziveyi J, 2017, 'Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method', Quantitative Finance, vol. 18, pp. 1049 - 1075, http://dx.doi.org/10.1080/14697688.2017.1357832
2017
Ziveyi JONATHAN; Sherris MICHAEL; Shen Y, 2016, 'Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options', Insurance: Mathematics and Economics, vol. 69, pp. 127 - 137, http://dx.doi.org/10.1016/j.insmatheco.2016.04.006
2016
Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance: Mathematics and Economics, vol. 70, pp. 286 - 300, http://dx.doi.org/10.1016/j.insmatheco.2016.06.014
2016
Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, vol. 56, pp. 215 - 228, http://dx.doi.org/10.1016/j.eneco.2016.03.022
2016
Ziveyi J; Blackburn C; Sherris M, 2013, 'Pricing European Options on Deferred Annuities', Insurance Mathematics and Economics, vol. 52, pp. 300 - 311, http://dx.doi.org/10.1016/j.insmatheco.2013.01.004
2013
Ziveyi J; Chiarella C, 2013, 'Pricing American Options Written on Two Underlying Assets', Quantitative Finance, vol. 14, pp. 409 - 426, http://dx.doi.org/10.1080/14697688.2013.810811
2013
Ziveyi J; Chiarella C, 2013, 'American Option Pricing under Two Stochastic Volatility Processes', Applied Mathematics and Computation, vol. 224, pp. 283 - 310, http://dx.doi.org/10.1016/j.amc.2013.08.047
2013
Theses / Dissertations
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Blackburn CM, 2013, Longevity Risk Management and Securitisation in an Affine Mortality Modelling Framework, Craig Blackburn, Australia
2013
Book Chapters
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Ziveyi J; Chiarella C; Ziogas A, 2011, 'Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms', in Chiarella C; Novikov A (ed.), Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, Springer, New York, pp. 281 - 315, http://dx.doi.org/10.1007/978-3-642-03479-4_15
2011
Working Papers
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Ziveyi J; Blackburn C; Sherris M, Pricing European Options on Deferred Insurance, 201202, http://dx.doi.org