• Commodity price modeling that matches current observables : a new approach 

      Miltersen, Kristian R. (Discussion paper, Working paper, 2002)
      We develop a stochastic model of the spot commodity price and the spot convenience yield such that the model matches the current term structure of forward and futures prices, the current term structure of forward and futures ...
    • Dynamic capital structure with callable debt and debt renegotiations 

      Christensen, Peter Ove; Flor, Christian Riis; Lando, David; Miltersen, Kristian R. (Discussion paper, Working paper, 2002)
      We consider a dynamic model of the capital structure of a firm with callable debt that takes into account that equity holders and debt holders have a common interest in restructuring the firm’s capital structure in order ...
    • Guaranteed investment contracts: distributed and undistributed excess return 

      Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 2000)
      Annual minimum rate of return guarantees are analyzed together with rules for distribution of positive excess return, i.e. investment returns in excess of the guaranteed minimum return. Together with the level of the annual ...
    • International comparison of interest rate guarantees in life insurance 

      Cummins, J. David; Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 2004-08)
      Interest rate guarantees seem to be included in life insurance and pension products in most countries. The exact implementations of these guarantees vary from country to country and are often linked to different distribution ...
    • Pricing rate of return guarantees in a Heath-Jarrow-Morton framework 

      Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 1998-07)
      Rate of return guarantees are included in many financial products, for example life insurance contracts or guaranteed investment contracts issued by investment banks. The holder of such a contract is guaranteed a fixed ...
    • R&D investments with competitive interactions 

      Miltersen, Kristian R.; Schwartz, Eduardo S. (Discussion paper, Working paper, 2002)
      In this article we develop a model to analyze patent-protected R&D investment projects when there is (imperfect) competition in the development and marketing of the resulting product. The competitive interactions that occur ...