Griselda Deelstra
Title
Cited by
Cited by
Year
Optimal investment strategies in the presence of a minimum guarantee
G Deelstra, M Grasselli, PF Koehl
Insurance: Mathematics and Economics 33 (1), 189-207, 2003
2772003
Convergence of discretized stochastic (interest rate) processes with stochastic drift term
G Deelstra, F Delbaen
Applied stochastic models and data analysis 14 (1), 77-84, 1998
1451998
Optimal investment strategies in a CIR framework
G Deelstra, M Grasselli, PF Koehl
Journal of Applied Probability 37 (4), 936-946, 2000
1402000
Pricing of arithmetic basket options by conditioning
G Deelstra, J Liinev, M Vanmaele
Insurance: Mathematics and Economics 34 (1), 55-77, 2004
1182004
Optimal design of the guarantee for defined contribution funds
G Deelstra, M Grasselli, PF Koehl
Journal of economic dynamics and control 28 (11), 2239-2260, 2004
1162004
Dual formulation of the utility maximization problem under transaction costs
G Deelstra, H Pham, N Touzi
Annals of Applied Probability, 1353-1383, 2001
1002001
Static super-replicating strategies for a class of exotic options
X Chen, G Deelstra, J Dhaene, M Vanmaele
Insurance: Mathematics and Economics 42 (3), 1067-1085, 2008
862008
Bounds for the price of discrete arithmetic Asian options
M Vanmaele, G Deelstra, J Liinev, J Dhaene, MJ Goovaerts
Journal of Computational and Applied Mathematics 185 (1), 51-90, 2006
832006
An overview of comonotonicity and its applications in finance and insurance
G Deelstra, J Dhaene, M Vanmaele
Advanced mathematical methods for finance, 155-179, 2011
732011
Risk theory and reinsurance
G Deelstra, G Plantin
Springer, 2014
462014
Bounds for Asian basket options
G Deelstra, I Diallo, M Vanmaele
Journal of Computational and Applied Mathematics 218 (2), 215-228, 2008
422008
Long-term returns in stochastic interest rate models
G Deelstra, F Delbaen
Insurance: Mathematics and Economics 17 (2), 163-169, 1995
361995
Vanna-Volga methods applied to FX derivatives: from theory to market practice
F Bossens, G Rayée, NS Skantzos, G Deelstra
International Journal of Theoretical and Applied Finance 13 (08), 1293-1324, 2010
332010
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
M Vanmaele, G Deelstra, J Liinev
Insurance: Mathematics and Economics 35 (2), 343-367, 2004
332004
Local volatility pricing models for long-dated FX derivatives
G Deelstra, G Rayée
Applied Mathematical Finance 20 (4), 380-402, 2013
312013
Pricing and hedging Asian basket spread options
G Deelstra, A Petkovic, M Vanmaele
Journal of computational and applied mathematics 233 (11), 2814-2830, 2010
262010
A covariance equivalent discretisation of the CIR model
G Deelstra, G Parker
Proceedings of the 5th AFIR International Colloquium, 731-747, 1995
261995
Moment matching approximation of Asian basket option prices
G Deelstra, I Diallo, M Vanmaele
Journal of computational and applied mathematics 234 (4), 1006-1016, 2010
252010
Long-term returns in stochastic interest rate models: Applications
G Deelstra
ASTIN Bulletin: The Journal of the IAA 30 (1), 123-140, 2000
24*2000
Multivariate FX models with jumps: triangles, quantos and implied correlation
L Ballotta, G Deelstra, G Rayée
European Journal of Operational Research 260 (3), 1181-1199, 2017
222017
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