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Stochastic process
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Deelstra, Griselda
8
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2
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1
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ECONIS (ZBW)
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Pricing variable annuity guarantees in a local volatility framework
Deelstra, Griselda
;
Rayée, Grégory
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 650-663
Persistent link: https://www.econbiz.de/10010227910
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2
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
Hainaut, Donatien
;
Deelstra, Griselda
- In:
Journal of economic dynamics & control
44
(
2014
),
pp. 124-146
Persistent link: https://www.econbiz.de/10010473569
Saved in:
3
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
Deelstra, Griselda
;
Rayée, Grégory
;
Vanduffel, Steven
; …
- In:
Astin bulletin : the journal of the International …
44
(
2014
)
2
,
pp. 237-276
Persistent link: https://www.econbiz.de/10010393957
Saved in:
4
Bounds for stop-loss premiums of stochastic sums : (with applications to life contingencies)
Hoedemakers, Tom
;
Darkiewicz, Grzegorz
;
Deelstra, Griselda
-
2005
Persistent link: https://www.econbiz.de/10002724534
Saved in:
5
Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda
;
Rayée, Grégory
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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6
Multivariate FX models with jumps : triangles, Quantos and implied correlation
Ballotta, Laura
;
Deelstra, Griselda
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
260
(
2017
)
3
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
Saved in:
7
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
Deelstra, Griselda
;
Grasselli, Martino
;
Van Weverberg, …
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 205-219
Persistent link: https://www.econbiz.de/10011630651
Saved in:
8
A self-exciting switching jump diffusion : properties, calibration and hitting time
Hainaut, Donatien
;
Deelstra, Griselda
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 407-426
Persistent link: https://www.econbiz.de/10012194661
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9
Harmonic analysis of stochastic equations and backward stochastic differential equations
Delbaen, Freddy
;
Tang, Shanjian
- In:
Probability theory and related fields
146
(
2010
)
1/2
,
pp. 291-336
Persistent link: https://www.econbiz.de/10003933919
Saved in:
10
Existence and non-uniqueness of solutions for BSDE
Bao, Xiaobo
;
Delbaen, Freddy
;
Hu, Ying
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 123-134)
.
2010
Persistent link: https://www.econbiz.de/10008749294
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