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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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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
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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
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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
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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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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
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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
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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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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
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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