Deelstra, Griselda - Vakgroep Wiskunde, Vrije Universiteit Brussel

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Deelstra, Griselda - Vakgroep Wiskunde, Vrije Universiteit Brussel

MINIMIZING THE RISK OF A FINANCIAL PRODUCT USING A PUT OPTION.
BOUNDS FOR THE PRICE OF A EUROPEAN-STYLE ASIAN OPTION IN A BINARY TREE MODEL
Long-term returns in stochastic interest rate G. Deelstra1
Comput Econ DOI 10.1007/s10614-006-9068-9
Optimal Investment Strategies in the presence of a Minimum Guarantee.
Pricing and Hedging Asian Basket Spread Options Griselda Deelstra,a, Alexandre Petkovicb,1, Mich`ele Vanmaelec
Risk management of a bond portfolio using options Jan Annaert a
REMARKS ON THE METHODOLOGY INTRODUCED BY GOOVAERTS ET AL.
YIELD OPTION PRICING IN THE GENERALIZED COX-INGERSOLL-ROSS MODEL
Conditional Dominance criteria: de nition and application to risk-management.
Bounds for Asian basket options Griselda Deelstra a,, Ibrahima Diallo b
How They Can Jump Together : Multivariate Levy Processes and Option pricing
Optimal Investment Strategies in a CIR Griselda Deelstra, CREST and ENSAE.
14 AENORM vol. 17 (63) April 200914 AENORM vol. 17 (63) April 2009 In this paper we study the pricing and hedging of arithmetic Asian basket spread options of the European type
An overview of comonotonicity and its applications in finance and insurance
Bounds for the price of discrete arithmetic Asian options M. Vanmaele
Long-term returns in stochastic interest rate models: Convergence in law.
MINIMIZING THE (CONDITIONAL) VALUE-AT-RISK FOR A COUPON-BEARING BOND USING A BOND PUT OPTION.
Optimal Design of the Guarantee for Defined Contribution Funds
PRICING OF ARITHMETIC BASKET AND ASIAN BASKET OPTIONS BY CONDITIONING
Optimal funding of defined benefit pension plans. Donatien Hainaut*
Static Super-Replicating Strategies for a Class of Exotic Options
LONG-TERM RETURNS IN STOCHASTIC INTEREST RATE MODELS
Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables
INTERACTION BETWEEN ASSET LIABILITY MANAGEMENT
Convergence of Discretized Stochastic (Interest Rate) Processes with Stochastic Drift Term.
Moment matching approximation of Asian basket option prices Griselda Deelstra a
LONG-TERM RETURNS IN STOCHASTIC INTEREST RATE MODELS: APPLICATIONS.
Remarks on 'Boundary Crossing Result for Brownian Motion.' Griselda Deelstra (V.U. Brussel)
Dual formulation of the utility maximization problem under transaction costs