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1

VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE

BOSSENS, FRÉDÉRIC, RAYÉE, GRÉGORY, SKANTZOS, NIKOS S., DEELSTRA, GRISELDA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 536 KB

english, 2010

2

Local Volatility Pricing Models for Long-Dated FX Derivatives

Deelstra, Griselda, Rayée, Grégory

Journal:

Applied Mathematical Finance

Year:

2013

Language:

english

File:

PDF, 215 KB

english, 2013

3

VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD

Deelstra, Griselda, Devolder, Pierre, Gnameho, Kossi, Hieber, Peter

Journal:

Year:

2020

File:

PDF, 431 KB

2020

4

Bounds for the price of a European-style Asian option in a binary tree model

Huguette Reynaerts, Michele Vanmaele, Jan Dhaene, Griselda Deelstra

Journal:

European Journal of Operational Research

Year:

2006

Language:

english

File:

PDF, 312 KB

english, 2006

5

Optimal investment strategies in the presence of a minimum guarantee

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Journal:

Insurance: Mathematics and Economics

Year:

2003

Language:

english

File:

PDF, 194 KB

english, 2003

6

Managing value-at-risk for a bond using bond put options

Griselda Deelstra, Ahmed Ezzine, Dries Heyman, Michèle Vanmaele

Journal:

Computational Economics

Year:

2007

Language:

english

File:

PDF, 155 KB

english, 2007

7

Pricing and hedging Asian basket spread options

Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele

Journal:

Journal of Computational and Applied Mathematics

Year:

2010

Language:

english

File:

PDF, 766 KB

english, 2010

8

Multivariate FX models with jumps: Triangles, Quantos and implied correlation

Ballotta, Laura, Deelstra, Griselda, Rayée, Grégory

Journal:

European Journal of Operational Research

Year:

2017

Language:

english

File:

PDF, 2.58 MB

english, 2017

9

Bounds for Asian basket options

Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele

Journal:

Journal of Computational and Applied Mathematics

Year:

2008

Language:

english

File:

PDF, 232 KB

english, 2008

10

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene, Tom Hoedemakers and Michèle Vanmaele

Journal:

Journal of Risk and Insurance

Year:

2009

Language:

english

File:

PDF, 1.54 MB

english, 2009

11

“Pricing Lookback Options and Dynamic Guarantees”, Hans U. Gerber and Elias S.W. Shiu, January 2003

Deelstra, Griselda

Journal:

North American Actuarial Journal

Year:

2003

Language:

english

File:

PDF, 79 KB

english, 2003

12

Optimal funding of defined benefit pension plans

HAINAUT, DONATIEN, DEELSTRA, GRISELDA

Journal:

Journal of Pension Economics and Finance

Year:

2011

Language:

english

File:

PDF, 449 KB

english, 2011

13

Multivariate European option pricing in a Markov-modulated Lévy framework

Deelstra, Griselda, Simon, Matthieu

Journal:

Journal of Computational and Applied Mathematics

Year:

2017

Language:

english

File:

PDF, 412 KB

english, 2017

14

A self-exciting switching jump diffusion: properties, calibration and hitting time

Hainaut, Donatien, Deelstra, Griselda

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 991 KB

english, 2018

15

Vanna-Volga Methods Applied to FX Derivatives: From Theory to Market Practice

Bossens, Frederic, Rayee, Gregory, Skantzos, Nikos S., Deelstra, Griselda

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 427 KB

english, 2010

16

On barrier option pricing by Erlangization in a regime-switching model with jumps

Deelstra, Griselda, Latouche, Guy, Simon, Matthieu

Journal:

Journal of Computational and Applied Mathematics

Year:

2019

Language:

english

File:

PDF, 598 KB

english, 2019

17

Long-term returns in stochastic interest rate models: different convergence results

Griselda Deelstra, Fred Delbaen

Journal:

Applied Stochastic Models in Business and Industry

Year:

1997

Language:

english

File:

PDF, 92 KB

english, 1997

18

Interaction between asset liability management and risk theory

Griselda Deelstra, Jacques Janssen

Journal:

Applied Stochastic Models in Business and Industry

Year:

1998

Language:

english

File:

PDF, 130 KB

english, 1998

19

Moment matching approximation of Asian basket option prices

Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele

Journal:

Journal of Computational and Applied Mathematics

Year:

2010

Language:

english

File:

PDF, 600 KB

english, 2010

20

Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

Michèle Vanmaele, Griselda Deelstra, Jan Liinev

Journal:

Insurance: Mathematics and Economics

Year:

2004

Language:

english

File:

PDF, 244 KB

english, 2004

21

Risk management of a bond portfolio using options

Jan Annaert, Griselda Deelstra, Dries Heyman, Michèle Vanmaele

Journal:

Insurance: Mathematics and Economics

Year:

2007

Language:

english

File:

PDF, 409 KB

english, 2007

22

Optimal design of the guarantee for defined contribution funds

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Journal:

Journal of Economic Dynamics and Control

Year:

2004

Language:

english

File:

PDF, 302 KB

english, 2004

23

Conditional dominance criteria: definition and application to risk-management

Griselda Deelstra, Martino Grasselli, Pierre-François Koehl

Journal:

Insurance: Mathematics and Economics

Year:

1999

Language:

english

File:

PDF, 115 KB

english, 1999

24

Minimizing the Risk of a Financial Product Using a Put Option

Griselda Deelstra, Michèle Vanmaele, David Vyncke

Journal:

Journal of Risk and Insurance

Year:

2010

Language:

english

File:

PDF, 296 KB

english, 2010

25

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene, Tom Hoedemakers, Michèle Vanmaele

Journal:

Journal of Risk and Insurance

Year:

2009

Language:

english

File:

PDF, 173 KB

english, 2009

26

Remarks on “boundary crossing result for brownian motion”

Griselda Deelstra

Journal:

Blätter der DGVFM

Year:

1994

Language:

english

File:

PDF, 317 KB

english, 1994

27

Pricing Variable Annuity Guarantees in a local volatility framework

Deelstra, Griselda, Rayée, Grégory

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 1.63 MB

english, 2013

28

Default probabilities of a holding company, with complete and partial information

Hainaut, Donatien, Deelstra, Griselda

Journal:

Journal of Computational and Applied Mathematics

Year:

2014

Language:

english

File:

PDF, 648 KB

english, 2014

29

Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality

Hainaut, Donatien, Deelstra, Griselda

Journal:

Journal of Economic Dynamics and Control

Year:

2014

Language:

english

File:

PDF, 597 KB

english, 2014

30

Minimizing the Risk of a Financial Product Using a Put Option

Griselda Deelstra, Michèle Vanmaele and David Vyncke

Journal:

Journal of Risk and Insurance

Year:

2010

Language:

english

File:

PDF, 1.92 MB

english, 2010

31

“Relative Importance of Risk Sources in Insurance Systems”, Edward W. Frees, April 1998

Deelstra, Griselda

Journal:

North American Actuarial Journal

Year:

1998

Language:

english

File:

PDF, 33 KB

english, 1998

32

“Stochastic Analysis of the Interaction Between Investment and Insurance Risks”, Gary Parker, April 1997

Deelstra, Griselda

Journal:

North American Actuarial Journal

Year:

1997

Language:

english

File:

PDF, 127 KB

english, 1997

33

USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS

Deelstra, Griselda, Rayée, Grégory, Vanduffel, Steven, Yao, Jing

Journal:

Year:

2014

Language:

english

File:

PDF, 432 KB

english, 2014

34

On an optimization problem related to static super-replicating strategies

Chen, Xinliang, Deelstra, Griselda, Dhaene, Jan, Linders, Daniël, Vanmaele, Michèle

Journal:

Journal of Computational and Applied Mathematics

Year:

2015

Language:

english

File:

PDF, 554 KB

english, 2015

35

Dual Formulation of the Utility Maximization Problem under Transaction Costs

Griselda Deelstra, Huyên Pham and Nizar Touzi

Journal:

The Annals of Applied Probability

Year:

2001

Language:

english

File:

PDF, 2.90 MB

english, 2001

36

Optimal Investment Strategies in a CIR Framework

Griselda Deelstra, Martino Grasselli and Pierre-François Koehl

Journal:

Journal of Applied Probability

Year:

2000

Language:

english

File:

PDF, 978 KB

english, 2000

37

The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 1.20 MB

english, 2016

38

Long-Term Returns in Stochastic Interest Rate Models: Applications

Deelstra, Griselda

Journal:

Year:

2000

Language:

english

File:

PDF, 873 KB

english, 2000

39

Optimal investment strategies in a CIR framework

Deelstra, Griselda, Grasselli, Martino, Koehl, Pierre-François

Journal:

Journal of Applied Probability

Year:

2000

Language:

english

File:

PDF, 132 KB

english, 2000

40

Dual Formulation of the Utility Maximization Problem Under Transaction Costs

Deelstra, Griselda, Pham, Huyên, Touzi, Nizar

Journal:

The Annals of Applied Probability

Year:

2001

Language:

english

File:

PDF, 213 KB

english, 2001

41

Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps

Deelstra, Griselda, Kozpınar, Sinem, Simon, Matthieu

Journal:

Applied Stochastic Models in Business and Industry

Year:

2018

Language:

english

File:

PDF, 488 KB

english, 2018

42

A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices

Hainaut, Donatien, Deelstra, Griselda

Journal:

Methodology and Computing in Applied Probability

Year:

2018

Language:

english

File:

PDF, 2.00 MB

english, 2018

43

Explosion Time for some Wishart Transforms

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.50 MB

english, 2014

44

The Role of the Dependence between Mortality and Interest Rates When Pricing Guaranteed Annuity Options

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 602 KB

english, 2015

45

Explosion time for some Laplace transforms of the Wishart process

Deelstra, Griselda, Grasselli, Martino, Van Weverberg, Christopher

Journal:

Stochastic Models

Year:

2019

Language:

english

File:

PDF, 2.05 MB

english, 2019

46

Quanto Implied Correlation in a Multi-LLvy Framework

Ballotta, Laura, Deelstra, Griselda, Rayye, Grrgory

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 528 KB

english, 2015

47

Quanto Implied Correlation in a Multi-LLvy Framework

Ballotta, Laura, Deelstra, Griselda, Rayye, Grrgory

Journal:

SSRN Electronic Journal

Year:

2015

File:

PDF, 528 KB

2015