Griselda Deelstra

Available identifiers

zbMath Open deelstra.griseldaMaRDI QIDQ371429

List of research outcomes

Publication	Date of Publication	Type
A multi-curve HJM factor model for pricing and risk management	2023-12-14	Paper
Randomization and the valuation of guaranteed minimum death benefits	2023-07-10	Paper
Pricing energy quanto options in the framework of Markov-modulated additive processes	2023-02-14	Paper
SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION	2022-11-16	Paper
Cheapest-to-deliver collateral: a common factor approach	2022-05-27	Paper
Optimal annuitisation in a deterministic financial environment	2021-08-10	Paper
VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD	2020-12-13	Paper
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices	2020-05-04	Paper
On barrier option pricing by Erlangization in a regime-switching model with jumps	2020-02-18	Paper
A self-exciting switching jump diffusion: properties, calibration and hitting time	2019-09-26	Paper
Explosion time for some Laplace transforms of the Wishart process	2019-05-15	Paper
Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps	2019-03-07	Paper
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality	2018-11-01	Paper
Multivariate FX models with jumps: triangles, quantos and implied correlation	2018-05-29	Paper
Multivariate European option pricing in a Markov-modulated Lévy framework	2017-02-09	Paper
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options	2016-12-14	Paper
Default probabilities of a holding company, with complete and partial information	2015-08-26	Paper
On an optimization problem related to static super-replicating strategies	2014-11-27	Paper
Pricing variable annuity guarantees in a local volatility framework	2014-06-23	Paper
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS	2014-06-11	Paper
Risk theory and reinsurance. Translated from the French by Urmie Ray	2013-10-09	Paper
An Overview of Comonotonicity and Its Applications in Finance and Insurance	2011-08-08	Paper
VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE	2011-01-20	Paper
Moment matching approximation of Asian basket option prices	2010-05-17	Paper
Pricing and hedging Asian basket spread options	2010-03-04	Paper
Optimal design of the guarantee for defined contribution funds	2008-11-06	Paper
Bounds for Asian basket options	2008-07-11	Paper
Static super-replicating strategies for a class of exotic options	2008-06-25	Paper
Risk management of a bond portfolio using options	2007-12-14	Paper
Managing value-at-risk for a bond using bond put options	2007-08-17	Paper
Bounds for the price of discrete arithmetic Asian options	2005-10-26	Paper
Bounds for the price of a European-style Asian option in a binary tree model	2005-10-17	Paper
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables	2005-01-13	Paper
Pricing of arithmetic basket options by conditioning.	2004-05-27	Paper
Optimal investment strategies in the presence of a minimum guarantee.	2003-11-16	Paper
Long-Term Returns in Stochastic Interest Rate Models: Applications	2003-09-12	Paper
Dual formulation of the utility maximization problem under transaction costs	2003-05-06	Paper
Optimal investment strategies in a CIR framework	2002-07-18	Paper
Conditional dominance criteria: Definition and application to risk-management	2000-05-08	Paper
https://portal.mardi4nfdi.de/entity/Q4258746	1999-09-14	Paper
https://portal.mardi4nfdi.de/entity/Q4231211	1999-03-14	Paper
https://portal.mardi4nfdi.de/entity/Q4231247	1999-03-14	Paper
Long-term returns in stochastic interest rate models: convergence in law	1998-05-04	Paper
Long-term returns in stochastic interest rate models	1996-01-15	Paper
Remarks on “boundary crossing result for brownian motion”	1995-06-30	Paper
https://portal.mardi4nfdi.de/entity/Q4836332	1995-06-14	Paper
Remarks on the methodology introduced by Goovaerts et al	1993-05-16	Paper

Research outcomes over time

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