Michèle Vanmaele

Available identifiers

zbMath Open vanmaele.micheleMaRDI QIDQ475662

List of research outcomes

Publication	Date of Publication	Type
A martingale representation theorem and valuation of defaultable securities	2021-03-23	Paper
An RBF-FD method for pricing American options under jump-diffusion models	2020-10-01	Paper
Utility maximisation and time-change	2019-12-06	Paper
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting	2019-05-15	Paper
Pricing of commodity derivatives on processes with memory	2017-11-01	Paper
Uncertainty Quantification of Derivative Instruments	2017-10-24	Paper
Model risk and discretisation of locally risk-minimising strategies	2016-12-28	Paper
Quantification of Model Risk in Quadratic Hedging in Finance	2016-04-22	Paper
Analytical approximation for distorted expectations	2015-12-23	Paper
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps	2015-12-23	Paper
Robustness of quadratic hedging strategies in finance via Fourier transforms	2015-12-21	Paper
Discretisation of FBSDEs driven by càdlàg martingales	2015-11-18	Paper
On an optimization problem related to static super-replicating strategies	2014-11-27	Paper
Convex order approximations in the case of cash flows of mixed signs	2014-04-14	Paper
An Overview of Comonotonicity and Its Applications in Finance and Insurance	2011-08-08	Paper
The Föllmer-Schweizer decomposition: comparison and description	2010-07-08	Paper
Moment matching approximation of Asian basket option prices	2010-05-17	Paper
Pricing and hedging Asian basket spread options	2010-03-04	Paper
Explicit portfolio for unit-linked life insurance contracts with surrender option	2009-10-09	Paper
Bounds for Asian basket options	2008-07-11	Paper
Static super-replicating strategies for a class of exotic options	2008-06-25	Paper
A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market	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
https://portal.mardi4nfdi.de/entity/Q2784742	2002-07-02	Paper
https://portal.mardi4nfdi.de/entity/Q2729545	2001-11-19	Paper
Multilevel Solution of Cell Vertex Cauchy--Riemann Equations	1998-04-02	Paper
Analysis of the Cell Vertex Finite Volume Method for the Cauchy--Riemann Equations	1998-02-10	Paper
On a variational approximation method for a class of elliptic eigenvalue problems in composite structures	1997-02-20	Paper
Applicability of the Bramble-Hilbert lemma in interpolation problems of narrow quadrilateral isoparametric finite elements	1996-07-15	Paper
The interpolation theorem for narrow quadrilateral isoparametric finite elements	1996-06-16	Paper
The combined effect of numerical integration and approximation of the boundary in the finite element method for eigenvalue problems	1996-05-06	Paper
An operator method for a numerical quadrature finite element approximation for a class of second-order elliptic eigenvalue problems in composite structures	1996-05-06	Paper
On an external finite element method for a second-order eigenvalue problem on a concave 2D-domain with Dirichlet boundary conditions	1996-04-29	Paper
External finite-element approximations of eigenfunctions in the case of multiple eigenvalues	1994-09-22	Paper
https://portal.mardi4nfdi.de/entity/Q4300693	1994-08-17	Paper
External finite element approximations of eigenvalue problems	1994-01-26	Paper
https://portal.mardi4nfdi.de/entity/Q4011873	1992-09-27	Paper
https://portal.mardi4nfdi.de/entity/Q3972461	1992-06-25	Paper
https://portal.mardi4nfdi.de/entity/Q3350723	1991-01-01	Paper

Research outcomes over time

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This page was built for person: Michèle Vanmaele