Griselda Deelstra
Université Libre de Bruxelles
H-index: 22
Europe-Belgium
Top articles of Griselda Deelstra
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Consistent asset modelling with random coefficients and switches between regimes | arXiv preprint arXiv:2401.09955 | Felix L Wolf Griselda Deelstra Lech A Grzelak | 2024/1/18 |
A multi-curve HJM factor model for pricing and risk management | Quantitative Finance | Tobias Bienek Griselda Deelstra Andreas Lichtenstern Rudi Zagst | 2023/11/2 |
Randomization and the valuation of guaranteed minimum death benefits | European Journal of Operational Research | Griselda Deelstra Peter Hieber | 2023/9/16 |
Hybrid life insurance valuation based on a new standard deviation premium principle in a stochastic interest rate framework | Oussama Belhouari Griselda Deelstra Pierre Devolder | 2023/5/31 | |
Accelerated computations of sensitivities for xVA | International Journal of Computer Mathematics | Griselda Deelstra Lech A Grzelak Felix L Wolf | 2023/4/25 |
Pricing energy quanto options in the framework of Markov-modulated additive processes | IMA Journal of Management Mathematics | Fred E Benth Griselda Deelstra And Sinem Kozpınar | 2023/1 |
Sensitivities and Hedging of the Collateral Choice Option | International Journal of Theoretical and Applied Finance | Griselda Deelstra Lech A Grzelak Felix L Wolf | 2022/7/21 |
Cheapest-to-deliver collateral: a common factor approach | Quantitative Finance | Felix L Wolf Lech A Grzelak Griselda Deelstra | 2022/4/3 |
astin Bulletin | Mario Wüthrich Yair Babad Arthur Charpentier Marcus Christiansen Griselda Deelstra | 2022 | |
Optimal annuitisation in a deterministic financial environment | Decisions in Economics and Finance | Griselda Deelstra Pierre Devolder Roberta Melis | 2021/6 |
On barrier option pricing by Erlangization in a regime-switching model with jumps | Journal of Computational and Applied Mathematics | Griselda Deelstra Guy Latouche Matthieu Simon | 2020/6/1 |
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method | ASTIN Bulletin: The Journal of the IAA | Griselda Deelstra Pierre Devolder Kossi Gnameho Peter Hieber | 2020/9 |
