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Author ID: deelstra.griselda Recent zbMATH articles by "Deelstra, Griselda"
Published as: Deelstra, Griselda; Deelstra, G.
External Links: MGP
Documents Indexed: 43 Publications since 1992, including 1 Book
Co-Authors: 36 Co-Authors with 41 Joint Publications
581 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

37 Publications have been cited 446 times in 340 Documents Cited by Year
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
65
2003
Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Zbl 0915.60064
Deelstra, G.; Delbaen, F.
41
1998
Pricing of arithmetic basket options by conditioning. Zbl 1068.91030
Deelstra, G.; Liinev, J.; Vanmaele, M.
33
2004
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
31
2006
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
30
2001
Optimal design of the guarantee for defined contribution funds. Zbl 1202.91124
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
29
2004
An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006
Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle
28
2011
Optimal investment strategies in a CIR framework. Zbl 0989.91040
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
27
2000
Static super-replicating strategies for a class of exotic options. Zbl 1141.91427
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M.
23
2008
Bounds for Asian basket options. Zbl 1151.91500
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
17
2008
Long-term returns in stochastic interest rate models. Zbl 0847.62082
Deelstra, G.; Delbaen, F.
12
1995
Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158
Deelstra, Griselda; Rayée, Grégory
8
2013
Long-term returns in stochastic interest rate models: Applications. Zbl 1018.91029
Deelstra, Griselda
7
2000
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. Zbl 1371.91084
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher
6
2016
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables. Zbl 1056.91037
Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan
6
2004
Moment matching approximation of Asian basket option prices. Zbl 1195.91155
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
6
2010
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197
Hainaut, Donatien; Deelstra, Griselda
6
2014
Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory
6
2017
Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150
Hainaut, Donatien; Deelstra, Griselda
5
2014
On an optimization problem related to static super-replicating strategies. Zbl 1299.91140
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle
5
2015
Long-term returns in stochastic interest rate models: different convergence results. Zbl 0914.60021
Deelstra, Griselda; Delbaen, Fred
5
1997
Long-term returns in stochastic interest rate models: Convergence in law. Zbl 0886.60073
Deelstra, G.; Delbaen, F.
5
1995
Risk theory and reinsurance. Translated from the French by Urmie Ray. Zbl 1309.91002
Deelstra, Griselda; Plantin, Guillaume
5
2014
Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048
Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda
5
2006
Long-term returns in stochastic interest rate models. Zbl 0827.90006
Deelstra, G.; Delbaen, F.
4
1995
Remarks on “Boundary crossing results for Brownian motion”. Zbl 0815.60079
Deelstra, Griselda
4
1994
Remarks on the methodology introduced by Goovaerts et al. Zbl 0768.62096
Deelstra, G.; Delbaen, F.
4
1992
Managing value-at-risk for a bond using bond put options. Zbl 1161.91388
Deelstra, Griselda; Ezzine, Ahmed; Heyman, Dries; Vanmaele, Michèle
3
2007
Risk management of a bond portfolio using options. Zbl 1141.91414
Annaert, Jan; Deelstra, Griselda; Heyman, Dries; Vanmaele, Michèle
3
2007
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159
Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing
3
2014
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter
3
2020
Pricing and hedging Asian basket spread options. Zbl 1186.91212
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle
3
2010
Multivariate European option pricing in a Markov-modulated Lévy framework. Zbl 1386.91139
Deelstra, Griselda; Simon, Matthieu
2
2017
Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283
Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda
2
2010
On barrier option pricing by Erlangization in a regime-switching model with jumps. Zbl 1442.91099
Deelstra, Griselda; Latouche, Guy; Simon, Matthieu
2
2020
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
1
2019
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. Zbl 1447.60072
Hainaut, Donatien; Deelstra, Griselda
1
2019
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177
Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter
3
2020
On barrier option pricing by Erlangization in a regime-switching model with jumps. Zbl 1442.91099
Deelstra, Griselda; Latouche, Guy; Simon, Matthieu
2
2020
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
1
2019
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. Zbl 1447.60072
Hainaut, Donatien; Deelstra, Griselda
1
2019
Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory
6
2017
Multivariate European option pricing in a Markov-modulated Lévy framework. Zbl 1386.91139
Deelstra, Griselda; Simon, Matthieu
2
2017
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. Zbl 1371.91084
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher
6
2016
On an optimization problem related to static super-replicating strategies. Zbl 1299.91140
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle
5
2015
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197
Hainaut, Donatien; Deelstra, Griselda
6
2014
Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150
Hainaut, Donatien; Deelstra, Griselda
5
2014
Risk theory and reinsurance. Translated from the French by Urmie Ray. Zbl 1309.91002
Deelstra, Griselda; Plantin, Guillaume
5
2014
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159
Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing
3
2014
Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158
Deelstra, Griselda; Rayée, Grégory
8
2013
An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006
Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle
28
2011
Moment matching approximation of Asian basket option prices. Zbl 1195.91155
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
6
2010
Pricing and hedging Asian basket spread options. Zbl 1186.91212
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle
3
2010
Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283
Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda
2
2010
Static super-replicating strategies for a class of exotic options. Zbl 1141.91427
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M.
23
2008
Bounds for Asian basket options. Zbl 1151.91500
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
17
2008
Managing value-at-risk for a bond using bond put options. Zbl 1161.91388
Deelstra, Griselda; Ezzine, Ahmed; Heyman, Dries; Vanmaele, Michèle
3
2007
Risk management of a bond portfolio using options. Zbl 1141.91414
Annaert, Jan; Deelstra, Griselda; Heyman, Dries; Vanmaele, Michèle
3
2007
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
31
2006
Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048
Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda
5
2006
Pricing of arithmetic basket options by conditioning. Zbl 1068.91030
Deelstra, G.; Liinev, J.; Vanmaele, M.
33
2004
Optimal design of the guarantee for defined contribution funds. Zbl 1202.91124
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
29
2004
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables. Zbl 1056.91037
Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan
6
2004
Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
65
2003
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
30
2001
Optimal investment strategies in a CIR framework. Zbl 0989.91040
Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François
27
2000
Long-term returns in stochastic interest rate models: Applications. Zbl 1018.91029
Deelstra, Griselda
7
2000
Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Zbl 0915.60064
Deelstra, G.; Delbaen, F.
41
1998
Long-term returns in stochastic interest rate models: different convergence results. Zbl 0914.60021
Deelstra, Griselda; Delbaen, Fred
5
1997
Long-term returns in stochastic interest rate models. Zbl 0847.62082
Deelstra, G.; Delbaen, F.
12
1995
Long-term returns in stochastic interest rate models: Convergence in law. Zbl 0886.60073
Deelstra, G.; Delbaen, F.
5
1995
Long-term returns in stochastic interest rate models. Zbl 0827.90006
Deelstra, G.; Delbaen, F.
4
1995
Remarks on “Boundary crossing results for Brownian motion”. Zbl 0815.60079
Deelstra, Griselda
4
1994
Remarks on the methodology introduced by Goovaerts et al. Zbl 0768.62096
Deelstra, G.; Delbaen, F.
4
1992
all top 5

Cited by 506 Authors

19 Deelstra, Griselda
14 Dhaene, Jan
13 Linders, Daniël
11 Vanmaele, Michèle
8 Cheung, Ka Chun
8 Grasselli, Martino
8 Vanduffel, Steven
8 Zheng, Harry H.
7 Chang, Hao
6 Hainaut, Donatien
6 Liang, Zongxia
5 Ballotta, Laura
5 Guan, Guohui
5 Josa-Fombellida, Ricardo
5 Menoncin, Francesco
5 Yang, Junjian
5 Yao, Haixiang
4 Bernard, Carole L.
4 Devolder, Pierre
4 Eberlein, Ernst W.
4 Gao, Jianwei
4 Kukush, Oleksandr Georgiĭovych
4 Li, Danping
4 Li, Zhongfei
4 Mamon, Rogemar S.
4 Mishura, Yuliya Stepanivna
4 Papapantoleon, Antonis
4 Rincón-Zapatero, Juan Pablo
4 Rong, Ximin
4 Schoutens, Wim
4 Vigna, Elena
4 Zhao, Hui
3 Bouchard, Bruno
3 Campi, Luciano
3 Chang, Kai
3 Chen, Ping
3 Chen, Xinliang
3 Czichowsky, Christoph
3 Di Giacinto, Marina
3 Dong, Yinghui
3 Federico, Salvatore
3 Fusai, Gianluca
3 Hieber, Peter
3 Hobson, David Graham
3 Hu, Taizhong
3 Jouini, Elyès
3 Korn, Ralf
3 Lai, Yongzeng
3 Laurence, Peter
3 Liinev, Jan
3 Lin, Yiqing
3 Pham, Huyên
3 Pirjol, Dan
3 Schachermayer, Walter
3 Tang, Qihe
3 Wang, Pei
3 Wang, Ruodu
3 Wang, Tai-Ho
3 Westray, Nicholas
3 Xu, Guoping
3 Zhu, Lingjiong
2 Alaya, Mohamed Ben
2 Alfonsi, Aurélien
2 Barczy, Mátyás
2 Battocchio, Paolo
2 Bäuerle, Nicole
2 Biagini, Francesca
2 Biffis, Enrico
2 Blake, David
2 Cairns, Andrew J. G.
2 Chen, Shou
2 Chen, Zheng
2 Chen, Zhiping
2 Cozma, Andrei
2 Cui, Zhenyu
2 Dadashi, Hassan
2 De Luigi, Christophe
2 Deng, Pingjin
2 Diallo, Ibrahima
2 Dingeç, Kemal Dinçer
2 Dowd, Kevin
2 Ewald, Christian-Oliver
2 Goovaerts, Marc J.
2 Gozzi, Fausto
2 Gu, Lingqi
2 Han, Liyan
2 Hanbali, Hamza
2 Hefter, Mario
2 Henrard, Luc
2 Hu, Duni
2 Hubalek, Friedrich
2 Jentzen, Arnulf
2 Kallsen, Jan
2 Kazi-Tani, Nabil
2 Kebaier, Ahmed
2 Koehl, Pierre-François
2 Kwok, Yue-Kuen
2 Kyriakou, Ioannis
2 Li, Xun
2 Lo, Ambrose
...and 406 more Authors
all top 5

Cited in 92 Serials

88 Insurance Mathematics & Economics
22 Journal of Computational and Applied Mathematics
19 European Journal of Operational Research
17 Finance and Stochastics
16 Quantitative Finance
10 International Journal of Theoretical and Applied Finance
8 Journal of Economic Dynamics & Control
8 Stochastic Processes and their Applications
8 Scandinavian Actuarial Journal
7 Mathematical Finance
6 Annals of Operations Research
6 The Annals of Applied Probability
5 ASTIN Bulletin
4 Statistics & Probability Letters
4 Stochastic Analysis and Applications
4 North American Actuarial Journal
4 Mathematics and Financial Economics
3 SIAM Journal on Control and Optimization
3 Communications in Statistics. Theory and Methods
3 Applied Mathematical Finance
3 Abstract and Applied Analysis
3 Journal of Systems Science and Complexity
3 Journal of Industrial and Management Optimization
3 SIAM Journal on Financial Mathematics
2 Journal of Mathematical Analysis and Applications
2 Applied Mathematics and Computation
2 Applied Mathematics and Optimization
2 Journal of Mathematical Economics
2 Computers & Operations Research
2 Theory of Probability and Mathematical Statistics
2 Monte Carlo Methods and Applications
2 Mathematical Methods of Operations Research
2 CEJOR. Central European Journal of Operations Research
2 Methodology and Computing in Applied Probability
2 Applied Stochastic Models in Business and Industry
2 Decisions in Economics and Finance
2 Review of Derivatives Research
2 European Actuarial Journal
1 Advances in Applied Probability
1 Computers & Mathematics with Applications
1 Lithuanian Mathematical Journal
1 Mathematical Methods in the Applied Sciences
1 Ukrainian Mathematical Journal
1 Mathematics of Computation
1 Theory of Probability and its Applications
1 Annales Polonici Mathematici
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Journal of Applied Probability
1 Journal of Econometrics
1 Journal of Multivariate Analysis
1 Journal of Statistical Planning and Inference
1 Kybernetes
1 Numerische Mathematik
1 Optimal Control Applications & Methods
1 Applied Numerical Mathematics
1 Optimization
1 Journal of Theoretical Probability
1 Journal of Scientific Computing
1 Japan Journal of Industrial and Applied Mathematics
1 Applications of Mathematics
1 International Journal of Computer Mathematics
1 Computational Economics
1 Applied Mathematics. Series B (English Edition)
1 Journal of Mathematical Sciences (New York)
1 Computational and Applied Mathematics
1 Opuscula Mathematica
1 Bernoulli
1 Mathematical Problems in Engineering
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Soft Computing
1 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
1 Discrete Dynamics in Nature and Society
1 Discrete and Continuous Dynamical Systems. Series B
1 Stochastic Models
1 Stochastics and Dynamics
1 Computational Management Science
1 Advances in Difference Equations
1 Stochastics
1 Proceedings of the Steklov Institute of Mathematics
1 Journal of Statistical Theory and Practice
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Science China. Mathematics
1 Annals of Finance
1 Mathematical Control and Related Fields
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Journal of the Operations Research Society of China
1 East Asian Journal on Applied Mathematics
1 Modern Stochastics. Theory and Applications
1 Open Mathematics
1 Cogent Mathematics
1 AIMS Mathematics
1 Probability, Uncertainty and Quantitative Risk

Citations by Year