Edit Profile (opens in new tab) Deelstra, Griselda Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 2 single-authored 12 Vanmaele, Michèle 6 Delbaen, Freddy 6 Grasselli, Martino 5 Dhaene, Jan 4 Hainaut, Donatien 4 Koehl, Pierre-François 4 Rayée, Grégory 3 Liinev, Jan 3 Simon, Matthieu 2 Chen, Xinliang 2 Devolder, Pierre 2 Diallo, Ibrahima 2 Heyman, Dries 2 Van Weverberg, Christopher 1 Annaert, Jan 1 Ballotta, Laura 1 Bossens, Frédéric 1 Ezzine, Ahmed 1 Gnameho, Kossi 1 Goovaerts, Marc J. 1 Grzelak, Lech A. 1 Hieber, Peter 1 Janssen, Jacques 1 Kozpınar, Sinem 1 Latouche, Guy 1 Linders, Daniël 1 Melis, Roberta 1 Petkovic, Alexandre 1 Pham, Huyên 1 Plantin, Guillaume 1 Reynaerts, Huguette 1 Skantzos, Nikos S. 1 Touzi, Nizar 1 Vanduffel, Steven 1 Wolf, F. L. 1 Yao, Jing all top 5 Serials 10 Insurance Mathematics & Economics 8 Journal of Computational and Applied Mathematics 3 Applied Stochastic Models and Data Analysis 3 ASTIN Bulletin 2 Journal of Economic Dynamics & Control 2 European Journal of Operational Research 2 Quantitative Finance 1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 1 Journal of Applied Probability 1 The Annals of Applied Probability 1 Stochastics and Stochastics Reports 1 Computational Economics 1 International Journal of Theoretical and Applied Finance 1 Methodology and Computing in Applied Probability 1 Applied Stochastic Models in Business and Industry 1 Decisions in Economics and Finance 1 Stochastic Models 1 EAA Series Fields 38 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Probability theory and stochastic processes (60-XX) 3 Statistics (62-XX) 3 Systems theory; control (93-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications 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 1074.91013Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 65 2003 Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Zbl 0915.60064Deelstra, G.; Delbaen, F. 41 1998 Pricing of arithmetic basket options by conditioning. Zbl 1068.91030Deelstra, G.; Liinev, J.; Vanmaele, M. 33 2004 Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J. 31 2006 Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059Deelstra, Griselda; Pham, Huyên; Touzi, Nizar 30 2001 Optimal design of the guarantee for defined contribution funds. Zbl 1202.91124Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 29 2004 An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle 28 2011 Optimal investment strategies in a CIR framework. Zbl 0989.91040Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 27 2000 Static super-replicating strategies for a class of exotic options. Zbl 1141.91427Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M. 23 2008 Bounds for Asian basket options. Zbl 1151.91500Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle 17 2008 Long-term returns in stochastic interest rate models. Zbl 0847.62082Deelstra, G.; Delbaen, F. 12 1995 Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158Deelstra, Griselda; Rayée, Grégory 8 2013 Long-term returns in stochastic interest rate models: Applications. Zbl 1018.91029Deelstra, Griselda 7 2000 The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. Zbl 1371.91084Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher 6 2016 Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables. Zbl 1056.91037Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan 6 2004 Moment matching approximation of Asian basket option prices. Zbl 1195.91155Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle 6 2010 Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197Hainaut, Donatien; Deelstra, Griselda 6 2014 Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory 6 2017 Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150Hainaut, Donatien; Deelstra, Griselda 5 2014 On an optimization problem related to static super-replicating strategies. Zbl 1299.91140Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle 5 2015 Long-term returns in stochastic interest rate models: different convergence results. Zbl 0914.60021Deelstra, Griselda; Delbaen, Fred 5 1997 Long-term returns in stochastic interest rate models: Convergence in law. Zbl 0886.60073Deelstra, G.; Delbaen, F. 5 1995 Risk theory and reinsurance. Translated from the French by Urmie Ray. Zbl 1309.91002Deelstra, Griselda; Plantin, Guillaume 5 2014 Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda 5 2006 Long-term returns in stochastic interest rate models. Zbl 0827.90006Deelstra, G.; Delbaen, F. 4 1995 Remarks on “Boundary crossing results for Brownian motion”. Zbl 0815.60079Deelstra, Griselda 4 1994 Remarks on the methodology introduced by Goovaerts et al. Zbl 0768.62096Deelstra, G.; Delbaen, F. 4 1992 Managing value-at-risk for a bond using bond put options. Zbl 1161.91388Deelstra, Griselda; Ezzine, Ahmed; Heyman, Dries; Vanmaele, Michèle 3 2007 Risk management of a bond portfolio using options. Zbl 1141.91414Annaert, 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 1290.91159Deelstra, 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 1454.91177Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter 3 2020 Pricing and hedging Asian basket spread options. Zbl 1186.91212Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle 3 2010 Multivariate European option pricing in a Markov-modulated Lévy framework. Zbl 1386.91139Deelstra, Griselda; Simon, Matthieu 2 2017 Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda 2 2010 On barrier option pricing by Erlangization in a regime-switching model with jumps. Zbl 1442.91099Deelstra, Griselda; Latouche, Guy; Simon, Matthieu 2 2020 A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462Hainaut, Donatien; Deelstra, Griselda 1 2019 A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. Zbl 1447.60072Hainaut, Donatien; Deelstra, Griselda 1 2019 Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method. Zbl 1454.91177Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; Hieber, Peter 3 2020 On barrier option pricing by Erlangization in a regime-switching model with jumps. Zbl 1442.91099Deelstra, Griselda; Latouche, Guy; Simon, Matthieu 2 2020 A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462Hainaut, Donatien; Deelstra, Griselda 1 2019 A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. Zbl 1447.60072Hainaut, Donatien; Deelstra, Griselda 1 2019 Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory 6 2017 Multivariate European option pricing in a Markov-modulated Lévy framework. Zbl 1386.91139Deelstra, Griselda; Simon, Matthieu 2 2017 The role of the dependence between mortality and interest rates when pricing guaranteed annuity options. Zbl 1371.91084Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher 6 2016 On an optimization problem related to static super-replicating strategies. Zbl 1299.91140Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle 5 2015 Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197Hainaut, Donatien; Deelstra, Griselda 6 2014 Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150Hainaut, Donatien; Deelstra, Griselda 5 2014 Risk theory and reinsurance. Translated from the French by Urmie Ray. Zbl 1309.91002Deelstra, Griselda; Plantin, Guillaume 5 2014 Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing 3 2014 Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158Deelstra, Griselda; Rayée, Grégory 8 2013 An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle 28 2011 Moment matching approximation of Asian basket option prices. Zbl 1195.91155Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle 6 2010 Pricing and hedging Asian basket spread options. Zbl 1186.91212Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle 3 2010 Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda 2 2010 Static super-replicating strategies for a class of exotic options. Zbl 1141.91427Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M. 23 2008 Bounds for Asian basket options. Zbl 1151.91500Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle 17 2008 Managing value-at-risk for a bond using bond put options. Zbl 1161.91388Deelstra, Griselda; Ezzine, Ahmed; Heyman, Dries; Vanmaele, Michèle 3 2007 Risk management of a bond portfolio using options. Zbl 1141.91414Annaert, Jan; Deelstra, Griselda; Heyman, Dries; Vanmaele, Michèle 3 2007 Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027Vanmaele, 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 1100.91048Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda 5 2006 Pricing of arithmetic basket options by conditioning. Zbl 1068.91030Deelstra, G.; Liinev, J.; Vanmaele, M. 33 2004 Optimal design of the guarantee for defined contribution funds. Zbl 1202.91124Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 29 2004 Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables. Zbl 1056.91037Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan 6 2004 Optimal investment strategies in the presence of a minimum guarantee. Zbl 1074.91013Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 65 2003 Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059Deelstra, Griselda; Pham, Huyên; Touzi, Nizar 30 2001 Optimal investment strategies in a CIR framework. Zbl 0989.91040Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François 27 2000 Long-term returns in stochastic interest rate models: Applications. Zbl 1018.91029Deelstra, Griselda 7 2000 Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Zbl 0915.60064Deelstra, G.; Delbaen, F. 41 1998 Long-term returns in stochastic interest rate models: different convergence results. Zbl 0914.60021Deelstra, Griselda; Delbaen, Fred 5 1997 Long-term returns in stochastic interest rate models. Zbl 0847.62082Deelstra, G.; Delbaen, F. 12 1995 Long-term returns in stochastic interest rate models: Convergence in law. Zbl 0886.60073Deelstra, G.; Delbaen, F. 5 1995 Long-term returns in stochastic interest rate models. Zbl 0827.90006Deelstra, G.; Delbaen, F. 4 1995 Remarks on “Boundary crossing results for Brownian motion”. Zbl 0815.60079Deelstra, Griselda 4 1994 Remarks on the methodology introduced by Goovaerts et al. Zbl 0768.62096Deelstra, G.; Delbaen, F. 4 1992 all cited Publications top 5 cited Publications 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 all top 5 Cited in 21 Fields 307 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 148 Probability theory and stochastic processes (60-XX) 55 Systems theory; control (93-XX) 47 Statistics (62-XX) 29 Numerical analysis (65-XX) 29 Operations research, mathematical programming (90-XX) 18 Calculus of variations and optimal control; optimization (49-XX) 7 Partial differential equations (35-XX) 4 Ordinary differential equations (34-XX) 3 Biology and other natural sciences (92-XX) 2 Integral equations (45-XX) 1 General and overarching topics; collections (00-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Approximations and expansions (41-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) Citations by Year