prof. dr. Michèle Vanmaele
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Actuarial and financial mathematics conference: Interplay between finance and insurance, February 4-5, 2010
Michèle Vanmaele (UGent) , Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens and Steven Vanduffel(2010) -
- Journal Article
- A1
- open access
The Föllmer-Schweizer decomposition : comparison and description
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Pricing and hedging Asian basket spread options
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Bounds for right tails of deterministic and stochastic sums of random variables
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Explicit portfolio for unit-linked life insurance contracts with surrender option
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Actuarial and financial mathematics conference: Interplay between finance and insurance, February 5-6, 2009
Michèle Vanmaele (UGent) , Griselda Deelstra, Ann De Schepper, Jan Dhaene and Paul Van Goethem(2009) -
Actuarial and financial mathematics conference : interplay between finance and insurance, February 7-8, 2008
Michèle Vanmaele (UGent) , Griselda Deelstra, Ann De Schepper, Jan Dhaene, Huguette Reynaerts (UGent) , Wim Schoutens and Paul Van Goethem(2008) -
Overview: (locally) risk-minimizing hedging strategies
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Static super-replicating strategies for a class of exotic options
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A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Levy process financial market