Griselda Deelstra
Show
Sort by
-
5th Actuarial and financial mathematics day, 9 februari 2007
Michèle Vanmaele (UGent) , Griselda Deelstra, A De Schepper, Jan Dhaene, Huguette Reynaerts (UGent) , W Schoutens and P Van Goethem(2007) -
Minimization of the (conditional) Value-at-Risk for a coupon bearing bond using a bond put option
-
Bounds for stop-loss premiums of life annuities with random interest rates
-
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
-
Pricing of arithmetic basket options by conditioning
-
Pricing of arithmetic basket and Asian basket options by conditioning
-
Approximation of stop-loss premiums involving sums of lognormals by conditioning on more than one variable
-
Bounds for the price of discretely sampled arithmetic Asian options
-
Bounds for the price of a European-style Asian option in a binary tree model
-
Dual formulation of the utility maximization problem under transaction costs.