prof. dr. Michèle Vanmaele
- ORCID iD
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0000-0002-9882-4360
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Special issue 'Stochastic modelling with applications in finance and insurance'
Jan Dhaene and Michèle Vanmaele (UGent) -
- Journal Article
- A1
- open access
Mortality/longevity risk-minimization with or without securitization
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- Journal Article
- A2
- open access
Pricing of commodity derivatives on processes with memory
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A martingale representation theorem and valuation of defaultable securities
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- Journal Article
- A1
- open access
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
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Radial basis functions with partition of unity method for American options with stochastic volatility
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- Journal Article
- A1
- open access
An RBF-FD method for pricing American options under jump-diffusion models
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Efficient computation of the optimal strikes in the comonotonic upper bound for an arithmetic Asian option
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Uncertainty quantification of derivative instruments
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Model risk and discretisation of locally risk-minimising strategies