Ghent University Academic Bibliography

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Utility maximization and change of variable formulas for time-changed dynamics

Giulia Di Nunno, Hannes Haferkorn, Asma Khedher and Michèle Vanmaele (UGent)

(2025) STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES. p.1-26
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Pricing of commodity derivatives on processes with memory

Fred Espen Benth, Asma Khedher and Michèle Vanmaele (UGent)

(2020) RISKS. 8(1).
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Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

Catherine Daveloose (UGent) , Asma Khedher and Michèle Vanmaele (UGent)

(2019) STOCHASTIC ANALYSIS AND APPLICATIONS. 37(2). p.281-319
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Model risk and discretisation of locally risk-minimising strategies

Xianming Sun (UGent) , Thorsten Schulz, Asma Khedher and Michèle Vanmaele (UGent)

(2017) JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 311. p.38-53
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Discretisation of FBSDEs driven by càdlàg martingales

Asma Khedher and Michèle Vanmaele (UGent)

(2016) JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 435(1). p.508-531
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Quantification of model risk in quadratic hedging in finance

Catherine Daveloose (UGent) , Asma Khedher and Michèle Vanmaele (UGent)

(2016) Stochastics of environmental and financial economics : Centre of Advanced Study, Oslo, Norway, 2014-2015. In Springer Proceedings in Mathematics and Statistics 138. p.211-241
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Robustness of quadratic hedging strategies in finance via Fourier transforms

Catherine Daveloose (UGent) , Asma Khedher and Michèle Vanmaele (UGent)

(2016) JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 296. p.56-88
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Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

Giulia Di Nunno, Asma Khedher and Michèle Vanmaele (UGent)

(2015) APPLIED MATHEMATICS AND OPTIMIZATION. 72(3). p.353-389
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Robustness of locally risk-minimizing hedging strategies in finance via backward stochastic differential equations with jumps

Giulia Di Nunno, Asma Khedher and Michèle Vanmaele (UGent)

(2013) Actuarial and financial mathematics conference : interplay between finance and insurance. p.17-28

Academic Bibliography

Utility maximization and change of variable formulas for time-changed dynamics

Pricing of commodity derivatives on processes with memory

Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

Model risk and discretisation of locally risk-minimising strategies

Discretisation of FBSDEs driven by càdlàg martingales

Quantification of model risk in quadratic hedging in finance

Robustness of quadratic hedging strategies in finance via Fourier transforms

Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

Robustness of locally risk-minimizing hedging strategies in finance via backward stochastic differential equations with jumps

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