Ghent University Academic Bibliography

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Mortality/longevity risk-minimization with or without securitization

Tahir Choulli, Catherine Daveloose (UGent) and Michèle Vanmaele (UGent)

(2021) MATHEMATICS. 9(14).
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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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Radial basis functions with partition of unity method for American options with stochastic volatility

Reza Mollapourasl, Ali Fereshtian and Michèle Vanmaele (UGent)

(2019) COMPUTATIONAL ECONOMICS. 53(1). p.259-287
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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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Uncertainty quantification of derivative instruments

Xianming Sun (UGent) and Michèle Vanmaele (UGent)

(2017) EAST ASIAN JOURNAL ON APPLIED MATHEMATICS. 7(02). p.343-362
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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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Pricing and hedging Asian basket spread options

Griselda Deelstra, Alexander Petkovic and Michèle Vanmaele (UGent)

(2010) JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 233(11). p.2814-2830

Academic Bibliography

Mortality/longevity risk-minimization with or without securitization

Pricing of commodity derivatives on processes with memory

Radial basis functions with partition of unity method for American options with stochastic volatility

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

Uncertainty quantification of derivative instruments

Model risk and discretisation of locally risk-minimising strategies

Pricing and hedging Asian basket spread options

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