Articles dans des revues avec comité de lecture (56)
  1. 14. Deelstra, G., Simon, M., & Kozpinar, S. (2018). Spread and Basket Option Pricing in a Markov-Modulated Lévy Framework with Synchronous Jumps. Applied stochastic models in business and industry, 34(6), 782-802. doi:10.1002/asmb.2385
  2. 15. Deelstra, G., & Simon, M. (2017). Multivariate European option pricing in a Markov-modulated Lévy framework. Journal of computational and applied mathematics, 317, 171-187. doi:10.1016/j.cam.2016.11.040
  3. 16. Ballotta, L., Deelstra, G., & Rayée, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European journal of operational research., 10.1016/j.ejor.2017.02.018. doi:10.1016/j.ejor.2017.02.018
  4. 17. Deelstra, G., Grasselli, M., & Van Weverberg, C. (2016). The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. Insurance. Mathematics & economics, 71, 205-219. doi:10.1016/j.insmatheco.2016.09.010
  5. 18. Chen, X., Deelstra, G., Dhaene, J., Linders, D., & Vanmaele, M. (2015). On an optimization problem related to static super-replicating strategies. Journal of computational and applied mathematics, 278, 213-230. doi:10.1016/j.cam.2014.10.003
  6. 19. Hainaut, D., & Deelstra, G. (2014). Default probabilities of a holding company, with complete and partial information. Journal of computational and applied mathematics, 277(1), 380-400. doi:10.1016/j.cam.2014.04.003
  7. 20. Deelstra, G., Rayée, G., Vanduffel, S., & Yao, J. (2014). Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. ASTIN bulletin, 44(2), 237-276. doi:10.1017/asb.2014.6
  8. 21. Hainaut, D., & Deelstra, G. (2014). Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Journal of economic dynamics & control, 44, 124-146. doi:10.1016/j.jedc.2014.04.008
  9. 22. Deelstra, G., & Rayée, G. (2013). Pricing Variable Annuity Guarantees in a Local Volatility framework. Insurance. Mathematics & economics, 53(3), 650–663.
  10. 23. Deelstra, G., & Rayée, G. (2012). Local Volatility Pricing Models for Long-dated FX Derivatives. Applied mathematical finance, 20(4), 380-402. doi:10.1080/1350486X.2012.723516
  11. 24. Hainaut, D., & Deelstra, G. (2011). Optimal funding of defined benefit pension plans. Journal of pension economics & finance, 10, 31-52.
  12. 25. Deelstra, G., Vanmaele, M., & Vyncke, D. (2010). Minimizing the risk of a financial product using a put option. The Journal of risk and insurance, 77(4), 767-800. doi:10.1111/j.1539-6975.2010.01365.x
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