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Researcher
David Vyncke
Profile
Projects
Publications
Activities
Awards & Distinctions
33
Results
2021
A generalized weighted Monte Carlo calibration method for derivative pricing
Hilmar Haukur Gudmundsson
David Vyncke
A1
Journal Article
in
MATHEMATICS
2021
2019
On the calibration of the 3/2 model
Hilmar Haukur Gudmundsson
David Vyncke
A1
Journal Article
in
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
2019
The calibration of option pricing models
Hilmar Haukur Gudmundsson
David Vyncke
Dissertation
2019
2016
Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Alain Chateauneuf
Mina Mostoufi
David Vyncke
A1
Journal Article
in
JOURNAL OF DERIVATIVES
2016
2015
Actuarial and financial mathematics conference: interplay between finance and insurance, February 5-6, 2015
Book editor
2015
Multivariate risk sharing and the derivation of individually rational Pareto optima
Alain Chateauneuf
Mina Mostoufi
David Vyncke
A1
Journal Article
in
MATHEMATICAL SOCIAL SCIENCES
2015
2014
A multivariate dependence measure for aggregating risks
Jan Dhaene
Daniël Linders
Wim Schoutens
David Vyncke
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2014
Actuarial and financial mathematics conference : interplay between finance and insurance, February 6-7, 2014
Book editor
2014
2013
Actuarial and financial mathematics conference : interplay between finance and insurance, February 7-8, 2013
Book editor
2013
Robustness of locally risk-minimizing hedging strategies in finance via backward stochastic differential equations with jumps
Giulia Di Nunno
Asma Khedher
Michèle Vanmaele
C1
Conference
2013
2012
Actuarial and financial mathematics conference : interplay between finance and insurance, February 9-10, 2012
Book editor
2012
The Herd Behavior Index: a new measure for the implied degree of co-movement in stock markets
Jan Dhaene
Daniel Linders
Wim Schoutens
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2012
2011
Actuarial and financial mathematics conference : interplay between finance and insurance, February 10-11, 2011
Book editor
2011
Clinical and functional outcome of the Birmingham hip resurfacing
Hans Van der Bracht
SAM VANDER EECKEN
David Vyncke
Jacques Van Dooren
Erwin Jansegers
A1
Journal Article
in
ACTA ORTHOPAEDICA BELGICA
2011
2010
Minimizing the risk of a financial product using a put option
Griselda Deelstra
Michèle Vanmaele
David Vyncke
A1
Journal Article
in
JOURNAL OF RISK AND INSURANCE
2010
2006
Risk measures and comonotonicity: A review
Jan Dhaene
S VANDUFFEL
MJ GOOVAERTS
R KAAS
Q TANG
David Vyncke
A1
Journal Article
in
STOCHASTIC MODELS
2006
2005
Comonotonic approximations for optimal portfolio selection problems
Jan Dhaene
S VANDUFFEL
MJ GOOVAERTS
R KAAS
David Vyncke
A1
Journal Article
in
JOURNAL OF RISK AND INSURANCE
2005
On the use of copulas for calculating the present value of a general cash flow
M Goovaerts
A De Schepper
Y Hua
G Darkiewicz
David Vyncke
A2
Journal Article
in
TIJDSCHRIFT VOOR ECONOMIE EN MANAGEMENT
2005
Optimal portfolio selection for cash-flows with bounded capital at risk
David Vyncke
M Goovaerts
Jan Dhaene
S Vanduffel
A2
Journal Article
in
TIJDSCHRIFT VOOR ECONOMIE EN MANAGEMENT
2005
2004
An accurate analytical approximation for the price of a European-style arithmetic Asian option
David Vyncke
M GOOVAERTS
Jan Dhaene
A2
Journal Article
in
FINANCE
2004
Capital requirements, risk measures and comonotonicity
Jan Dhaene
S Vanduffel
Q Tang
M Goovaerts
R Kaas
David Vyncke
A2
Journal Article
in
BELGIAN ACTUARIAL BULLETIN
2004
Comonotonicity
David Vyncke
Bookchapter
in
Encyclopedia of Actuarial Science
2004
Reinsurance forms
M GOOVAERTS
David Vyncke
Bookchapter
in
Encyclopedia of Actuarial Science
2004
The individual risk model
Jan Dhaene
David Vyncke
Bookchapter
in
Encyclopedia of Actuarial Science
2004
2003
On the distribution of cash flows using Esscher transforms
David Vyncke
MJ GOOVAERTS
A DE SCHEPPER
R KAAS
Jan Dhaene
A1
Journal Article
in
JOURNAL OF RISK AND INSURANCE
2003
Stable laws and the distribution of cash-flows
M Goovaerts
A De Schepper
David Vyncke
Jan Dhaene
R Kaas
A2
Journal Article
in
NORTH AMERICAN ACTUARIAL JOURNAL
2003
The valuation of cash-flows in the presence of dividend barriers
A De Schepper
M Goovaerts
Jan Dhaene
David Vyncke
R Kaas
A4
Journal Article
in
MEDIUM ECONOMETRISCHE TOEPASSINGEN
2003
2002
A simple geometric proof that comonotonic risks have the convex-largest sum
R KAAS
Jan Dhaene
David Vyncke
M GOOVAERTS
M DENUIT
A2
Journal Article
in
ASTIN Bulletin
2002
Bounds for present value functions with stochastic interest rates and stochastic volatility
A DE SCHEPPER
M GOOVAERTS
Jan Dhaene
R KAAS
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2002
The concept of comonotonicity in actuarial science and finance: applications
Jan Dhaene
M DENUIT
MJ GOOVAERTS
R KAAS
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2002
The concept of comonotonicity in actuarial science and finance: theory
Jan Dhaene
A DENUIT
MJ GOOVAERTS
R KAAS
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2002
2001
Convex upper and lower bounds for present value functions
David Vyncke
M GOOVAERTS
Jan Dhaene
A1
Journal Article
in
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
2001
How to determine the capital requirements for a portfolio of annuity liabilities
Jan Dhaene
M Goovaerts
S Vanduffel
David Vyncke
A2
Journal Article
in
TIJDSCHRIFT VOOR ECONOMIE EN MANAGEMENT
2001