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Researcher
Griselda Deelstra
Profile
Projects
Publications
Activities
Awards & Distinctions
14
Results
2007
5th Actuarial and financial mathematics day, 9 februari 2007
Book editor
2007
2006
Minimization of the (conditional) Value-at-Risk for a coupon bearing bond using a bond put option
Jan Annaert
Griselda Deelstra
Dries Heyman
Michèle Vanmaele
C1
Conference
2006
2004
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
Michèle Vanmaele
Griselda Deelstra
Jan Liinev
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2004
Bounds for stop-loss premiums of life annuities with random interest rates
G Darkiewicz
Griselda Deelstra
Jan Dhaene
T Hoedemakers
Michèle Vanmaele
C3
Conference
2004
Pricing of arithmetic basket options by conditioning
Griselda Deelstra
Jan Liinev
Michèle Vanmaele
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2004
2003
Approximation of stop-loss premiums involving sums of lognormals by conditioning on more than one variable
Michèle Vanmaele
Jan Liinev
Griselda Deelstra
C3
Conference
2003
Pricing of arithmetic basket and Asian basket options by conditioning
Griselda Deelstra
Jan Liinev
Michèle Vanmaele
C3
Conference
2003
2002
Bounds for the price of a European-style Asian option in a binary tree model
Huguette Reynaerts
Michèle Vanmaele
Jan Dhaene
Griselda Deelstra
C1
Conference
2002
Bounds for the price of discretely sampled arithmetic Asian options
Michèle Vanmaele
Griselda Deelstra
Jan Liinev
Jan Dhaene
MJ Goovaerts
C3
Conference
2002
2001
Dual formulation of the utility maximization problem under transaction costs.
Griselda Deelstra
H PHAM
N TOUZI
A1
Journal Article
in
ANNALS OF APPLIED PROBABILITY
2001
2000
Optimal investment strategies in a cir framework.
Griselda Deelstra
M GRASSELLI
PF KOEHL
A1
Journal Article
in
JOURNAL OF APPLIED PROBABILITY
2000
Yield option pricing in the generalized Cox-Ingersoll-Ross Model.
Griselda Deelstra
[0-9]{2}
2000
1998
Interaction between asset liability management and risk theory
Griselda Deelstra
Jacques Janssen
A1
Journal Article
in
APPLIED STOCHASTIC MODELS AND DATA ANALYSIS
1998
1997
Long-term returns in stochastic interest rate models: different convergence results
Griselda Deelstra
Fred Delbaen
A1
Journal Article
in
APPLIED STOCHASTIC MODELS AND DATA ANALYSIS
1997