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Researcher
Michèle Vanmaele
Profile
Projects
Publications & Research Data
Activities
Awards & Distinctions
Patents
87
Results
2026
Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps
Mustapha Regragui
Karel J. in 't Hout
Michèle Vanmaele
Fred Espen Benth
A1
Journal Article
in
APPLIED NUMERICAL MATHEMATICS
2026
2025
The second-order Esscher martingale densities for continuous-time market models
Tahir Choulli
Ella Elazkany
Michèle Vanmaele
A2
Journal Article
in
FRONTIERS OF MATHEMATICAL FINANCE
2025
Utility maximization and change of variable formulas for time-changed dynamics
Giulia Di Nunno
Hannes Haferkorn
Asma Khedher
Michèle Vanmaele
A1
Journal Article
in
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES
2025
2021
Mortality/longevity risk-minimization with or without securitization
Tahir Choulli
Catherine Daveloose
Michèle Vanmaele
A1
Journal Article
in
MATHEMATICS
2021
2020
A martingale representation theorem and valuation of defaultable securities
Tahir Choulli
Catherine Daveloose
Michèle Vanmaele
A1
Journal Article
in
MATHEMATICAL FINANCE
2020
Classifying yield spread movements in sparse data through triplots
Carel Johannes van der Merwe
Koen Inghelbrecht
Tertius de Wet
Michèle Vanmaele
Willie Conradie
Dissertation
2020
Pricing of commodity derivatives on processes with memory
Fred Espen Benth
Asma Khedher
Michèle Vanmaele
A2
Journal Article
in
RISKS
2020
2019
Radial basis functions with partition of unity method for American options with stochastic volatility
Reza Mollapourasl
Ali Fereshtian
Michèle Vanmaele
A1
Journal Article
in
COMPUTATIONAL ECONOMICS
2019
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
Catherine Daveloose
Asma Khedher
Michèle Vanmaele
A1
Journal Article
in
STOCHASTIC ANALYSIS AND APPLICATIONS
2019
2018
An RBF-FD method for pricing American options under jump-diffusion models
Majid Haghi
Reza Mollapourasl
Michèle Vanmaele
A1
Journal Article
in
COMPUTERS & MATHEMATICS WITH APPLICATIONS
2018
Efficient computation of the optimal strikes in the comonotonic upper bound for an arithmetic Asian option
Xianming Sun
Jan Dhaene
Michèle Vanmaele
A2
Journal Article
in
INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS
2018
2017
Model risk and discretisation of locally risk-minimising strategies
Xianming Sun
Thorsten Schulz
Asma Khedher
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2017
Uncertainty quantification of derivative instruments
Xianming Sun
Michèle Vanmaele
A1
Journal Article
in
EAST ASIAN JOURNAL ON APPLIED MATHEMATICS
2017
2016
Discretisation of FBSDEs driven by càdlàg martingales
Asma Khedher
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
2016
Essays on pricing and hedging in markets with imperfections
Catherine Daveloose
Tahir Choulli
Asma Khedher
Michèle Vanmaele
Dissertation
2016
Quantification of model risk in quadratic hedging in finance
Catherine Daveloose
Asma Khedher
Michèle Vanmaele
Bookchapter
in
Stochastics of environmental and financial economics : Centre of Advanced Study, Oslo, Norway, 2014-2015
2016
Quantifying model uncertainty in financial markets
Xianming Sun
Michèle Vanmaele
Siqing Gan
Dissertation
2016
Robustness of quadratic hedging strategies in finance via Fourier transforms
Catherine Daveloose
Asma Khedher
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2016
2015
Actuarial and financial mathematics conference: interplay between finance and insurance, February 5-6, 2015
Book editor
2015
Analytical approximation for distorted expectations
Xianming Sun
Siqing Gan
Michèle Vanmaele
A1
Journal Article
in
STATISTICS & PROBABILITY LETTERS
2015
Comment: 'On approximating deep in-the-money Asian options under exponential Lévy processes'
Xianming Sun
Dorien Haesen
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF FUTURES MARKETS
2015
Hedging strategies for energy derivatives
Peter Leoni
Nele Vandaele
Michèle Vanmaele
Bookchapter
in
Commodoties
2015
On an optimization problem related to static super-replicating strategies
Xinliang Chen
Griselda Deelstra
Jan Dhaene
Daniël Linders
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2015
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
Giulia Di Nunno
Asma Khedher
Michèle Vanmaele
A1
Journal Article
in
APPLIED MATHEMATICS AND OPTIMIZATION
2015
2014
Actuarial and financial mathematics conference : interplay between finance and insurance, February 6-7, 2014
Book editor
2014
Hedging strategies for energy derivatives
Peter Leoni
Nele Vandaele
Michèle Vanmaele
A1
Journal Article
in
QUANTITATIVE FINANCE
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
Convex order approximations in the case of cash flows of mixed signs
Jan Dhaene
Marc Goovaerts
Michèle Vanmaele
Koen Van Weert
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2012
Index options : a model-free approach
Daniel Linders
Jan Dhaene
Hippolyte Hounnon
Michèle Vanmaele
Report
2012
2011
Actuarial and financial mathematics conference : interplay between finance and insurance, February 10-11, 2011
Book editor
2011
An overview of comonotonicity and its applications in finance and insurance
Griselda Deelstra
Jan Dhaene
Michèle Vanmaele
Bookchapter
in
Advanced mathematical methods for finance
2011
2010
Actuarial and financial mathematics conference: Interplay between finance and insurance, February 4-5, 2010
Book editor
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
Moment matching approximation of Asian basket option prices
Griselda Deelstra
Ibrahima Diallo
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2010
Pricing and hedging Asian basket spread options
Griselda Deelstra
Alexander Petkovic
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2010
Quadratic hedging in finance and insurance
Nele Vandaele
Michèle Vanmaele
Dissertation
2010
The Föllmer-Schweizer decomposition : comparison and description
Tahir Choulli
Nele Vandaele
Michèle Vanmaele
A1
Journal Article
in
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2010
2009
Actuarial and financial mathematics conference: Interplay between finance and insurance, February 5-6, 2009
Book editor
2009
Bounds for right tails of deterministic and stochastic sums of random variables
Grzegorz Darkiewicz
Griselda Deelstra
Jan Dhaene
Tom Hoedemakers
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF RISK AND INSURANCE
2009
Explicit portfolio for unit-linked life insurance contracts with surrender option
Nele Vandaele
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2009
2008
A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Levy process financial market
Nele Vandaele
Michèle Vanmaele
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2008
Actuarial and financial mathematics conference : interplay between finance and insurance, February 7-8, 2008
Book editor
2008
Bounds for Asian basket options
Griselda Deelstra
Ibrahima Diallo
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2008
Overview: (locally) risk-minimizing hedging strategies
Nele Vandaele
Michèle Vanmaele
C1
Conference
2008
Static super-replicating strategies for a class of exotic options
Xinliang Chen
Griselda Deelstra
Jan Dhaene
Michèle Vanmaele
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2008
Topics on the portfolio management of financial investments
Dries Heyman
Michèle Vanmaele
Jan Annaert
Dissertation
2008
2007
5th Actuarial and financial mathematics day, 9 februari 2007
Book editor
2007
Managing value-at-risk for a bond using bond put options
Griselda Deelstra
Ahmed Ezzine
Dries Heyman
Michèle Vanmaele
A2
Journal Article
in
COMPUTATIONAL ECONOMICS
2007
Risk management of a bond portfolio using options
Jan Annaert
Griselda Deelstra
Dries Heyman
Michèle Vanmaele
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2007
2006
4th Actuarial and financial mathematics day, 10 februari 2006
Book editor
2006
Bounds for the price of a European-style Asian option in a binary tree model
Huguette Reynaerts
Michèle Vanmaele
Jan Dhaene
Griselda Deelstra
A1
Journal Article
in
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
2006
Bounds for the price of discrete arithmetic Asian options
Michèle Vanmaele
Griselda Deelstra
Jan Liinev
Jan Dhaene
M Goovaerts
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
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
2005
3rd Actuarial and financial mathematics day, 4 februari 2005
Book editor
2005
Managing VaR for a bond using bond put options
Griselda Deelstra
Ahmed Ezzine
Dries Heyman
Michèle Vanmaele
C3
Conference
2005
2004
2nd Actuarial and financial mathematics day, 6 februari 2004
Book editor
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
Forward wap market models with jumps
Jan Liinev
E Eberlein
C1
Conference
2004
Pricing of arithmetic basket options by conditioning
Griselda Deelstra
Jan Liinev
Michèle Vanmaele
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2004
2003
A sensitivity analysis for the pricing of call options in a binary tree model
Huguette Reynaerts
Michèle Vanmaele
C1
Conference
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
Contribution to the theory of finite element methods for second-order elliptic eigenvalue problems
Michèle Vanmaele
A2
Journal Article
in
MEDEDELINGEN VAN DE KONINKLIJKE ACADEMIE VOOR WETENSCHAPPEN, LETTEREN EN SCHONE KUNSTEN VAN BELGIË - KLASSE DER WETENSCHAPPEN
2001
Mathematical modelling and analysis for low frequency design of transformers, in cables, transmission lines.
K Singh-Altmayer
Michèle Vanmaele
C1
Conference
2001
2000
A multigrid approach to the optimal control of solid fuel ignition problems
Alfio Borzì
Karl Kunisch
Michèle Vanmaele
C1
Conference
2000
1997
Analysis of the cell vertex finite volume method for the Cauchy-Riemann equations
Michèle Vanmaele
K William Morton
Endre Süli
Alfio Borzì
A1
Journal Article
in
SIAM JOURNAL ON NUMERICAL ANALYSIS
1997
Multilevel solution of cell vertex Cauchy-Riemann equations
Alfio Borzì
K William Morton
Endre Süli
Michèle Vanmaele
A1
Journal Article
in
SIAM JOURNAL ON SCIENTIFIC COMPUTING
1997
1996
A full multi-grid method for the solution of the cell vertex finite volume Cauchy-Riemann equations
A Borzi
KW Morton
E Süli
Michèle Vanmaele
C1
Conference
1996
On a variational approximation method for a class of elliptic eigenvalue problems in composite structures
Michèle Vanmaele
Roger Van Keer
A1
Journal Article
in
MATHEMATICS OF COMPUTATION
1996
1995
An operator method for a numerical quadrature finite element approximation for a class of second-order elliptic eigenvalue problems in composite structures
Michèle Vanmaele
Roger Van Keer
A1
Journal Article
in
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
1995
Applicability of the Bramble-Hilbert lemma in interpolation problems of narrow quadrilateral isoparametric finite-elements
A Ženišek
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
1995
On an external finite element method for a second-order eigenvalue problem on a concave 2D-domain with Dirichlet boundary conditions
Michèle Vanmaele
A1
Journal Article
in
APPLIED MATHEMATICS AND COMPUTATION
1995
The combined effect of numerical integration and approximation of the boundary in the finite element method for eigenvalue problems
Michèle Vanmaele
Alexander Ženišek
A1
Journal Article
in
NUMERISCHE MATHEMATIK
1995
The interpolation theorem for narrow quadrilateral isoparametric finite elements
Alexander Ženišek
Michèle Vanmaele
A1
Journal Article
in
NUMERISCHE MATHEMATIK
1995
1994
External finite-element approximations of eigenfunctions in the case of multiple-eigenvalues
Michèle Vanmaele
A Ženišek
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
1994
1993
A numerical quadrature finite element method for the 2nd-order eigenvalue problems with Dirichlet-Robin boundary conditions
Michèle Vanmaele
C1
Conference
1993
External finite element approximations of eigenvalue problems
Michèle Vanmaele
Alexander Ženišek
A1
Journal Article
in
RAIRO-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
1993
On optimal and nearly optimal error estimates of a numerical quadrature finite element method of 2nd-order eigenvalue problems with Dirichlet boundary conditions
Michèle Vanmaele
A2
Journal Article
in
SIMON STEVIN : A QUARTERLY JOURNAL OF PURE AND APPLIED MATHEMATICS
1993
1992
Bijdrage tot de theorie der eindige elementenmethoden voor tweede orde eigenwaardenproblemen
Michèle Vanmaele
R. Van Keer
Dissertation
1992
Some results in lumped mass finite-element approximation of eigenvalue problems using numerical quadrature formulas
AB Andreev
VA Kascieva
Michèle Vanmaele
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
1992
1991
Convergence and error estimates for a finite element method with numerical quadrature for a 2nd order elliptic Eigenvalue problem
Michèle Vanmaele
Roger Van Keer
P1
Conference
1991
External finite element approximations of eigenvalue problems
Michèle Vanmaele
Alexander Ženišek
Report
1991