Griselda Deelstra

Université Libre de Bruxelles (ULB)

Boulevard du Triomphe, CP210

Brussels, Brussels 1050

Belgium

  • Université Libre de Bruxelles (ULB)

SCHOLARLY PAPERS

13

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34

Scholarly Papers (13)

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1.

Vanna-Volga Methods Applied to FX Derivatives: From Theory to Market Practice

Number of pages: 28 Posted: 15 Apr 2009 Last Revised: 28 Apr 2010
Frederic Bossens, Grégory Rayée, Nikos S. Skantzos and Griselda Deelstra
affiliation not provided to SSRN, Université Libre de Bruxelles (ULB), affiliation not provided to SSRN and Université Libre de Bruxelles (ULB)
Downloads 862 (60,487)
Citation 10

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Vanna-Volga, Foreign Exchange, exotic options, market conventions

2.

Local Volatility Pricing Models for Long-Dated FX Derivatives

Number of pages: 22 Posted: 14 Jun 2010 Last Revised: 03 Apr 2012
Griselda Deelstra and Grégory Rayée
Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 396 (160,258)
Citation 8

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Local volatility, Stochastic volatility, Foreign Exchange,Stochastic interest rates, Calibration

3.

Multivariate FX Models with Jumps: Triangles, Quantos and Implied Correlation

Forthcoming, European Journal of Operational Research
Number of pages: 40 Posted: 14 Feb 2017
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Bayes Business School (formerly Cass) - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 296 (220,032)
Citation 4

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Option pricing, Calibration procedure, Implied correlation, Multivariate L´evy processes, Quanto products

4.

Quanto Implied Correlation in a Multi-Lévy Framework

Number of pages: 25 Posted: 24 Feb 2015 Last Revised: 22 Oct 2015
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Bayes Business School (formerly Cass) - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 286 (228,168)
Citation 1

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FX risk, implied correlation, multivariate Lévy processes, Quanto products, triangular relation, Variance Gamma process

5.

The Role of the Dependence between Mortality and Interest Rates When Pricing Guaranteed Annuity Options

Number of pages: 34 Posted: 02 Oct 2015 Last Revised: 12 Oct 2015
Griselda Deelstra, Martino Grasselli and Christopher Van Weverberg
Université Libre de Bruxelles (ULB), University of Padova - Department of Mathematics and Université Libre de Bruxelles (ULB)
Downloads 219 (297,722)
Citation 1

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Wishart process, Guaranteed Annuity Options, Stochastic mortality, Stochastic interest rates, Affine interest rate models, Dependence, Fourier

6.

Explosion Time for some Wishart Transforms

Number of pages: 22 Posted: 24 Dec 2014 Last Revised: 02 Mar 2015
Griselda Deelstra, Martino Grasselli and Christopher Van Weverberg
Université Libre de Bruxelles (ULB), University of Padova - Department of Mathematics and Université Libre de Bruxelles (ULB)
Downloads 197 (328,859)
Citation 1

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Wishart process, Laplace transform, explosion time

7.

Valuation of Hybrid Financial and Actuarial Products in Life Insurance by a novel 3-Step Method

ASTIN Bulletin, 50(3), pp. 709-742, 2020
Number of pages: 42 Posted: 09 Jan 2019 Last Revised: 22 Mar 2022
Griselda Deelstra, Pierre Devolder, Kossi Gnameho and Peter Hieber
Université Libre de Bruxelles (ULB), Catholic University of Louvain, Maastricht University - Department of Quantitative Economics and Université de Lausanne
Downloads 171 (373,771)
Citation 1

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financial risk, actuarial valuation, (un)systematic mortality risk, contract valuation, risk decomposition, hedging

8.

Pricing Variable Annuity Guarantees in a Local Volatility Framework

Number of pages: 39 Posted: 04 Apr 2012
Grégory Rayée and Griselda Deelstra
Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 139 (444,333)
Citation 1

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local volatility, stochastic interest rates, variable annuity guarantees, GAO, GMIB

9.

Bounds for Stop-Loss Premiums of Stochastic Sums (with Applications to Life Contingencies)

Number of pages: 27 Posted: 12 Jan 2006
Tom Hoedemakers, Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene and Michèle Vanmaele
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 134 (457,627)

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Stop-loss premium, Life annuity, Comonotonicity, Stochastic time horizon

10.

Randomization and the Valuation of Guaranteed Minimum Death Benefits

European Journal of Operational Research, 309(3), pp. 1218-1236, 2023.
Number of pages: 36 Posted: 07 Jun 2022 Last Revised: 29 Feb 2024
Griselda Deelstra and Peter Hieber
Université Libre de Bruxelles (ULB) and Université de Lausanne
Downloads 108 (540,324)
Citation 1

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Erlangization; risk analysis; variable annuities; regime switching; phase-type distributions

11.

Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Levy Markets

Astin Bulletin, Forthcoming
Number of pages: 44 Posted: 18 Jan 2014
Griselda Deelstra, Grégory Rayée, Steven Vanduffel and Jing Yao
Université Libre de Bruxelles (ULB), Université Libre de Bruxelles (ULB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 82 (646,773)

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Asian style options, conditional expectation, control variates, stochastic clock

12.

Approximate Default Probabilities of a Holding Company, with Complete and Partial Information

Forthcoming in Journal of Computational and Applied Mathematics
Number of pages: 25 Posted: 03 Feb 2013 Last Revised: 26 Oct 2014
Donatien Hainaut and Griselda Deelstra
Université Catholique de Louvain and Université Libre de Bruxelles (ULB)
Downloads 73 (690,676)

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default risk, structural model, incomplete information, convex ordering, comonotonicity

13.

On an Optimization Problem Related to Static Super-Replicating Strategies

Number of pages: 42 Posted: 13 May 2014 Last Revised: 18 Jan 2015
Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders and Michèle Vanmaele
KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven, University of Illinois and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 72 (695,984)
Citation 6

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Asian options, basket options, comonotonicity