Michèle Vanmaele

Ghent University - Department of Applied Mathematics, Computer Science and Statistics

Krijgslaan 281

Ghent, B-9000

Belgium

SCHOLARLY PAPERS

8

DOWNLOADS

430

SSRN CITATIONS
Rank 30,355

SSRN RANKINGS

Top 30,355

in Total Papers Citations

1

CROSSREF CITATIONS

27

Scholarly Papers (8)

1.

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

Number of pages: 27 Posted: 12 Jan 2006
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 114 (336,534)

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

2.
Downloads 113 (338,613)
Citation 9

Index Options: A Model-Free Approach

Number of pages: 55 Posted: 28 Mar 2012 Last Revised: 03 Apr 2012
Daniël Linders, Jan Dhaene, Hippolyte Hounnon and Michèle Vanmaele
University of Illinois, Katholieke Universiteit Leuven, Université d'Abomey-Calavi and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 66 (473,745)
Citation 5

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index call and put options, comonotonicity, model-free approach, static super-replicating strategies

Index Options: A Model-Free Approach

Number of pages: 57 Posted: 18 Feb 2012
Daniël Linders, Jan Dhaene, Hippolyte Hounnon and Michèle Vanmaele
University of Illinois, Katholieke Universiteit Leuven, Université d'Abomey-Calavi and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 47 (556,274)
Citation 7

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index call and put options, comonotonicity, model-free approach, static super-replicating strategies

3.

Analytical Approximation for Distorted Expectations

Number of pages: 16 Posted: 01 Jun 2015 Last Revised: 23 Jul 2015
Xianming Sun, Siqing Gan and Michèle Vanmaele
Zhongnan University of Economics and Law - School of Finance, affiliation not provided to SSRN and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 79 (424,384)

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Distortion risk measure; Fourier-cosine series expansion; Interpolation approximation

4.

Uncertainty Quantification of Derivative Instruments

Number of pages: 25 Posted: 20 Mar 2015 Last Revised: 21 Mar 2015
Xianming Sun and Michèle Vanmaele
Zhongnan University of Economics and Law - School of Finance and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 74 (440,117)

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Parameter uncertainty; Derivative pricing; Worst-case approach; Smolyak; Monte Carlo; Entropy

5.

On an Optimization Problem Related to Static Super-Replicating Strategies

Number of pages: 42 Posted: 13 May 2014 Last Revised: 18 Jan 2015
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 36 (602,988)
Citation 7

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Asian options, basket options, comonotonicity

6.

A Martingale Representation Theorem and Valuation of Defaultable Securities

Mathematical Finance, Vol. 30, Issue 4, pp. 1527-1564, 2020
Number of pages: 38 Posted: 07 Oct 2020
Tahir Choulli, Catherine Daveloose and Michèle Vanmaele
University of Alberta, affiliation not provided to SSRN and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 6 (846,530)

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default/time of death/random horizon, defaultable securities, optional martingale representation, progressively enlarged filtration, risk decomposition, valuation of securities

7.

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Journal of Risk and Insurance, Vol. 76, Issue 4, pp. 847-866, December 2009
Number of pages: 20 Posted: 09 Nov 2009
KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 5 (857,599)
Citation 1

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8.

Minimizing the Risk of a Financial Product Using a Put Option

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 767-800, December 2010
Number of pages: 34 Posted: 16 Nov 2010
Griselda Deelstra, Michèle Vanmaele and David Vyncke
Université Libre de Bruxelles (ULB), Ghent University - Department of Applied Mathematics, Computer Science and Statistics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 3 (881,964)

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