Michèle Vanmaele

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

Krijgslaan 281

Ghent, B-9000

Belgium

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

SCHOLARLY PAPERS

5

DOWNLOADS

637

TOTAL CITATIONS
Rank 43,319

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Top 43,319

in Total Papers Citations

18

Scholarly Papers (5)

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1.

Index Options: A Model-Free Approach

Downloads 195 (337,794)
Citation 12

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 (UAC) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 116 (522,156)
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 (UAC) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 79 (684,277)
Citation 7

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

2.

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 (463,826)

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

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 131 (472,367)

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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 104 (563,196)

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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
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 73 (700,551)
Citation 6

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Asian options, basket options, comonotonicity