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Optimal design of the guarantee for defined contribution funds

Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Journal of economic dynamics & control 28 (2004) 11, pp. 2239-2260

Persistent link: https://www.econbiz.de/10002172298

Quanto Implied Correlation in a Multi-Lévy Framework

Ballotta, Laura - 2015

In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with...

Persistent link: https://www.econbiz.de/10013027591

Optimal funding of defined benefit pension plans

Hainaut, Donatien; Deelstra, Griselda - In: Journal of pension economics and finance 10 (2011) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10009007169

Risk management of a bond portfolio using options

Annaert, Jan; Deelstra, Griselda; Heyman, Dries; … - 2007

Persistent link: https://www.econbiz.de/10003476828

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

Ballotta, Laura - 2017

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous...

Persistent link: https://www.econbiz.de/10012963076