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Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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Yield option pricing in the generalized Cox-Ingersoll-Ross model
Deelstra, Griselda - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 169-183
Persistent link: https://www.econbiz.de/10001544353
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Long-term returns in stochastic interest rate models
Deelstra, Griselda - In: Selected papers of the International Conference on …, (pp. 280-283). 1995
Persistent link: https://www.econbiz.de/10001315786
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The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, … - In: Insurance / Mathematics & economics 71 (2016), pp. 205-219
Persistent link: https://www.econbiz.de/10011630651
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A multi-curve HJM factor model for pricing and risk management
Bienek, Tobias; Deelstra, Griselda; Lichtenstern, Andreas; … - In: Quantitative finance 23 (2023) 11, pp. 1659-1675
Persistent link: https://www.econbiz.de/10014419185
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Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
Deelstra, Griselda; Devolder, Pierre; Roelants du … - 2024
Persistent link: https://www.econbiz.de/10015154564
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Cheapest-to-deliver collateral : a common factor approach
Wolf, Felix Lukas; Grzelak, Lech A.; Deelstra, Griselda - In: Quantitative finance 22 (2022) 4, pp. 707-723
Persistent link: https://www.econbiz.de/10013367854