"Accelerated Computations of Sensitivities for xVA",
Deelstra, G., Grzelak, L.A., Wolf, F.L., 2023, International Journal of Computer Mathematics, https://doi.org/10.1080/00207160.2023.2203277.
"Randomization and the valuation of guaranteed minimum death benefits",
Deelstra, G., Hieber, P., 2023, European journal of operational research, 309(3), 1218-1236, https://doi.org/10.1016/j.ejor.2023.01.059.
"Pricing Energy Quanto Options in the Framework of Markov-Modulated Additive Processes",
Benth, F.E., Deelstra, G., Kozpınar, S., 2023, IMA Journal of Management Mathematics, 34(1), January 2023, 187–220, DOI:10.1093/IMAMAN/DPAB032.
"Sensitivities and Hedging of the Collateral Choice Option",
Deelstra, G., Grzelak, L.A., Wolf, F.L., 2022, Int. Journal Theoretical and Applied Finance, Vol 25(6), 2250027, DOI: 10.1142/S0219024922500273.
"Cheapest-to-deliver collateral: a common factor approach",
Wolf, F.L., Grzelak, L.A, Deelstra, G., 2022, Quantitative Finance; 22(4); 707-723, DOI: 10.1080/14697688.2021.1990375.
"Optimal annuitisation in a deterministic financial environment",
Deelstra, G., Devolder, P., Melis, R., 2021, Optimal annuitisation in a deterministic financial environment, Decisions in Economics and Finance, Vol. 44, p. 161-175. DOI: 10.1007/s10203-020-00316
"Valuation of hybrid financial and actuarial products in life Insurance by a novel 3-step method",
Deelstra, G., Devolder, P., Gnameho, K., Hieber, H., 2020, Astin Bulletin, Vol. 50, no.3, p. 709-742. DOI:10.1017/asb.2020.25.
"On barrier option pricing by Erlangization in a regime-switching model with jumps",
Deelstra, G., Latouche, G., Simon, M., 2020, Journal of computational and applied mathematics, Vol. 371; Article 112606, Doi:10.1016/j.cam.2019.112606.
"Explosion time for some Laplace transforms of the Wishart process",
Deelstra, G., Grasselli, M., Van Weverberg, C., 2019, Stochastic models, 35(1), 89-104.
"A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices",
D. Hainaut, G. Deelstra, 2018, Methodology and Computing in Applied Probability, 21(4), 1337-1375.
"Markov-Modulated Lévy Framework with Synchronous Jumps",
G. Deelstra, S. Kozpinar, M. Simon, 2018, Applied stochastic models in business and industry, 34(6), 782-802, Doi:10.1002/asmb.2385.
"A Self-Excited Switching Jump Diffusion: properties, calibration and hitting time",
D. Hainaut, G. Deelstra, 2018, Quantitative Finance, 19(3), 407-426.
"Multivariate European option pricing in a Markov-modulated Lévy framework"
G. Deelstra, M. Simon, 2017, Journal of Computational and Applied Mathematics, 317, 171-187. doi.org/10.1016/j.cam.2016.11.040
"Multivariate FX models with jumps: Triangles, Quantos and implied correlation" (BDR.pdf)
L. Ballotta, G. Deelstra, G. Rayée, 2017, European Journal of Operational Research, 260, 1181-1199.
"The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options" (DGV.pdf),
G. Deelstra, M. Grasselli, Ch. Van Weverberg, 2016, Insurance Mathematics and Economics, 71, 205-219.
"On an optimization problem related to static super-replicating strategies" (CDDLV.pdf)
X. Chen, G. Deelstra, J. Dhaene, D. Linders, M. Vanmaele, 2015, Journal of Computational and Applied Mathematics, 278, 213-230.
"Default probabilities of a holding company, with complete and partial information" (HD2.pdf)
D. Hainaut, G. Deelstra, 2014, Journal of Computational and Applied Mathematics, vol. 271(1), 380-400.
"Optimal timing for annuitization, with a jump diffusion fund and stochastic mortality" (HD1.pdf)
D. Hainaut, G. Deelstra, 2014, Journal of Economic Dynamics and Control, vol. 44, 124-146.
"Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets" (DRVY.pdf)
G. Deelstra, G. Rayée, S. Vanduffel, J. Yao, 2014, Astin Bulletin, 44(2), 237-276.
"Pricing Variable Annuity Guarantees in a Local Volatility framework", (DR1.pdf)
G. Deelstra, G. Rayée, 2013, Insurance : Mathematics and Economics (IME), vol 53 (3), 650-663.
"Local Volatility Pricing for Long-dated FX Derivatives", (DR0.pdf)
G. Deelstra, G. Rayée, 2012, Applied Mathematical Finance (AMF), vol. 20(4), pages 380-402, September.
"Optimal Funding of defined benefit pension plans" (HD.pdf)
D. Hainaut, G. Deelstra, 2010, Journal of Pension Economics and Finance, vol 10, 31-52.
"Vanna-Volga Methods applied to FX Derivatives: From Theory to Market Practice" (BRSD.pdf)
F. Bossens, G. Rayée, N. Skantzos, G. Deelstra, 2010, International Journal of Theoretical and Applied Finance, vol 13(8), 1293-1324.
"How They Can Jump Together: Multivariate Lévy Processes and Option Pricing" (DP.pdf)
G. Deelstra, A. Petkovic, 2009-2010, Belgian Actuarial Bulletin, 9(1), p. 29-42.
"An overview of comonotonicity and its applications in finance and insurance" (DJV.pdf)
G. Deelstra, J. Dhaene, M. Vanmaele, 2010, in: AMaMeF: Advanced Mathematical Methods for Finance, Di Nunno G., Oksendal B. (Eds), Springer, Germany, 155-179.
"Minimizing the risk of a financial product using a put option" (DVV.pdf)
G. Deelstra, M. Vanmaele, D. Vyncke, 2010, Journal of Risk and Insurance, vol 77(4), 767-800.
"Moment matching approximation of Asian basket option prices",(DDV2.pdf)
G. Deelstra, I. Diallo, M. Vanmaele, 2010, Journal of Computational and Applied Mathematics, 234(4), 1006-1016.
"Pricing and Hedging Asian basket spread options", (DPV.pdf)
G. Deelstra, A. Petkovic, M. Vanmaele, 2010, Journal of Computational and Applied Mathematics, 233(4), 2814-2830.
"Pricing and Hedging Asian basket spread options in a nutshell" (AENORM.pdf)
G. Deelstra, A. Petkovic, M. Vanmaele, 2009, AENORM, 65, vol 17, 44-47.
"Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables" (DDDHV.pdf)
G. Darkiewicz, G. Deelstra, J. Dhaene, T. Hoedemakers,M. Vanmaele, 2009, Journal of Risk and Insurance, 76(4), 847-866.
"Static Super-Replicating Strategies Strategies for a Class of Exotic Options", (CDDV.pdf)
X. Chen, G. Deelstra, J. Dhaene, M. Vanmaele, 2008, Insurance: Mathematics and Economics, Vol 42 (3), 1067-1085.
"Bounds for Asian basket options", (DDV.pdf)
G. Deelstra, I. Diallo, M. Vanmaele , 2008, Journal of Computational and Applied Mathematics, 218, 215-228.
"Risk management of a bond portfolio using options", (ADHV.pdf)
J. Annaert, G. Deelstra, D. Heyman, M. Vanmaele , 2007, Insurance: Mathematics and Economics, Vol 41 (3), 299-316.
"Managing Value-at-Risk for a Bond Using Bond Put Options", (DEHV.pdf)
G. Deelstra, A. Ezzine, D. Heyman, M. Vanmaele, 2007, "Computational Economics", Vol 29 (2), 139-149.
"Minimization of the (conditional) Value-at-Risk for a coupon bearing bond using a bond put option", (HADV.pdf)
Heyman, D., Annaert, J., Deelstra G., Vanmaele M., 2006, In: Vanmaele, M., De Schepper, A., Dhaene, J., Reynaerts, H., Schoutens, W., Van Goethem, P. (Eds.):
Handelingen Contactforum 4th Actuarial and Financial Mathematics Day, 10 februari 2006, Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussel, 2006, 85-96.
"Bounds for the price of discretely sampled arithmetic Asian options" (VDLDG.PDF)
M. Vanmaele, G. Deelstra, J. Liinev, J. Dhaene, M.J. Goovaerts, 2006, Journal of Computational and Applied mathematics, Vol. 185/1 pp. 51-90.
"Bounds for the price of a European-style Asian option in a binary tree model" (RVDD.pdf)
H. Reynaerts,, M. Vanmaele, J. Dhaene, G. Deelstra 2006, European Journal of Operational Research, 168/2, 322-332.
"Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables" (VDL.pdf)
M. Vanmaele, G. Deelstra, J. Liinev, 2004, Insurance: Mathematics and Economics, 35(2), 343-367.
"Optimal Design of the Guarantee for Defined Contribution Funds" (dgk4.pdf)
G. Deelstra, M. Grasselli, P.-F. Koehl, 2004, Journal of Economic Dynamics and Control, 28 (11), 2239-2260.
"Pricing of arithmetic basket options by conditioning" (DLV.pdf)
G. Deelstra, J. Liinev, M. Vanmaele, 2004, Insurance: Mathematics and Economics, 34 (1), 55-77.
"Optimal investment strategies in the presence of a minimum guarantee" (DGK3.pdf)
G. Deelstra, M. Grasselli, P.-F. Koehl, 2003, Insurance: Mathematics and Economics, 33 (1), 189-207.
"Dual formulation of the utility maximisation problem under transaction costs" (dpt.pdf)
G.Deelstra, H. Pham and N. Touzi, 2001, Annals of Applied Probability, 11(4), 1353-1383.
"Optimal Investment Strategies in a CIR Framework" (DGK2.pdf)
G. Deelstra, M. Grasselli, P.-F. Koehl, 2000, Journal of Applied Probability, 37, 1-12.
"Long-term returns in stochastic interest rate models: Applications" (astin.pdf)
G. Deelstra, 2000 Astin Bulletin, 30 (1), 123-140.
"Yield option pricing in the generalized Cox-Ingersoll-Ross Model" (yield.pdf)
Deelstra, 1999, Finance, special issue devoted to Options, 20 (2), 169-183.
"Conditional Dominance criteria : definition and application to risk-management" (DGK1.pdf)
G. Deelstra, M. Grasselli, P.-F. Koehl, 1999, Insurance, Mathematics and Economics, 25, 295-306.
"Interaction Between Asset Liability Management and Risk Theory" (DJ.pdf)
G. Deelstra and J. Janssen, 1998, Applied Stochastic Models and Data Analysis,14, 295-
"Convergence of Discretised Stochastic (Interest Rate) Processes with Stochastic Drift Term" (DD3.pdf)
G. Deelstra and F. Delbaen, 1998, Applied Stochastic Models and Data Analysis, 14, 77-84.
"Long-term returns in stochastic interest rate models: Different convergence results" (DD4.pdf)
G. Deelstra and F. Delbaen, 1998, Applied Stochastic Models and Data Analysis, 13, 401-407.
"Long-term returns in stochastic interest rate models: Convergence in law" (DD2.pdf)
G. Deelstra and F. Delbaen, 1995, Stochastics and Stochastics Reports, 55, 253-277.
"Long-term returns in stochastic interest rate models" (DD1.pdf)
G. Deelstra and F. Delbaen,1995, Insurance: Mathematics and Economics, 17, 163-169.
"Remarks on 'Boundary Crossing..." (Blatter.pdf)
G. Deelstra, 1994, Blätter, October 1994, 449-456.
"Remarks on the methodology introduced by Goovaerts et al." (DD.pdf)
G. Deelstra and F. Delbaen, 1992, Insurance: Mathematics and Economics, 11, 295-300.
G. Deelstra and G. Plantin, 2006, "Théorie du risque et réassurance", Economica.
G. Deelstra and G. Plantin, 2014, "Risk Theory and Reinsurance", EAA Series, Springer-Verlag London.