Researcher
Michèle Vanmaele
- Keywords:Financial mathematics, Computational finance
- Disciplines:Game theory, economics, social and behavioural sciences, Probability theory, Numerical analysis
Affiliations
- Department of Applied Mathematics, Computer Science and Statistics (Department)
Member
From1 Apr 1999 → Today - Department of Mathematical analysis (Department)
Member
From1 Jan 1993 → 31 Oct 1993
Projects
1 - 7 of 7
- Numerical analysis and simulation of exotic energy derivativesFrom1 Jan 2023 → TodayFunding: FWO research project (including WEAVE projects)
- Modelling and simulation with applications in finance, insurance and economicsFrom1 Jan 2021 → TodayFunding: FWO scientific research network
- Stochastic modeling with applications in financial marketsFrom1 Jan 2016 → 31 Dec 2020Funding: FWO scientific research network
- Scientific Assignment Michèle VanmaeleFrom22 Sep 2014 → 31 May 2015Funding: FWO Prices and sabbaticals (before FWO undefined)
- Pricing and Hedging of Multi-Asset Derivatives under a Multi-Factor Lévy ModelFrom1 Mar 2014 → 31 Dec 2017Funding: BOF - Other initiatives
- Hedging strategies and Lévy interest rate modelingFrom1 Oct 2011 → 30 Jun 2016Funding: IWT personal funding - specialisation scholarships
- Stochastic modelling with applications in financial marketsFrom1 Jan 2011 → 31 Dec 2015Funding: FWO scientific research network
Publications
1 - 10 of 37
- Mortality/longevity risk-minimization with or without securitization(2021)
Authors: Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
- A martingale representation theorem and valuation of defaultable securities(2020)
Authors: Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
Pages: 1527 - 1564 - Pricing of commodity derivatives on processes with memory(2020)
Authors: Fred Espen Benth, Asma Khedher, Michèle Vanmaele
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting(2019)
Authors: Catherine Daveloose, Asma Khedher, Michèle Vanmaele
Pages: 281 - 319 - Robustness of quadratic hedging strategies in finance via Fourier transforms(2016)
Authors: Catherine Daveloose, Asma Khedher, Michèle Vanmaele
Pages: 56 - 88 - Quantification of model risk in quadratic hedging in finance(2016)Series: Springer Proceedings in Mathematics and Statistics
Authors: Catherine Daveloose, Asma Khedher, Michèle Vanmaele, Fred Espen Benth, Giulia Di Nunno
Pages: 211 - 241 - Hedging strategies for energy derivatives(2015)Series: Chapman & Hall/CRC Financial Mathematics Series
Authors: Peter Leoni, Nele Vandaele, Michèle Vanmaele, MAH Dempster, Ke Tang
Pages: 623 - 644 - Actuarial and financial mathematics conference: interplay between finance and insurance, February 5-6, 2015(2015)
Authors: Michèle Vanmaele, Griselda Deelstra, Ann De Schepper, Jan Dhaene, Wim Schoutens, Steven Vanduffel, David Vyncke
- On an optimization problem related to static super-replicating strategies(2015)
Authors: Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele
Pages: 213 - 230 - Hedging strategies for energy derivatives(2014)
Authors: Peter Leoni, Nele Vandaele, Michèle Vanmaele
Pages: 1725 - 1737