Michèle Vanmaele

Orcid: 0000-0002-9882-4360

According to our database1, Michèle Vanmaele authored at least 11 papers between 1996 and 2018.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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Bibliography

2018
An RBF-FD method for pricing American options under jump-diffusion models.
Comput. Math. Appl., 2018

2017
Model risk and discretisation of locally risk-minimising strategies.
J. Comput. Appl. Math., 2017

2016
Robustness of quadratic hedging strategies in finance via Fourier transforms.
J. Comput. Appl. Math., 2016

2015
On an optimization problem related to static super-replicating strategies.
J. Comput. Appl. Math., 2015

2010
Pricing and hedging Asian basket spread options.
J. Comput. Appl. Math., 2010

Moment matching approximation of Asian basket option prices.
J. Comput. Appl. Math., 2010

2009
Explicit portfolio for unit-linked life insurance contracts with surrender option.
J. Comput. Appl. Math., 2009

2006
Bounds for the price of a European-style Asian option in a binary tree model.
Eur. J. Oper. Res., 2006

2003
A Sensitivity Analysis for the Pricing of European Call Options in a Binary Tree Model.
Proceedings of the ISIPTA '03, 2003

1997
Multilevel Solution of Cell Vertex Cauchy-Riemann Equations.
SIAM J. Sci. Comput., 1997

1996
On a variational approximation method for a class of elliptic Eigenvalue problems in composite structures.
Math. Comput., 1996


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