Michèle Vanmaele

Publication Activity (10 Years)

Years Active: 1996-2018
Publications (10 Years): 4

Top Topics

Black Scholes Model

Fourier Transform

Top Venues

J. Comput. Appl. Math.

Comput. Math. Appl.

Publications

Majid Haghi, Reza Mollapourasl, Michèle Vanmaele
An RBF-FD method for pricing American options under jump-diffusion models. Comput. Math. Appl. 76 (10) (2018)
Xianming Sun, Thorsten Schulz, Asma Khedher, Michèle Vanmaele
Model risk and discretisation of locally risk-minimising strategies. J. Comput. Appl. Math. 311 (2017)
Catherine Daveloose, Asma Khedher, Michèle Vanmaele
Robustness of quadratic hedging strategies in finance via Fourier transforms. J. Comput. Appl. Math. 296 (2016)
Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele
On an optimization problem related to static super-replicating strategies. J. Comput. Appl. Math. 278 (2015)
Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele
Moment matching approximation of Asian basket option prices. J. Comput. Appl. Math. 234 (4) (2010)
Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele
Pricing and hedging Asian basket spread options. J. Comput. Appl. Math. 233 (11) (2010)
Nele Vandaele, Michèle Vanmaele
Explicit portfolio for unit-linked life insurance contracts with surrender option. J. Comput. Appl. Math. 233 (1) (2009)
Huguette Reynaerts, Michèle Vanmaele, Jan Dhaene, Griselda Deelstra
Bounds for the price of a European-style Asian option in a binary tree model. Eur. J. Oper. Res. 168 (2) (2006)
Huguette Reynaerts, Michèle Vanmaele
A Sensitivity Analysis for the Pricing of European Call Options in a Binary Tree Model. ISIPTA (2003)
Alfio Borzì, K. W. Morton, Endre Süli, Michèle Vanmaele
Multilevel Solution of Cell Vertex Cauchy-Riemann Equations. SIAM J. Sci. Comput. 18 (2) (1997)
Michèle Vanmaele, Roger Van Keer
On a variational approximation method for a class of elliptic Eigenvalue problems in composite structures. Math. Comput. 65 (215) (1996)