Griselda Deelstra

Identifiers

• name variant Griselda Deelstra 0.60 · backfill

Papers (7)

1. Consistent asset modelling with random coefficients and switches between regimes q-fin.PR · 2024 · author #2
2. Accelerated Computations of Sensitivities for xVA q-fin.RM · 2022 · author #1
3. Sensitivities and Hedging of the Collateral Choice Option q-fin.RM · 2022 · author #1
4. Cheapest-to-Deliver Collateral: A Common Factor Approach q-fin.RM · 2021 · author #3
5. Local Volatility Pricing Models for Long-dated FX Derivatives q-fin.PR · 2012 · author #1
6. Pricing Variable Annuity Guarantees in a Local Volatility framework q-fin.PR · 2012 · author #1
7. Vanna-Volga methods applied to FX derivatives : from theory to market practice q-fin.PR · 2009 · author #4

Mentions

• 2401.09955 #2 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 2211.17026 #1 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 2207.10373 #1 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 2103.06107 #3 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 1204.0633 #1 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 1204.0453 #1 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 0904.1074 #4 · arxiv_oai · confidence 0.70 Griselda Deelstra
• 1204.0633 #1 · backfill · confidence 0.70 Griselda Deelstra
• 1204.0453 #1 · backfill · confidence 0.70 Griselda Deelstra
• 0904.1074 #4 · backfill · confidence 0.70 Griselda Deelstra

Frequent Coauthors

• Felix L. Wolf 4 shared papers
• Lech A. Grzelak 4 shared papers
• Gr\'egory Ray\'ee 3 shared papers
• Fr\'ed\'eric Bossens 1 shared papers
• Nikos S. Skantzos 1 shared papers