3 papers
q-fin.PR2024
Consistent asset modelling with random coefficients and switches between regimes
Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stoc…
q-fin.RM2022
Sensitivities and Hedging of the Collateral Choice Option
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis…
q-fin.PR2012
Pricing Variable Annuity Guarantees in a Local Volatility framework
Griselda Deelstra, Grégory Rayée
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the setti…