Items where Author is "Deelstra, G."
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Article
Ballotta, L., Deelstra, G. & Rayée, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181-1199. doi: 10.1016/j.ejor.2017.02.018
Working Paper
Ballotta, L., Deelstra, G. & Rayée, G. (2015). Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN.