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Pelsser, Antoon's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
21,762 |
Total
Citations
145 |
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1.
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Pelsser, Antoon
Maastricht University
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| Posted: |
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16 May 01
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Last Revised:
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08 May 11
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4,100
(787)
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11
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2.
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Markov-Functional Interest Rate Models
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Hunt, Phil J.
Citigroup - Global Corporate and Investment Banking Group (GCIB) Kennedy, Joanne
University of Warwick - Department of Statistics Pelsser, Antoon
Maastricht University
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Posted:
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12 Jan 98
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Last Revised:
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18 Mar 01
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3,660
(965)
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19
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Hunt, Phil J.
Citigroup - Global Corporate and Investment Banking Group (GCIB) Kennedy, Joanne
University of Warwick - Department of Statistics Pelsser, Antoon
Maastricht University
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0
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Hunt, Phil J.
Citigroup - Global Corporate and Investment Banking Group (GCIB) Kennedy, Joanne
University of Warwick - Department of Statistics Pelsser, Antoon
Maastricht University
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3,660
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19
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3.
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University Schrager, David
ING Group
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29 Apr 08
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Last Revised:
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09 May 11
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1,469
(4,830)
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7
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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options
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4.
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Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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Posted:
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09 May 08
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Last Revised:
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09 May 11
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1,364
(5,510)
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5
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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0
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Stochastic volatility, simulation, Heston, non-central chi-squared inversion, control variate
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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| Posted: |
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09 May 08
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Last Revised:
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09 May 11
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1,364
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5
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Stochastic volatility, Simulation, Heston, Non-central chi-squared inversion
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5.
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de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance Pelsser, Antoon
Maastricht University
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1,264
(6,273)
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8
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6.
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Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models
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Schrager, David
ING Group Pelsser, Antoon
Maastricht University
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Posted:
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11 Dec 04
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Last Revised:
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04 Feb 07
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1,128
(7,585)
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12
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Schrager, David
ING Group Pelsser, Antoon
Maastricht University
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18
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12
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Schrager, David
ING Group Pelsser, Antoon
Maastricht University
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1,110
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12
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Swaption, coupon bond option, affine term structure models, swap measure, laplace transform, transform inversion
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7.
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Pelsser, Antoon
Maastricht University de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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1,074
(8,247)
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8
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8.
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Pietersz, Raoul
Erasmus Research Institute of Management (ERIM) Pelsser, Antoon
Maastricht University
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| Posted: |
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17 May 03
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Last Revised:
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09 May 11
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980
(9,566)
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7
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central interest rate model, Libor BGM model, swaption vega, risk management, swap market model, Bermudan swaption
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9.
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Pietersz, Raoul
Erasmus Research Institute of Management (ERIM) Pelsser, Antoon
Maastricht University Van Regenmortel, Marcel
ABN-Amro Bank, The Netherlands
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26 Mar 04
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Last Revised:
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09 May 11
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759
(14,224)
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21
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BGM model, predictor-corrector, Brownian bridge, Markov processes, separability, Feynman-Kac, Bermudan swaption
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10.
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Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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Posted:
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06 Aug 08
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Last Revised:
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04 Sep 10
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727
(15,114)
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1
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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0
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Stochastic volatility, Stochastic interest rates, Foreign Exchange, Inflation, Equity, Hybrids
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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| Posted: |
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06 Aug 08
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Last Revised:
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22 Feb 09
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727
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1
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Stochastic volatility, Stochastic interest rates, Foreign Exchange, Inflation, Equity, Hybrids
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11.
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Plat, Richard
University of Amsterdam Pelsser, Antoon
Maastricht University
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| Posted: |
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17 Feb 08
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Last Revised:
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09 May 11
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645
(17,969)
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Embedded options, insurance products, analytical approximation, Gaussian interest rate model, Fair Value of Liabilities, IFRS 4 Phase 2, Solvency 2, Monte Carlo simulation, Control Variate technique
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12.
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de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance Pelsser, Antoon
Maastricht University
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| Posted: |
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28 Feb 02
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Last Revised:
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08 May 11
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482
(26,725)
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11
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Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions
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13.
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Pietersz, Raoul
Erasmus Research Institute of Management (ERIM) Pelsser, Antoon
Maastricht University
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| Posted: |
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29 Jun 04
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Last Revised:
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07 May 11
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447
(29,523)
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5
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Markov-functional model, market model, Bermudan swaption, terminal correlation, hedging, Greeks for callable products, smile
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14.
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Bouwknegt, Pieter
Nationale-Nederlanden Pelsser, Antoon
Maastricht University
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| Posted: |
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16 May 01
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Last Revised:
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08 May 11
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439
(30,212)
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15.
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Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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| Posted: |
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20 Sep 05
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Last Revised:
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09 May 11
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352
(39,816)
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6
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Principal components analysis, correlation matrix, total positivity, oscillation matrix, Schoenmakers-Coffey matrix
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16.
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Pelsser, Antoon
Maastricht University
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| Posted: |
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01 May 02
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Last Revised:
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08 May 11
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328
(43,520)
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10
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17.
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Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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Posted:
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09 May 09
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Last Revised:
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09 May 11
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310
(46,332)
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1
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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68
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1
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Forward-Starting Options, Stochastic Interest Rates, Stochastic Volatility, Correlation Risk, Fourier Inversion
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Pelsser, Antoon
Maastricht University
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| Posted: |
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09 May 09
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Last Revised:
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09 May 11
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242
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1
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Forward-starting options, Stochastic Interest Rates, Stochastic Volatility, Correlation Risk, Fourier Inversion
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18.
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Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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Posted:
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11 Oct 09
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Last Revised:
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04 Oct 11
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300
(48,162)
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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70
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Stochastic Volatility, Stochastic Interest Rates, Schöbel-Zhu, Heston, Hull-White, Discretisation
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Lord, Roger
Cardano Risk Management Pelsser, Antoon
Maastricht University
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| Posted: |
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11 Oct 09
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Last Revised:
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04 Oct 11
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230
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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Heston, Hull-White, discretisation
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19.
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Pietersz, R.
affiliation not provided to SSRN Pelsser, Antoon
Maastricht University
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297
(48,745)
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5
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20.
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Observational Equivalence of Discrete String Models and Market Models
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Kerkhof, Jeroen
Lehman Brothers International, Europe Pelsser, Antoon
Maastricht University
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Posted:
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04 Oct 01
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Last Revised:
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09 Mar 03
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293
(49,485)
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3
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Kerkhof, Jeroen
Lehman Brothers International, Europe Pelsser, Antoon
Maastricht University
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0
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Term structure models
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Kerkhof, Jeroen
Lehman Brothers International, Europe Pelsser, Antoon
Maastricht University
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293
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3
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String model, market model
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21.
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Risk-Neutral Valuation of Real Estate Derivatives
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Bragt, David van
Ortec Finance Francke, Marc
University of Amsterdam - Faculty of Economics and Business (FEB) Kramer, Bert
Ortec Finance Pelsser, Antoon
Maastricht University
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Posted:
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16 Jan 10
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Last Revised:
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26 Oct 10
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284
(51,323)
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Bragt, David van
Ortec Finance Francke, Marc
University of Amsterdam - Faculty of Economics and Business (FEB) Kramer, Bert
Ortec Finance Pelsser, Antoon
Maastricht University
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115
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Real Estate Derivatives, Option Pricing, Incomplete Markets, Price Discovery, Autoregressive Models, Seasonality, Stochastic Volatility
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Bragt, David van
Ortec Finance Francke, Marc
University of Amsterdam - Faculty of Economics and Business (FEB) Kramer, Bert
University of Amsterdam Pelsser, Antoon
Maastricht University
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| Posted: |
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16 Jan 10
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Last Revised:
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26 Oct 10
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169
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Real estate derivatives, Option pricing, Incomplete markets, Price discovery, Autoregressive models, Seasonality, Stochastic volatility
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22.
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Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Plat, Richard
University of Amsterdam Pelsser, Antoon
Maastricht University
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Posted:
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13 Aug 09
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Last Revised:
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04 Sep 10
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197
(75,869)
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1
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Plat, Richard
University of Amsterdam Pelsser, Antoon
Maastricht University
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0
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Guaranteed Annuity Option (GAO), Guaranteed Minimum Income Benefit(GMIB), Stochastic Volatility, Stochastic Interest Rates, Variable Annuities
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van Haastrecht, Alexander
VU University Amsterdam - Faculty of Economics and Business Administration Plat, Richard
University of Amsterdam Pelsser, Antoon
Maastricht University
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| Posted: |
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13 Aug 09
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Last Revised:
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27 Aug 09
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197
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1
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Guaranteed Annuity Option (GAO), Guaranteed Minimum Income Benefit (GMIB), stochastic volatility, stochastic interest rates, variable annuities
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23.
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Pelsser, Antoon
Maastricht University
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165
(90,296)
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incomplete market, cost-of-capital, good deal bound, model ambiguity
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24.
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Time-Consistent and Market-Consistent Evaluations
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Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research Pelsser, Antoon
Maastricht University
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Posted:
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07 May 11
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Last Revised:
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26 Oct 12
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145
(100,834)
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2
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Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research Pelsser, Antoon
Maastricht University
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13
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2
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Actuarial valuation principles, financial risk, market-consistency, time-consistency
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Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research Pelsser, Antoon
Maastricht University
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| Posted: |
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02 Jun 11
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Last Revised:
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24 Oct 12
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61
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2
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Actuarial valuation principles, financial risk, market-consistency, time-consistency
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Pelsser, Antoon
Maastricht University Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research
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| Posted: |
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07 May 11
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Last Revised:
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26 Oct 12
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71
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2
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Actuarial valuation principles, financial risk, time consistency, market consistency
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25.
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Time-Consistent and Market-Consistent Actuarial Valuations
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Pelsser, Antoon
Maastricht University
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Posted:
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12 Feb 10
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Last Revised:
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09 May 11
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140
(103,842)
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2
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Pelsser, Antoon
Maastricht University
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| Posted: |
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24 Mar 10
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Last Revised:
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09 May 11
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51
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2
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Pelsser, Antoon
Maastricht University
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89
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2
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Actuarial pricing, time-consistent, market-consistent, BSDE
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26.
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Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions
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Chen, An
University of Ulm - Department of Mathematics and Economics Pelsser, Antoon
Maastricht University Vellekoop, Michel
University of Twente - Department of Applied Mathematics
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Posted:
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15 Feb 10
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Last Revised:
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08 Sep 11
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108
(127,937)
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Chen, An
University of Ulm - Department of Mathematics and Economics Pelsser, Antoon
Maastricht University Vellekoop, Michel
University of Twente - Department of Applied Mathematics
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| Posted: |
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01 Jul 11
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Last Revised:
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08 Sep 11
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27
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SAHARA utility, optimal investment problem, dual approach, utility indifference
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Chen, An
University of Ulm - Department of Mathematics and Economics Pelsser, Antoon
Maastricht University Vellekoop, Michel
University of Twente - Department of Applied Mathematics
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| Posted: |
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15 Feb 10
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Last Revised:
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08 Sep 11
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81
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SAHARA utility, optimal investment problem, dual approach, utility indifference pricing
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27.
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Joseph, Agnes S.
University of Amsterdam - Department of Quantitative Economics (KE) de Jong, Dirk A.
affiliation not provided to SSRN Pelsser, Antoon
Maastricht University
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90
(145,098)
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pension fund, funding ratio, insolvency risk, regulation
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28.
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Closed-Form Solutions for Options in Incomplete Markets
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Floroiu, Oana
Maastricht University - Department of Finance Pelsser, Antoon
Maastricht University
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Posted:
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04 May 12
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Last Revised:
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13 Feb 13
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80
(156,212)
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Floroiu, Oana
Maastricht University - Department of Finance Pelsser, Antoon
Maastricht University
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19
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pricing, incomplete markets, options, good-deal bounds, closed-form solutions
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Floroiu, Oana
Maastricht University - Department of Finance Pelsser, Antoon
Maastricht University
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| Posted: |
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04 May 12
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Last Revised:
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11 Feb 13
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61
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pricing, incomplete markets, options, good-deal bounds, closed-form solutions
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29.
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Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Pelsser, Antoon
Maastricht University
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75
(162,540)
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Optimal dividends, ALM, Unhedgeable risk, Stochastic control
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30.
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Joseph, Agnes S.
University of Amsterdam - Department of Quantitative Economics (KE) de Jong, Dirk A.
affiliation not provided to SSRN Pelsser, Antoon
Maastricht University
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32
(237,874)
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Asset Liability Management
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31.
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Kleinow, Torsten
Humboldt University of Berlin Pelsser, Antoon
Maastricht University
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28
(248,767)
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Utility maximisation, Risk constraint, Value-at-Risk, Merton problem, Expected shortfall, Tail-Value-at-Risk
|
|
|
32.
|
|
|
Schrager, David
ING Group Pelsser, Antoon
Maastricht University
|
|
|
|
|
| |
|
| |
Return Guarantee, Average Rate Option, Convexity Correction, LIBOR Market Model
|
|
|
33.
|
|
|
Pelsser, Antoon
Maastricht University Moraleda, Juan M.
Tinbergen Institute
|
|
|
|
|
| |
|
| |
|
|
|
34.
|
|
|
Pelsser, Antoon
Maastricht University de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
|
|
|
|
|
| |
|
| |
Term structure models, interest rate derivatives, lognormal pricing models, Black formula
|
|
|
35.
|
|
|
Pelsser, Antoon
Maastricht University
|
|
|
|
|
| |
|
| |
|
|
|
36.
|
|
|
Hunt, Phil J.
Citigroup - Global Corporate and Investment Banking Group (GCIB) Pelsser, Antoon
Maastricht University
|
|
|
|
|
| |
|
| |
|
|
|
37.
|
|
|
Moraleda, Juan M.
Tinbergen Institute Pelsser, Antoon
Maastricht University
|
|
|
|
|
| |
|
| |
|
|
