Alexander van Haastrecht

Delta Lloyd

Spaklerweg 4

Amsterdam, Noord-Holland 1096BA

Netherlands

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

  • Delta Lloyd

  • Vrije Universiteit Amsterdam, School of Business and Economics

SCHOLARLY PAPERS

6

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TOTAL CITATIONS
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Top 43,398

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14

Scholarly Papers (6)

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1.

Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 45, No. 3, 2009
Number of pages: 28 Posted: 29 Apr 2008 Last Revised: 09 May 2011
Alexander van Haastrecht, Alexander van Haastrecht, Roger Lord, Antoon Pelsser and David Schrager
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 2,129 (16,014)
Citation 1

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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options

2.

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model

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Citation 5

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model

International Journal of Theoretical and Applied Finance, Vol. 31, No. 1, 2010
Number of pages: 35 Posted: 09 May 2008 Last Revised: 09 May 2011
Alexander van Haastrecht, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 2,097 (16,079)
Citation 5

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Stochastic volatility, Simulation, Heston, Non-central chi-squared inversion

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 07 Jun 2010
Alexander van Haastrecht, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University

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Stochastic volatility, simulation, Heston, non-central chi-squared inversion, control variate

3.

Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility

Downloads 996 (50,014)
Citation 6

Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility

Number of pages: 45 Posted: 06 Aug 2008 Last Revised: 22 Feb 2009
Alexander van Haastrecht, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 996 (49,187)
Citation 6

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Stochastic volatility, Stochastic interest rates, Foreign Exchange, Inflation, Equity, Hybrids

Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility

Quantitative Finance, August 2008
Posted: 04 Sep 2010
Alexander van Haastrecht, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University

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Stochastic volatility, Stochastic interest rates, Foreign Exchange, Inflation, Equity, Hybrids

4.

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Downloads 689 (82,008)
Citation 1

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Number of pages: 25 Posted: 11 Oct 2009 Last Revised: 04 Oct 2011
Alexander van Haastrecht, Alexander van Haastrecht, Roger Lord and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Cardano Risk Management and Maastricht University
Downloads 472 (130,091)

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Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Heston, Hull-White, discretisation

Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions

Netspar Discussion Paper No. 08/2009-046
Number of pages: 23 Posted: 23 Mar 2010
Alexander van Haastrecht, Alexander van Haastrecht, Roger Lord and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Cardano Risk Management and Maastricht University
Downloads 217 (301,540)
Citation 1

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Stochastic Volatility, Stochastic Interest Rates, Schöbel-Zhu, Heston, Hull-White, Discretisation

5.

Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options

Downloads 441 (142,797)

Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options

Journal of Futures Markets, Vol. 31, No. 2, 2011
Number of pages: 23 Posted: 09 May 2009 Last Revised: 09 May 2011
Alexander van Haastrecht, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 328 (197,089)

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Forward-starting options, Stochastic Interest Rates, Stochastic Volatility, Correlation Risk, Fourier Inversion

Accounting for Stochastic Interest Rates, Stochastic Volatility and a General Dependency Structure in the Valuation of Forward Starting Options

Netspar Discussion Paper No. 08/2009-047
Number of pages: 24 Posted: 24 Mar 2010
Alexander van Haastrecht, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 113 (530,819)

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Forward-Starting Options, Stochastic Interest Rates, Stochastic Volatility, Correlation Risk, Fourier Inversion

6.

Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

Downloads 318 (205,566)
Citation 1

Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

Number of pages: 24 Posted: 13 Aug 2009 Last Revised: 27 Aug 2009
Alexander van Haastrecht, Alexander van Haastrecht, Richard Plat and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Richard Plat Consultancy and Maastricht University
Downloads 318 (203,877)
Citation 1

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Guaranteed Annuity Option (GAO), Guaranteed Minimum Income Benefit (GMIB), stochastic volatility, stochastic interest rates, variable annuities

Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

Insurance: Mathematics and Economics, Forthcoming
Posted: 04 Sep 2010
Alexander van Haastrecht, Alexander van Haastrecht, Richard Plat and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Richard Plat Consultancy and Maastricht University

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Guaranteed Annuity Option (GAO), Guaranteed Minimum Income Benefit(GMIB), Stochastic Volatility, Stochastic Interest Rates, Variable Annuities