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

SCHOLARLY PAPERS

6

DOWNLOADS

5,578

CITATIONS

20

Scholarly Papers (6)

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, Roger Lord, Antoon Pelsser and David Schrager
Delta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 1,885 (7,850)
Citation 11

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

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 and Antoon Pelsser
Delta Lloyd and Maastricht University
Downloads 1,708 (9,069)
Citation 7

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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 and Antoon Pelsser
Delta Lloyd and Maastricht University

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

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 and Antoon Pelsser
Delta Lloyd and Maastricht University
Downloads 869 (25,700)
Citation 10

Abstract:

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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 and Antoon Pelsser
Delta Lloyd and Maastricht University

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

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, Roger Lord and Antoon Pelsser
Delta Lloyd, Cardano Risk Management and Maastricht University
Downloads 378 (75,976)
Citation 1

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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, Roger Lord and Antoon Pelsser
Delta Lloyd, Cardano Risk Management and Maastricht University
Downloads 119 (232,523)
Citation 1

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

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 and Antoon Pelsser
Delta Lloyd and Maastricht University
Downloads 270 (110,824)
Citation 3

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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 and Antoon Pelsser
Delta Lloyd and Maastricht University
Downloads 86 (290,814)

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

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, Richard Plat and Antoon Pelsser
Delta Lloyd, Richard Plat Consultancy and Maastricht University
Downloads 263 (113,923)
Citation 5

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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, Richard Plat and Antoon Pelsser
Delta 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