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
Rank 14,312

SSRN RANKINGS

Top 14,312

in Total Papers Downloads

6,397

SSRN CITATIONS
Rank 38,824

SSRN RANKINGS

Top 38,824

in Total Papers Citations

3

CROSSREF CITATIONS

21

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, 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 2,075 (14,247)
Citation 1

Abstract:

Loading...

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, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 2,006 (14,723)
Citation 5

Abstract:

Loading...

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

Abstract:

Loading...

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, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 959 (44,310)
Citation 6

Abstract:

Loading...

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

Abstract:

Loading...

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, Alexander van Haastrecht, Roger Lord and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Cardano Risk Management and Maastricht University
Downloads 451 (117,342)

Abstract:

Loading...

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 182 (302,617)
Citation 1

Abstract:

Loading...

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, Alexander van Haastrecht and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd and Maastricht University
Downloads 316 (175,849)

Abstract:

Loading...

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 107 (463,386)

Abstract:

Loading...

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, Alexander van Haastrecht, Richard Plat and Antoon Pelsser
Vrije Universiteit Amsterdam, School of Business and EconomicsDelta Lloyd, Richard Plat Consultancy and Maastricht University
Downloads 301 (184,597)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

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