Raoul Pietersz

ABN AMRO

SCHOLARLY PAPERS

9

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CITATIONS
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75

Scholarly Papers (9)

1.

Risk Managing Bermudan Swaptions in the Libor BGM Model

Journal of Derivatives, Vol. 11, No. 3, 2004
Number of pages: 22 Posted: 17 May 2003 Last Revised: 09 May 2011
Raoul Pietersz and Antoon Pelsser
ABN AMRO and Maastricht University
Downloads 1,085 (18,626)
Citation 7

Abstract:

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central interest rate model, Libor BGM model, swaption vega, risk management, swap market model, Bermudan swaption

2.

Pde Pricing for Bgm

Number of pages: 19 Posted: 11 Mar 2002
Raoul Pietersz
ABN AMRO
Downloads 847 (26,801)

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3.

Fast Drift Approximated Pricing in the Bgm Model

Journal of Computational Finance, Vol. 8, No. 1, 2004
Number of pages: 34 Posted: 26 Mar 2004 Last Revised: 09 May 2011
ABN AMRO, Maastricht University and ABN-Amro Bank, The Netherlands
Downloads 840 (27,109)
Citation 21

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BGM model, predictor-corrector, Brownian bridge, Markov processes, separability, Feynman-Kac, Bermudan swaption

4.

Cash-Settled Swaptions: A New Pricing Model

Number of pages: 14 Posted: 27 Sep 2017 Last Revised: 10 Oct 2018
Raoul Pietersz, Frank Sengers and Matteo Michielon
ABN AMRO, VU University Amsterdam and ABN AMRO Bank N.V.
Downloads 684 (36,058)

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Cash-Settled Swaption, Zero-Wide Collar, Black Model, Bachelier Model, SABR, Shifted Log-Normal

5.

Generic Market Models

ERIM Report Series Reference No. ERS-2005-010-F&A
Number of pages: 28 Posted: 16 Oct 2004
Raoul Pietersz and Marcel Van Regenmortel
ABN AMRO and ABN-Amro Bank, The Netherlands
Downloads 602 (42,574)
Citation 10

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market model, generic market models, generic drift terms, hybrid products, BGM model

6.

A Comparison of Single-Factor Markov-Functional and Multi-Factor Market Models

Review of Derivatives Research, Vol. 13, No. 3, 2010
Number of pages: 27 Posted: 29 Jun 2004 Last Revised: 07 May 2011
Raoul Pietersz and Antoon Pelsser
ABN AMRO and Maastricht University
Downloads 512 (52,410)
Citation 5

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Markov-functional model, market model, Bermudan swaption, terminal correlation, hedging, Greeks for callable products, smile

7.

Rank Reduction of Correlation Matrices by Majorization

Number of pages: 29 Posted: 25 Mar 2004
Raoul Pietersz and Patrick J. F. Groenen
ABN AMRO and Erasmus University Rotterdam (EUR)
Downloads 309 (95,393)
Citation 11

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rank, correlation matrix, majorization, lognormal price processes, low-rank approximation

8.

Efficient Rank Reduction of Correlation Matrices

ERIM Report Series Reference No. ERS-2005-009-F&A
Number of pages: 24 Posted: 29 Mar 2006
Igor Grubisic and Raoul Pietersz
Utrecht University - Faculty of Mathematics and Computer Science and ABN AMRO
Downloads 266 (111,928)
Citation 11

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Geometric optimisation, Correlation matrix, Rank, LIBOR market model

9.

Efficient Rank Reduction of Correlation Matrices

Number of pages: 21 Posted: 21 Mar 2004
Igor Grubisic and Raoul Pietersz
Utrecht University - Faculty of Mathematics and Computer Science and ABN AMRO
Downloads 226 (132,072)
Citation 10

Abstract:

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geometric optimisation, correlation matrix, rank, LIBOR market model