Peter Vlaar

Algemene Pensioen Groep (APG)

P.O. Box 75283

Amsterdam, 1070 AG

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

744

CITATIONS

6

Scholarly Papers (3)

1.

Risk Models after the Credit Crisis

Number of pages: 31 Posted: 15 Dec 2009 Last Revised: 13 Jun 2011
APG Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Robeco Asset Management and Algemene Pensioen Groep (APG)
Downloads 478 (58,226)
Citation 3

Abstract:

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essentially affine macro-finance term structure model, time-varying volatilities and correlations, jumps, options, swaptions, asset liability management

2.

Risk Models with Jumps and Time-Varying Second Moments

Netspar Discussion Paper No. 03/2011-034
Number of pages: 31 Posted: 23 Apr 2011 Last Revised: 14 Jun 2011
APG Asset Management, Robeco Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Algemene Pensioen Groep (APG)
Downloads 162 (181,993)
Citation 5

Abstract:

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essentially affine macro-finance term structure model, time-varying volatilities and correlations, jumps, options, swaptions

3.

Pricing Derivatives Analytically in a Heteroscedastic VAR Model with Jumps

Number of pages: 17 Posted: 09 Mar 2011 Last Revised: 14 Jun 2011
Peter Vlaar and Liyi Lin
Algemene Pensioen Groep (APG) and affiliation not provided to SSRN
Downloads 104 (256,484)

Abstract:

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Time-varying volatilities and correlations, jumps, options, swaptions, hybrid options