Marcel Van Regenmortel

ABN-Amro Bank, The Netherlands

NL-1000 EA Amsterdam

Netherlands

SCHOLARLY PAPERS

2

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CITATIONS

2

Scholarly Papers (2)

1.

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
Raoul Pietersz, Antoon Pelsser and Marcel Van Regenmortel
ABN AMRO, Maastricht University and ABN-Amro Bank, The Netherlands
Downloads 840 (27,430)
Citation 21

Abstract:

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

2.

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 (43,123)
Citation 2

Abstract:

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