Antoon Pelsser

Maastricht University

Professor of Finance & Actuarial Science

P.O. Box 616

Maastricht, 6200 MD

Netherlands

http://https://sites.google.com/site/apelsseraca/

Netspar

Research Fellow

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

51

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CITATIONS
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125

Scholarly Papers (51)

1.

Mathematical Foundation of Convexity Correction

Quantitative Finance, Vol. 3, No. 1, 2003
Number of pages: 18 Posted: 16 May 2001 Last Revised: 08 May 2011
Antoon Pelsser
Maastricht University
Downloads 5,301 (1,324)
Citation 13

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2.
Downloads 4,248 ( 1,959)
Citation 26

Markov-Functional Interest Rate Models

Number of pages: 25 Posted: 12 Jan 1998
Phil J. Hunt, Joanne Kennedy and Antoon Pelsser
Citigroup - Global Corporate and Investment Banking Group (GCIB), University of Warwick - Department of Statistics and Maastricht University
Downloads 4,248 (1,932)
Citation 26

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Markov-Functional Interest Rate Models

Finance & Stochastics
Posted: 17 Nov 1999
Phil J. Hunt, Joanne Kennedy and Antoon Pelsser
Citigroup - Global Corporate and Investment Banking Group (GCIB), University of Warwick - Department of Statistics and Maastricht University

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3.

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
Delta Lloyd, Cardano Risk Management, Maastricht University and Longitude Solutions
Downloads 1,887 (7,841)
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 1,709 (9,074)
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

Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models

Number of pages: 29 Posted: 11 Dec 2004
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University
Downloads 1,388 (12,691)
Citation 1

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Swaption, coupon bond option, affine term structure models, swap measure, laplace transform, transform inversion

Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models

Mathematical Finance, Vol. 16, No. 4, pp. 673-694, October 2006
Number of pages: 22 Posted: 31 Aug 2006
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University
Downloads 19 (539,591)
Citation 25
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6.

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 11 Mar 2000
Frank De Jong, Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Maastricht University
Downloads 1,362 (13,347)
Citation 4

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7.

Libor Market Models Versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 1,199 (16,266)
Citation 10

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8.

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 1,088 (18,834)
Citation 7

Abstract:

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

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 (25,727)
Citation 10

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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

10.

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 (27,450)
Citation 21

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

11.

Analytical Approximations for Prices of Swap Rate Dependent Embedded Options in Insurance Products

Insurance: Mathematics and Economics, Vol. 44, No. 1, 2009
Number of pages: 26 Posted: 17 Feb 2008 Last Revised: 09 May 2011
Richard Plat and Antoon Pelsser
Richard Plat Consultancy and Maastricht University
Downloads 735 (32,998)
Citation 1

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Embedded options, insurance products, analytical approximation, Gaussian interest rate model, Fair Value of Liabilities, IFRS 4 Phase 2, Solvency 2, Monte Carlo simulation, Control Variate technique

12.

Level-Slope-Curvature - Fact or Artefact?

Applied Mathematical Finance, Vol. 14, No. 2, 2007, Tinbergen Institute Discussion Paper No. TI 05-083/2
Number of pages: 32 Posted: 20 Sep 2005 Last Revised: 09 May 2011
Roger Lord and Antoon Pelsser
Cardano Risk Management and Maastricht University
Downloads 629 (40,691)
Citation 10

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Principal components analysis, correlation matrix, total positivity, oscillation matrix, Schoenmakers-Coffey matrix

13.

On the Information in the Interest Rate Term Structure and Option Prices

Review of Derivatives Research, Vol. 7, No. 2, 2004
Number of pages: 40 Posted: 28 Feb 2002 Last Revised: 08 May 2011
Frank De Jong, Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Maastricht University
Downloads 529 (50,927)
Citation 10

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Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions

14.

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 513 (52,948)
Citation 3

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

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 (76,071)
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 (232,790)
Citation 1

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

16.

Market Value of Insurance Contracts with Profit Sharing

Journal of Risk Finance, Vol. 3, No. 3, 2002
Number of pages: 9 Posted: 16 May 2001 Last Revised: 08 May 2011
Pieter Bouwknegt and Antoon Pelsser
Nationale-Nederlanden and Maastricht University
Downloads 466 (59,748)
Citation 1

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Pricing and Hedging in Incomplete Markets with Model Uncertainty

Number of pages: 31 Posted: 28 Jun 2014 Last Revised: 04 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 309 (95,920)
Citation 1

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model uncertainty, indifference pricing, hedging, incomplete markets, robust optimisation

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Netspar Discussion Paper No. 01/2015-002
Number of pages: 31 Posted: 14 Feb 2015 Last Revised: 03 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 97 (269,240)
Citation 3

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Model uncertainty, indifference pricing, hedging, incomplete markets, robustness, optimisation

18.

Pricing in Incomplete Markets

Number of pages: 38 Posted: 02 Jun 2011
Antoon Pelsser
Maastricht University
Downloads 371 (78,446)
Citation 3

Abstract:

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incomplete market, cost-of-capital, good deal bound, model ambiguity

19.

Pricing and Hedging Guaranteed Annuity Options Via Static Option Replication

Insurance: Mathematics and Economics, Vol. 33, No. 2, 2003
Number of pages: 24 Posted: 01 May 2002 Last Revised: 08 May 2011
Antoon Pelsser
Maastricht University
Downloads 368 (79,223)
Citation 22

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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 (110,935)
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 (291,137)

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

What Does a Term Structure Model Imply About Very Long-Term Interest Rates?

Number of pages: 30 Posted: 29 Jan 2014 Last Revised: 25 Sep 2016
Anne Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 227 (132,592)

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term structure models, parameter uncertainty, extrapolation, insurance supervision

What Does a Term Structure Model Imply about Very Long-Term Interest Rates?

Netspar Discussion Paper No. 02/2014-065
Number of pages: 30 Posted: 14 Feb 2015 Last Revised: 25 Sep 2016
Anne Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 99 (265,574)

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term structure models, parameter uncertainty, extrapolation, insurance supervision

22.

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

ERIM Report Series Reference No. ERS-2005-008-F&A
Number of pages: 30 Posted: 26 Aug 2006
R. Pietersz and Antoon Pelsser
affiliation not provided to SSRN and Maastricht University
Downloads 312 (95,473)

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Observational Equivalence of Discrete String Models and Market Models

Number of pages: 9 Posted: 04 Oct 2001
Jeroen Kerkhof and Antoon Pelsser
Lehman Brothers International, Europe and Maastricht University
Downloads 309 (95,920)
Citation 4

Abstract:

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String model, market model

Observational Equivalence of Discrete String Models and Market Models

Journal of Derivatives, Vol. 10
Posted: 09 Mar 2003
Jeroen Kerkhof and Antoon Pelsser
Lehman Brothers International, Europe and Maastricht University

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Term structure models

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Number of pages: 27 Posted: 06 Jun 2015 Last Revised: 04 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 252 (119,300)

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Model Uncertainty, Financial Econometrics, Financial Mathematics, Robustness

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Netspar Discussion Paper No. 11/2015-038
Number of pages: 27 Posted: 22 Dec 2015 Last Revised: 03 Dec 2018
Anne Balter and Antoon Pelsser
Tilburg University and Maastricht University
Downloads 39 (432,336)
Citation 2

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Model uncertainty, robustness, stochastic control, optimisation, misspecification, divergence, investment problem

25.

The Difference between LSMC and Replicating Portfolio in Insurance Liability Modeling

Number of pages: 47 Posted: 30 Jan 2015 Last Revised: 09 Apr 2015
Antoon Pelsser and Janina Schweizer
Maastricht University and Maastricht School of Business and Economics
Downloads 286 (104,914)
Citation 4

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Portfolio replication, Least Squares Monte Carlo, Least squares regression

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
Delta Lloyd, Richard Plat Consultancy and Maastricht University
Downloads 263 (114,044)
Citation 5

Abstract:

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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
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

Closed-Form Solutions for Options in Incomplete Markets

Number of pages: 23 Posted: 04 May 2012 Last Revised: 21 Mar 2014
Oana Floroiu and Antoon Pelsser
Maastricht University and Maastricht University
Downloads 131 (216,294)

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pricing, incomplete markets, options, model ambiguity, closed-form solutions

Closed-Form Solutions for Options in Incomplete Markets

Netspar Discussion Paper No. 02/2013-004
Number of pages: 29 Posted: 13 Feb 2013
Oana Floroiu and Antoon Pelsser
Maastricht University and Maastricht University
Downloads 102 (260,221)
Citation 3

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pricing, incomplete markets, options, good-deal bounds, closed-form solutions

Risk-Neutral Valuation of Real Estate Derivatives

ORTEC Technical Paper No. 2009-02
Number of pages: 32 Posted: 16 Jan 2010 Last Revised: 26 Oct 2010
Ortec Finance, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam and Maastricht University
Downloads 231 (130,282)

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Real estate derivatives, Option pricing, Incomplete markets, Price discovery, Autoregressive models, Seasonality, Stochastic volatility

Risk-Neutral Valuation of Real Estate Derivatives

Netspar Discussion Paper No. 10/2009-048, Ortec Finance Research Center Technical Paper No. 2009-02, https://doi.org/10.3905/jod.2015.23.1.089
Posted: 20 May 2019
Ortec Finance, University of Amsterdam - Faculty of Economics and Business (FEB), Ortec Finance and Maastricht University
Downloads 0 (176,762)

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Real Estate Derivatives, Option Pricing, Incomplete Markets, Price Discovery, Autoregressive Models, Seasonality, Stochastic Volatility

29.
Downloads 223 (135,339)
Citation 7

Time-Consistent and Market-Consistent Evaluations

CentER Working Paper Series No. 2014-002
Number of pages: 41 Posted: 02 Jun 2011 Last Revised: 07 Jan 2014
Mitja Stadje and Antoon Pelsser
Tilburg University - Department of Econometrics & Operations Research and Maastricht University
Downloads 101 (261,983)

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Actuarial valuation principles, financial risk, market-consistency, time-consistency

Time-Consistent and Market-Consistent Evaluations

Number of pages: 40 Posted: 07 May 2011 Last Revised: 26 Oct 2012
Antoon Pelsser and Mitja Stadje
Maastricht University and Tilburg University - Department of Econometrics & Operations Research
Downloads 100 (263,762)

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Actuarial valuation principles, financial risk, time consistency, market consistency

Time-Consistent and Market-Consistent Evaluations

Netspar Discussion Paper No. 05/2011-078
Number of pages: 38 Posted: 28 Sep 2011
Mitja Stadje and Antoon Pelsser
Tilburg University - Department of Econometrics & Operations Research and Maastricht University
Downloads 22 (520,469)

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Actuarial valuation principles, financial risk, market-consistency, time-consistency

Time‐Consistent and Market‐Consistent Evaluations

Mathematical Finance, Vol. 24, Issue 1, pp. 25-65, 2014
Number of pages: 41 Posted: 13 Dec 2013
Antoon Pelsser and Mitja Stadje
Maastricht University and Tilburg University - Department of Econometrics & Operations Research
Downloads 0
Citation 1
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actuarial valuation principles, financial risk, market‐consistency, time‐consistency

30.

Theory and Validation of Replicating Portfolios in Insurance Risk Management

Number of pages: 31 Posted: 30 Jan 2015 Last Revised: 17 Apr 2016
Eric Beutner, Antoon Pelsser and Janina Schweizer
Maastricht School of Business and Economics, Maastricht University and Maastricht School of Business and Economics
Downloads 216 (139,564)
Citation 4

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Portfolio replication, Series estimation, Least Squares Monte Carlo, Least squares regression, participating life insurance policy

Time-Consistent and Market-Consistent Actuarial Valuations

Number of pages: 21 Posted: 12 Feb 2010
Antoon Pelsser
Maastricht University
Downloads 117 (235,822)
Citation 7

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Actuarial pricing, time-consistent, market-consistent, BSDE

Time-Consistent and Market-Consistent Actuarial Valuations

Netspar Discussion Paper No. 11/2009-051
Number of pages: 22 Posted: 24 Mar 2010 Last Revised: 09 May 2011
Antoon Pelsser
Maastricht University
Downloads 75 (316,473)
Citation 11

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32.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
University of Lausanne, University of Alabama, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Kaiserslautern - Department of Mathematics, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Muenster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 188 (158,806)
Citation 7

Abstract:

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

33.
Downloads 188 (158,806)
Citation 3

Robust Hedging in Incomplete Markets

Journal of Pension Economics and Finance, Forthcoming
Number of pages: 35 Posted: 05 Aug 2014 Last Revised: 27 Feb 2018
Sally Shen, Antoon Pelsser and Peter C. Schotman
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 116 (237,392)
Citation 3

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model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall

Robust Hedging in Incomplete Markets

Netspar Discussion Paper No. 08/2014-064
Number of pages: 31 Posted: 10 Feb 2017 Last Revised: 28 Feb 2018
Sally Shen, Antoon Pelsser and Peter C. Schotman
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 72 (323,986)
Citation 1

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Model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall

Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Journal of Economic Theory, Vol 146, 2011
Number of pages: 25 Posted: 15 Feb 2010 Last Revised: 08 Sep 2011
An Chen, Antoon Pelsser and Michel Vellekoop
University of Ulm, Maastricht University and University of Twente - Department of Applied Mathematics
Downloads 101 (261,983)

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SAHARA utility, optimal investment problem, dual approach, utility indifference pricing

Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Journal of Economic Theory, Vol. 146, 2011
Number of pages: 26 Posted: 01 Jul 2011 Last Revised: 08 Sep 2011
An Chen, Antoon Pelsser and Michel Vellekoop
University of Ulm, Maastricht University and University of Twente - Department of Applied Mathematics
Downloads 68 (334,554)
Citation 12

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SAHARA utility, optimal investment problem, dual approach, utility indifference

Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets

Number of pages: 28 Posted: 05 Aug 2014
Sally Shen, Antoon Pelsser and Peter C. Schotman
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 87 (288,979)

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model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model

Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets

Netspar Discussion Paper No. 08/2014-063
Number of pages: 29 Posted: 14 Feb 2015
Sally Shen, Antoon Pelsser and Peter C. Schotman
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 40 (428,137)

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Model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model

36.

Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo

Number of pages: 26 Posted: 21 Sep 2013 Last Revised: 02 Apr 2014
Eric Beutner, Antoon Pelsser and Janina Schweizer
Maastricht School of Business and Economics, Maastricht University and Maastricht School of Business and Economics
Downloads 121 (228,986)
Citation 8

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Least Squares Monte Carlo, Sieve estimator

37.

Optimal Dividends and ALM Under Unhedgeable Risk

Number of pages: 25 Posted: 15 Feb 2010
Roger J. A. Laeven and Antoon Pelsser
University of Amsterdam - Department of Quantitative Economics (KE) and Maastricht University
Downloads 103 (256,886)

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Optimal dividends, ALM, Unhedgeable risk, Stochastic control

38.

Funding Ratio Options

Netspar Discussion Paper No. 07/2010-083
Posted: 07 Feb 2011
Agnes S. Joseph, Dirk A. de Jong and Antoon Pelsser
University of Amsterdam - Department of Quantitative Economics (KE), affiliation not provided to SSRN and Maastricht University
Downloads 101 (260,307)

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pension fund, funding ratio, insolvency risk, regulation

39.

Time-Consistent Actuarial Valuations

Number of pages: 38 Posted: 05 Jun 2015
Ahmad Salahnejhad Ghalehjooghi and Antoon Pelsser
Maastricht University - Department of Quantitative Economics and Maastricht University
Downloads 79 (303,794)
Citation 8

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Time-Consistent Valuations, Backward iteration, Partial (Integro-) Differential Equation, Standard-Deviation Premium Principle, Cost-of-Capital Premium Principle, Jump Process

40.

Evaluating the UK and Dutch Defined-Benefit Pension Policies Using the Holistic Balance Sheet Framework

Netspar Discussion Paper No. 09/2013-057
Number of pages: 32 Posted: 20 Nov 2013 Last Revised: 07 Mar 2014
Zhiqiang Chen, Antoon Pelsser and Eduard H.M. Ponds
Maastricht University, Maastricht University and Algemene Pensioen Groep (APG)
Downloads 55 (367,689)
Citation 3

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holistic balance sheet, value-based ALM, embedded pension options, pension protection fund, sponsor support, conditional indexation

41.

Utility Maximization Under Solvency Constraints and Unhedgeable Risks

Number of pages: 42 Posted: 15 Feb 2010
Torsten Kleinow and Antoon Pelsser
Humboldt University of Berlin and Maastricht University
Downloads 54 (370,864)

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Utility maximisation, Risk constraint, Value-at-Risk, Merton problem, Expected shortfall, Tail-Value-at-Risk

42.

Policy Improvement Via Inverse ALM

Netspar Discussion Paper No. 06/2010-085
Number of pages: 14 Posted: 04 Feb 2011
Agnes S. Joseph, Dirk A. de Jong and Antoon Pelsser
University of Amsterdam - Department of Quantitative Economics (KE), affiliation not provided to SSRN and Maastricht University
Downloads 40 (419,367)

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Asset Liability Management

43.

The Informational Content of Infinite Maturity Bonds

Number of pages: 14 Posted: 23 May 2017
Oana Floroiu and Antoon Pelsser
Maastricht University and Maastricht University
Downloads 17 (532,945)

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Term Structure Models, Trinomial Trees, Infinite Maturity Bonds, American Options, Pricing

44.

Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints

Number of pages: 46 Posted: 30 Jun 2019
Thijs Kamma and Antoon Pelsser
Maastricht University and Maastricht University
Downloads 15 (544,509)

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Convex analysis, incomplete markets, life-cycle investment, Malliavin calucus, martingale duality, stochastic optimal control

45.

Numerical Solution for Backward SDEs: A Regression Later Algorithm

Posted: 25 Mar 2016 Last Revised: 23 Apr 2016
Kossi Gnameho, Mitja Stadje and Antoon Pelsser
Maastricht University - Department of Quantitative Economics, Tilburg University - Department of Econometrics & Operations Research and Maastricht University

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BSDE, SDE, PDE, Regression, Monte Carlo, Pricing

46.

Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

Insurance Mathematics and Economics, Vol. 35, pp. 369-398, 2004
Posted: 11 Dec 2004
David Schrager and Antoon Pelsser
Longitude Solutions and Maastricht University

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Return Guarantee, Average Rate Option, Convexity Correction, LIBOR Market Model

47.

Forward Versus Spot Interest-Rate Models of the Term Structure: An Empirical Comparison

The Journal of Derivatives, Vol. 7(3), 9-21
Posted: 30 Jun 2001
Antoon Pelsser and Juan M. Moraleda
Maastricht University and Tinbergen Institute

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48.

Libor Market Models Versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

European Finance Review, Vol. 5, No. 3
Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration

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Term structure models, interest rate derivatives, lognormal pricing models, Black formula

49.

Pricing Double Barrier Options Using Laplace Transforms

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 22 Nov 1999
Antoon Pelsser
Maastricht University

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50.

Arbitrage Free Pricing of Quanto Swaptions

The Journal of Financial Engineering, Vol. 7, No. 1, March 1998
Posted: 06 May 1998
Phil J. Hunt and Antoon Pelsser
Citigroup - Global Corporate and Investment Banking Group (GCIB) and Maastricht University

Abstract:

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51.

Forward vs Spot Interest-Rate Models of the Term Structure: An Empirical Comparison

Posted: 09 Jan 1997
Juan M. Moraleda and Antoon Pelsser
Tinbergen Institute and Maastricht University

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