Peter den Iseger

Cardano Risk Management

Rotterdam 3011 AA

Netherlands

http://www.cardano.com

SCHOLARLY PAPERS

14

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CITATIONS
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7

Scholarly Papers (14)

1.

Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models

Number of pages: 25 Posted: 18 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 1,437 (12,211)
Citation 4

Abstract:

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cliquet option, Hestonian, Girsanov, Greeks

2.

Numerical Transform Inversion Using Gaussian Quadrature

Probability in the Engineering and Informational Sciences, Vol. 20, pp. 1-44, 2006
Number of pages: 44 Posted: 18 Sep 2007
Peter den Iseger
Cardano Risk Management
Downloads 735 (32,962)
Citation 2

Abstract:

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Laplace, inversion algorithm, numerical transform, singularities, discontinuities

3.

Laplace Transform Inversion on the Entire Line

Number of pages: 24 Posted: 09 Mar 2009 Last Revised: 11 Mar 2009
Peter den Iseger
Cardano Risk Management
Downloads 430 (65,852)

Abstract:

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Fourier transform inversion, Laplace transform inversion, Gaussian quadrature

4.

Closing the Gap: Arbitrage Free Valuation of Derivatives in ALM

Number of pages: 11 Posted: 18 Sep 2007
Peter den Iseger and Joeri Potters
Cardano Risk Management and Cardano Risk Management
Downloads 276 (108,881)

Abstract:

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derivatives, option pricing, ALM, Black-Scholes

5.

High Dimensional Transformation Algorithms

Number of pages: 19 Posted: 09 Mar 2009
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 206 (145,780)

Abstract:

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Fourier transform inversion, Laplace transform inversion, Gaussian quadrature

6.

Inventory Control and Regenerative Processes: Theory

Number of pages: 23 Posted: 17 Sep 2007
Peter den Iseger, Emöke Oldenkamp and J. B. G. Frenk
Cardano Risk Management, Cardano and Erasmus University, Rotterdam (EUR) - Department of Econometrics
Downloads 181 (164,267)

Abstract:

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supply chain management, regenerative processes, inventory management, Laplace Transforms

7.

Computing Greeks: A Drift-Adjustment Technique for European and Asian Style Derivatives

Number of pages: 15 Posted: 18 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 161 (181,902)

Abstract:

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derivatives, girsanov, algorithm, securities

8.

Computing Compound Distributions Faster!

Insurance: Mathematics and Economics, Vol. 20, 1997
Number of pages: 12 Posted: 17 Sep 2007
Peter den Iseger, M.A.J. Smith and Rommert Dekker
Cardano Risk Management, Erasmus University Rotterdam (EUR) - Department of Econometrics and Econometric Institute
Downloads 140 (204,228)
Citation 3

Abstract:

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Recursions, Compound distributions, Compound Poisson process, Insurance Mathematics

9.

Inventory Control and Regenerative Processes: Computations

Number of pages: 25 Posted: 17 Sep 2007
Peter den Iseger, Emöke Oldenkamp and J. B. G. Frenk
Cardano Risk Management, Cardano and Erasmus University, Rotterdam (EUR) - Department of Econometrics
Downloads 104 (255,019)
Citation 1

Abstract:

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supply chain management, regenerative processes, inventory management, Laplace Transforms

10.

Single Item Inventory Models - A Time- and Event- Averages Approach

Number of pages: 24 Posted: 15 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 99 (263,639)

Abstract:

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supply chain management, stochastic processes, inventory management

11.

Optimal Continuous Order Quantity (s, S) Policies - The 45-Degrees Algorithm

Number of pages: 26 Posted: 17 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 78 (305,900)

Abstract:

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supply chain management, inventory management, optimization

12.

Wide Sense One-Dependent Processes with Embedded Harris Chains and their Applications in Inventory Management

Econometric Institute Report No. EI 2002-44
Number of pages: 30 Posted: 17 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 56 (364,276)
Citation 1

Abstract:

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supply chain management, Markov processes, stochastic processes

13.

A Two Level Decentralized Distribution System with Compound Renewal Demand

Econometric Institute Report No. EI 2002-45
Number of pages: 6 Posted: 17 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 56 (364,276)

Abstract:

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14.

Pricing Guaranteed Return Rate Products and Discretely Sampled Asian Options

Journal of Computational Finance, Vol. 9, No. 3, 2006
Posted: 18 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano

Abstract:

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Laplace, inversion technique, pricing algorithm, Greeks, guaranteed return rate products