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Citations of
Antoon A. J. Pelsser

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, EconWPA. [Downloadable!]

    Cited by:

    1. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
      Other versions:
      • Pietersz, R. & Regenmortel, M. van, 2005. "Generic Market Models," Research Paper ERS-2005-010-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. Ronald Hochreiter & Georg Pflug, 2006. "Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments," Computational Economics, Springer, vol. 28(3), pages 291-309, October. [Downloadable!] (restricted)
    3. Joerg Kampen & Anastasia Kolodko & John Schoenmakers, 2008. "Monte Carlo Greeks for financial products via approximative transition densities," Quantitative Finance Papers 0807.1213, arXiv.org. [Downloadable!]

  2. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA. [Downloadable!]
    Other versions:

    Cited by:

    1. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA. [Downloadable!]
      Other versions:
      • Pietersz, R. & Regenmortel, M. van, 2005. "Generic Market Models," Research Paper ERS-2005-010-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    2. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December. [Downloadable!] (restricted)

  3. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Thomas Post, 2009. "Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality," SFB 649 Discussion Papers SFB649DP2009-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    2. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Quantitative Finance Papers 0908.3196, arXiv.org. [Downloadable!]

  4. Jong, F. de & Driessen, J. & Pelsser, A., 2000. "Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis," Discussion Paper 35, Tilburg University, Center for Economic Research. [Downloadable!]

    Cited by:

    1. Christian Zühlsdorff, 2002. "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers bgse6_2002, University of Bonn, Germany. [Downloadable!]
    2. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September. [Downloadable!] (restricted)

  5. Antoon Pelsser, 1997. "Pricing Double Barrier Options: An Analytical Approach," Tinbergen Institute Discussion Papers 97-015/2, Tinbergen Institute. [Downloadable!]
    Other versions:

    Cited by:

    1. Sbuelz, A., 2000. "Hedging double barriers with singles," Discussion Paper 112, Tilburg University, Center for Economic Research. [Downloadable!]

  6. Pelsser, A. & Vorst, T., 1994. "Transaction Costs and Efficiency of Portfolio Strategies," Papers 9423-a, Erasmus University of Rotterdam - Econometric Institute.
    Published as:

    Cited by:

    1. Elyès Jouini & Hédi Kallal, 1999. "Efficient Trading Strategies in the Presence of Market Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-035, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:

Articles

  1. David F. Schrager & Antoon A. J. Pelsser, 2006. "Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models," Mathematical Finance, Blackwell Publishing, vol. 16(4), pages 673-694. [Downloadable!] (restricted)

    Cited by:

    1. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

  2. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, 08. [Downloadable!]

    Cited by:

    1. Ken-ichi Mitsui & Yoshio Tabata, 2006. "Random Correlation Matrix and De-Noising," Discussion Papers in Economics and Business 06-26, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
    2. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA. [Downloadable!]
      Other versions:
    3. Igor Grubisic & Raoul Pietersz, 2005. "Efficient Rank Reduction of Correlation Matrices," Finance 0502007, EconWPA. [Downloadable!]
      Other versions:
      • GrubiÅ¡ić, I. & Pietersz, R., 2005. "Efficient Rank Reduction of Correlation Matrices," Research Paper ERS-2005-009-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    4. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute. [Downloadable!]
      Other versions:

  3. Pelsser, Antoon, 2003. "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 283-296, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, vol. 4(1), pages 95-104. [Downloadable!] (restricted)

    Cited by:

    1. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    2. Rolf Poulsen, 2004. "Exotic Options: Proofs Without Formulas," FRU Working Papers 2004/10, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]

  5. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, vol. 4(4), pages 391-408. [Downloadable!] (restricted)

    Cited by:

    1. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany. [Downloadable!]
    2. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, EconWPA. [Downloadable!]
    3. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007. [Downloadable!]

  6. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

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This page was last updated on 2009-12-30.

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