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Citations of
Raoul Pietersz

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 | Access and download statistics

Working papers

  1. 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!]

    Cited by:

    1. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA. [Downloadable!]
      Other versions:
    2. Massimo Morini & Nick Webber, 2006. "An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(4), pages 309-331, December. [Downloadable!] (restricted)
    3. 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!]
    4. 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 & 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!]

    Cited by:

    1. Mark Davis & Vicente Mataix-Pastor, 2007. "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, vol. 11(2), pages 181-193, April. [Downloadable!] (restricted)

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

    Cited by:

    1. 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 & 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!]
    3. 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)

  4. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA. [Downloadable!]
    Other versions:

    Cited by:

    1. Mishra, SK, 2004. "Optimal solution of the nearest correlation matrix problem by minimization of the maximum norm," MPRA Paper 1783, University Library of Munich, Germany. [Downloadable!]
    2. 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!]

  5. 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)

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This page was last updated on 2009-12-18.

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