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Information about:
Antoon A. J. Pelsser

Personal Details | Affiliation | Works
This is information that was supplied by Antoon Pelsser in registering through RePEc. If you are Antoon A. J. Pelsser , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Antoon
Middle Name: A. J.
Last Name: Pelsser
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RePEc Short-ID: ppe38

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Homepage:
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute. [Downloadable!]
    Published as:

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

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

  4. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA. [Downloadable!]
    Other versions:

  5. Pelsser, A.A.J., 2003. "Risico en Rendement in Balans voor Verzekeraars," Inaugural Address EIA-2003-018-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!]

  6. 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:

  7. Kerkhof, J. & Pelsser, A., 2002. "Observational equivalence of discrete string models and market models," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]

  8. 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!]

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

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

Articles

  1. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 124-134, February. [Downloadable!] (restricted)

  2. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor and Francis Journals, vol. 14(2), pages 105-130. [Downloadable!] (restricted)
    Other versions:

  3. 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)

  4. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October. [Downloadable!] (restricted)

  5. 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!]

  6. 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:

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

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

  9. 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:

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2005-04-16
  2. NEP-FIN: Finance (4) 2005-04-16 2005-04-16 2005-04-16 2005-09-29 Author is listed
  3. NEP-FMK: Financial Markets (2) 2002-05-03 2006-09-11 Author is listed
  4. NEP-IAS: Insurance Economics (1) 2006-09-11
  5. NEP-RMG: Risk Management (3) 2005-04-16 2005-04-16 2005-09-29 Author is listed
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This page was last updated on 2009-10-28.

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