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Antoon A. J. Pelsser

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

(in no particular order)

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Stadje, M.A. & Pelsser, A., 2011. "Time-Consistent and Market-Consistent Evaluations," Discussion Paper 2011-063, Tilburg University, Center for Economic Research.
  2. Antoon Pelsser, 2011. "Time-Consistent Actuarial Valuations," Quantitative Finance Papers 1109.1751, arXiv.org.
  3. Pelsser, Antoon, 2010. "Modelonzekerheid en waardering," Open Access publications from Maastricht University urn:nbn:nl:ui:27-24189, Maastricht University.
  4. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute.
  5. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA.
  6. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA.
  7. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, EconWPA.
  8. Jong, F.C.J.M. de & Driessen, J. & Pelsser, A., 2004. "On the information in the interest rate term structure and option prices," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3159390, Tilburg University.
  9. Pelsser, A.A.J., 2003. "Risico en Rendement in Balans voor Verzekeraars," Inaugural Address EIA-2003-018-F&A, 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.
  10. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute.
  11. Kerkhof, F.L.J. & Pelsser, A., 2002. "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper 2002-28, Tilburg University, Center for Economic Research.
  12. Jong, F.C.J.M. de & Driessen, J.J.A.G. & Pelsser, A., 2000. "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis," Discussion Paper 2000-35, Tilburg University, Center for Economic Research.
  13. Antoon Pelsser, 1997. "Pricing Double Barrier Options: An Analytical Approach," Tinbergen Institute Discussion Papers 97-015/2, Tinbergen Institute.

Articles

  1. Alexander van Haastrecht & Antoon Pelsser, 2011. "Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility," Quantitative Finance, Taylor and Francis Journals, vol. 11(5), pages 665-691.
  2. Chen, An & Pelsser, Antoon & Vellekoop, Michel, 2011. "Modeling non-monotone risk aversion using SAHARA utility functions," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2075-2092, September.
  3. Alexander Van Haastrecht & Antoon Pelsser, 2010. "Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-43.
  4. van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010. "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 266-277, December.
  5. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
  6. 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.
  7. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
  8. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor and Francis Journals, vol. 14(2), pages 105-130.
  9. David F. Schrager & Antoon A. J. Pelsser, 2006. "Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 673-694.
  10. 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.
  11. 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.
  12. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor and Francis Journals, vol. 3(1), pages 59-65.
  13. 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.
  14. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, vol. 4(1), pages 95-104.
  15. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, vol. 4(4), pages 391-408.
  16. 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.

NEP Fields

11 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
  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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