Advanced Search
MyIDEAS: Login to follow this author

Antoon A. J. Pelsser

Contents:

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 the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Antoon
Middle Name: A. J.
Last Name: Pelsser
Suffix:

RePEc Short-ID: ppe38

Email:
Homepage: https://sites.google.com/site/apelsseraca/
Postal Address:
Phone:

Affiliation

(50%) School of Business and Economics
Maastricht University
Location: Maastricht, Netherlands
Homepage: http://www.maastrichtuniversity.nl/sbe
Email:
Phone:
Fax:
Postal: Postbus 616, 6200 MD Maaastricht
Handle: RePEc:edi:femaanl (more details at EDIRC)
(50%) Network for Studies on Pensions, Aging and Retirement (NetSPAR)
Location: Tilburg, Netherlands
Homepage: http://www.netspar.nl/
Email:
Phone: +31 134662109
Fax: +31 134663066
Postal: P.O. Box 90153, 5000 LE Tilburg
Handle: RePEc:edi:netspnl (more details at EDIRC)

Works

as in new window

Working papers

  1. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper, Tilburg University, Center for Economic Research 2014-002, Tilburg University, Center for Economic Research.
  2. Eric Beutner & Janina Schweizer & Antoon Pelsser, 2013. "Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo," Papers 1309.5274, arXiv.org, revised Apr 2014.
  3. {\L}ukasz Delong & Antoon Pelsser, 2013. "Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims," Papers 1303.4082, arXiv.org.
  4. Anne Balter & Antoon Pelsser & Peter Schotman, 2013. "Extrapolating the term structure of interest rates with parameter uncertainty," Papers 1312.5073, arXiv.org.
  5. Pelsser, A. & Stadje, M.A., 2012. "Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)," Discussion Paper, Tilburg University, Center for Economic Research 2012-086, Tilburg University, Center for Economic Research.
  6. Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.
  7. Pelsser, A. & Stadje, M.A., 2011. "Time-Consistent and Market-Consistent Evaluations (replaced by CentER DP 2012-086)," Discussion Paper, Tilburg University, Center for Economic Research 2011-063, Tilburg University, Center for Economic Research.
  8. Antoon Pelsser, 2011. "Time-Consistent Actuarial Valuations," Papers 1109.1751, arXiv.org.
  9. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance, EconWPA 0502005, EconWPA.
  10. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers, Tinbergen Institute 05-083/2, Tinbergen Institute.
  11. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance, EconWPA 0502004, EconWPA.
  12. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance, EconWPA 0502008, EconWPA.
  13. 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, Tilburg University urn:nbn:nl:ui:12-3159390, Tilburg University.
  14. Pelsser, A.A.J., 2003. "Risico en Rendement in Balans voor Verzekeraars," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University an 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 University Rotterdam..
  15. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers, Tinbergen Institute 02-037/2, Tinbergen Institute.
  16. Kerkhof, F.L.J. & Pelsser, A., 2002. "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper, Tilburg University, Center for Economic Research 2002-28, Tilburg University, Center for Economic Research.
  17. 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, Tilburg University, Center for Economic Research 2000-35, Tilburg University, Center for Economic Research.
  18. Antoon Pelsser, 1997. "Pricing Double Barrier Options: An Analytical Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute 97-015/2, Tinbergen Institute.

Articles

  1. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
  2. Chen, An & Pelsser, Antoon & Vellekoop, Michel, 2011. "Modeling non-monotone risk aversion using SAHARA utility functions," Journal of Economic Theory, Elsevier, Elsevier, vol. 146(5), pages 2075-2092, September.
  3. Alexander van Haastrecht & Antoon Pelsser, 2011. "Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(5), pages 665-691.
  4. 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., World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-43.
  5. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, Springer, vol. 13(3), pages 245-272, October.
  6. 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.
  7. 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.
  8. 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.
  9. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(2), pages 105-130.
  10. David F. Schrager & Antoon A. J. Pelsser, 2006. "Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 16(4), pages 673-694.
  11. 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, Springer, vol. 7(2), pages 99-127, 08.
  12. 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.
  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. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(1), pages 59-65.
  15. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, Springer, vol. 4(1), pages 95-104.
  16. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, Springer, vol. 4(4), pages 391-408.
  17. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, Elsevier, vol. 91(2), pages 250-263, June.

NEP Fields

14 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 (1) 2002-05-03
  4. NEP-LAM: Central & South America (1) 2013-09-25
  5. NEP-LTV: Unemployment, Inequality & Poverty (1) 2013-09-25
  6. NEP-NEU: Neuroeconomics (1) 2013-09-25
  7. NEP-ORE: Operations Research (1) 2013-09-25
  8. NEP-RMG: Risk Management (2) 2005-04-16 2005-04-16

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Antoon Pelsser should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.