Antoon A. J. Pelsser at IDEAS
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Information
about: Antoon A. J. Pelsser
Personal Details | Affiliation | Works
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Personal Details
First Name: Antoon
Middle Name: A. J.
Last Name: Pelsser
Suffix:
RePEc Short-ID: ppe38
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Works | Working papers | Articles | Access
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Working papers
Roger Lord & Antoon Pelsser, 2005.
"Level-Slope-Curvature - Fact or Artefact? ,"
Tinbergen Institute Discussion Papers
05-083/2, Tinbergen Institute.
[Downloadable!] Published as:
Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005.
"Fast drift approximated pricing in the BGM model ,"
Finance
0502005, EconWPA.
[Downloadable!]
Raoul Pietersz & Antoon Pelsser, 2005.
"Risk Managing Bermudan Swaptions in the Libor BGM Model ,"
Finance
0502004, EconWPA.
[Downloadable!] Other versions:
Raoul Pietersz & Antoon Pelsser, 2005.
"A Comparison of Single Factor Markov-functional and Multi Factor Market Models ,"
Finance
0502008, EconWPA.
[Downloadable!] Other versions:
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!]
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:
Kerkhof, J. & Pelsser, A., 2002.
"Observational equivalence of discrete string models and market models ,"
Discussion Paper
28, Tilburg University, Center for Economic Research.
[Downloadable!]
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!]
Antoon Pelsser, 1997.
"Pricing Double Barrier Options: An Analytical Approach ,"
Tinbergen Institute Discussion Papers
97-015/2, Tinbergen Institute.
[Downloadable!] Other versions:
Pelsser, A. & Vorst, T., 1994.
"Transaction Costs and Efficiency of Portfolio Strategies ,"
Papers
9423-a, Erasmus University of Rotterdam - Econometric Institute.
Published as:
Articles
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)
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:
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)
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)
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!]
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:
Antoon Pelsser, 2000.
"Pricing double barrier options using Laplace transforms ,"
Finance and Stochastics ,
Springer, vol. 4(1), pages 95-104.
[Downloadable!] (restricted)
Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000.
"Markov-functional interest rate models ,"
Finance and Stochastics ,
Springer, vol. 4(4), pages 391-408.
[Downloadable!] (restricted)
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):
NEP-CMP : Computational Economics (1) 2005-04-16
NEP-FIN : Finance (4) 2005-04-16 2005-04-16 2005-04-16 2005-09-29 Author is listed
NEP-FMK : Financial Markets (2) 2002-05-03 2006-09-11 Author is listed
NEP-IAS : Insurance Economics (1) 2006-09-11
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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