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Raoul Pietersz

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This is information that was supplied by Raoul Pietersz in registering through RePEc. If you are Raoul Pietersz , 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: Raoul
Middle Name:
Last Name: Pietersz
Suffix:

RePEc Short-ID: ppi79

Email:
Homepage: http://www.few.eur.nl/few/people/pietersz/
Postal Address:
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Affiliation

(in no particular order)

Works

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Working papers

  1. Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA.
    • Pietersz, R. & van Regenmortel, M., 2005. "Generic Market Models," ERIM Report Series Research in Management ERS-2005-010-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.
  2. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA.
  3. Igor Grubisic & Raoul Pietersz, 2005. "Efficient Rank Reduction of Correlation Matrices," Finance 0502007, EconWPA.
  4. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, EconWPA.
  5. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA.
  6. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA.

    RePEc:dgr:eureir:1765001202 is not listed on IDEAS
    RePEc:dgr:eureri:30002051 is not listed on IDEAS
    RePEc:dgr:eureri:30002052 is not listed on IDEAS
    RePEc:dgr:eureir:1765000904 is not listed on IDEAS
    RePEc:dgr:eureri:30002053 is not listed on IDEAS

Articles

  1. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December.

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2005-04-16 2005-04-16
  2. NEP-ETS: Econometric Time Series (1) 2005-09-29
  3. NEP-FIN: Finance (6) 2005-04-16 2005-04-16 2005-04-16 2005-04-16 2005-04-16 2005-04-16. Author is listed
  4. NEP-FMK: Financial Markets (1) 2005-09-29
  5. NEP-RMG: Risk Management (5) 2005-04-16 2005-04-16 2005-04-16 2005-09-29 2005-09-29. Author is listed

Statistics

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Co-authorship network on CollEc

Corrections

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