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Antoon A. J. Pelsser

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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:
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)
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)
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  1. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 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. Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.
  6. Antoon Pelsser, 2011. "Time-Consistent Actuarial Valuations," Papers 1109.1751, arXiv.org.
  7. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, EconWPA.
  8. Raoul Pietersz & Antoon Pelsser, 2005. "Risk Managing Bermudan Swaptions in the Libor BGM Model," Finance 0502004, EconWPA.
  9. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, EconWPA.
  10. Pelsser, A.A.J., 2003. "Risico en Rendement in Balans voor Verzekeraars," ERIM Inaugural Address Series Research in Management 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..
  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. de Jong, F.C.J.M. & 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.
    RePEc:dgr:uvatin:19970015 is not listed on IDEAS
    RePEc:ner:tilbur:urn:nbn:nl:ui:12-3159390 is not listed on IDEAS
    RePEc:dgr:kubcen:200228 is not listed on IDEAS
    RePEc:dgr:kubcen:200035 is not listed on IDEAS
    RePEc:dgr:uvatin:20050083 is not listed on IDEAS
  13. Antoon Pelsser, . "Pricing Double Barrier Options: An Analytical Approach," Computing in Economics and Finance 1997 130, Society for Computational Economics.
    RePEc:dgr:kubcen:2012086 is not listed on IDEAS
    RePEc:dgr:kubcen:2011063 is not listed on IDEAS
    RePEc:dgr:kubcen:2014002 is not listed on IDEAS
    RePEc:dgr:uvatin:20020037 is not listed on IDEAS
  1. Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard, 2014. "Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 89-102.
  2. 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.
  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, vol. 11(5), pages 665-691.
  4. 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.
  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. 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. 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.
  8. 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.
  9. 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.
  10. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 105-130.
  11. 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.
  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. 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.
  14. 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.
  15. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 59-65.
  16. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, vol. 4(4), pages 391-408.
  17. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, vol. 4(1), pages 95-104.
  18. 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.
15 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

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