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Antoon Pelsser
Antoon Pelsser
Professor of Finance and Actuarial Science, Maastricht University and University of Amsterdam
Verified email at maastrichtuniversity.nl - Homepage
Title
Cited by
Cited by
Year
Efficient methods for valuing interest rate derivatives
A Pelsser
Springer Science & Business Media, 2000
2562000
Pricing double barrier options using Laplace transforms
A Pelsser
Finance and Stochastics 4 (1), 95-104, 2000
2042000
Pricing and hedging guaranteed annuity options via static option replication
A Pelsser
Insurance: Mathematics and Economics 33 (2), 283-296, 2003
1352003
Markov-functional interest rate models
P Hunt, J Kennedy, A Pelsser
Finance and Stochastics 4 (4), 391-408, 2000
1222000
Efficient, almost exact simulation of the Heston stochastic volatility model
A Van Haastrecht, A Pelsser
International Journal of Theoretical and Applied Finance 13 (01), 1-43, 2010
1162010
Pricing swaptions and coupon bond options in affine term structure models
DF Schrager, AAJ Pelsser
Mathematical Finance 16 (4), 673-694, 2006
1092006
EAA series-Textbook
C Hipp, M Koller, A Pelsser, EPD Filipovic, U Orbanz
107*
The binomial model and the Greeks
A Pelsser, TCF Vorst
The Journal of Derivatives 1 (3), 45-49, 1994
1011994
Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis
F De Jong, J Driessen, A Pelsser
Review of Finance 5 (3), 201-237, 2001
96*2001
Pricing rate of return guarantees in regular premium unit linked insurance
DF Schrager, AAJ Pelsser
Insurance: Mathematics and Economics 35 (2), 369-398, 2004
782004
Time‐Consistent and Market‐Consistent Evaluations
A Pelsser, M Stadje
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014
77*2014
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
A van Haastrecht, R Lord, A Pelsser, D Schrager
Insurance: Mathematics and Economics 45 (3), 436-448, 2009
76*2009
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
A van Haastrecht, A Pelsser
Quantitative Finance 11 (5), 665-691, 2011
63*2011
Mathematical foundation of convexity correction
A Pelsser
Quantitative Finance 3 (1), 59, 2003
622003
Fast drift approximated pricing in the BGM model
R Pietersz, A Pelsser, M Van Regenmortel
Journal of Computational Finance 8 (1), 2004
612004
Level–slope–curvature–fact or artefact?
R Lord, A Pelsser
Applied Mathematical Finance 14 (2), 105-130, 2007
562007
Modeling non-monotone risk aversion using SAHARA utility functions
A Chen, A Pelsser, M Vellekoop
Journal of Economic Theory 146 (5), 2075-2092, 2011
552011
On the applicability of the Wang transform for pricing financial risks
A Pelsser
ASTIN Bulletin: The Journal of the IAA 38 (1), 171-181, 2008
522008
The difference between LSMC and replicating portfolio in insurance liability modeling
A Pelsser, J Schweizer
European actuarial journal 6 (2), 441-494, 2016
482016
On the information in the interest rate term structure and option prices
F De Jong, J Driessen, A Pelsser
Review of Derivatives Research 7 (2), 99-127, 2004
462004
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