Details about Raoul Pietersz

Access statistics for papers by Raoul Pietersz.

Last updated 2006-09-29. Update your information in the RePEc Author Service.

Short-id: ppi79

Working Papers

2005

1. A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
   Research Paper, 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.
   Also in Finance, EconWPA (2005)
2. Efficient Rank Reduction of Correlation Matrices
   Research Paper, 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. View citations
   Also in Finance, EconWPA (2005) View citations
3. Fast drift approximated pricing in the BGM model
   Finance, EconWPA View citations
4. Generic Market Models
   Finance, EconWPA View citations
   Also in Research Paper, 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. (2005)
5. Rank Reduction of Correlation Matrices by Majorization
   Finance, EconWPA View citations
6. Risk Managing Bermudan Swaptions in the Libor BGM Model
   Finance, EconWPA View citations