EconPapers    
Economics at your fingertips  
 

Details about Antoon Pelsser

E-mail:
Homepage:https://sites.google.com/site/apelsseraca/
Workplace:School of Business and Economics, Maastricht University, (more information at EDIRC)
Network for Studies on Pensions, Aging and Retirement (NetSPAR), (more information at EDIRC)

Access statistics for papers by Antoon Pelsser.

Last updated 2018-05-31. Update your information in the RePEc Author Service.

Short-id: ppe38


Jump to Journal Articles

Working Papers

2014

  1. Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
    Papers, arXiv.org Downloads View citations (1)
  2. Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (7)

2013

  1. Extrapolating the term structure of interest rates with parameter uncertainty
    Papers, arXiv.org Downloads
  2. Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
    Papers, arXiv.org Downloads
  3. Time-Consistent and Market-Consistent Evaluations
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Mathematical Finance (2014)

2011

  1. Time-Consistent Actuarial Valuations
    Papers, arXiv.org Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2016)

2005

  1. A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
    ERIM Report Series Research in Management, 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 Downloads
    Also in Finance, University Library of Munich, Germany (2005) Downloads

    See also Journal Article in Review of Derivatives Research (2010)
  2. Fast drift approximated pricing in the BGM model
    Finance, University Library of Munich, Germany Downloads View citations (9)
  3. Level-Slope-Curvature - Fact or Artefact?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Applied Mathematical Finance (2007)
  4. Risk Managing Bermudan Swaptions in the Libor BGM Model
    Finance, University Library of Munich, Germany Downloads View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) Downloads View citations (1)

2003

  1. Risico en Rendement in Balans voor Verzekeraars
    ERIM Inaugural Address Series Research in Management, 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. Downloads

2002

  1. Observational Equivalence of Discrete String Models and Market Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
  2. Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2003)

2000

  1. Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (9)

1997

  1. Pricing Double Barrier Options: An Analytical Approach
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (2)

Journal Articles

2018

  1. Robust evaluation of SCR for participating life insurances under Solvency II
    Insurance: Mathematics and Economics, 2018, 79, (C), 107-123 Downloads

2017

  1. Sustainability of participation in collective pension schemes: An option pricing approach
    Insurance: Mathematics and Economics, 2017, 74, (C), 182-196 Downloads

2016

  1. Time-consistent actuarial valuations
    Insurance: Mathematics and Economics, 2016, 66, (C), 97-112 Downloads View citations (2)
    See also Working Paper (2011)

2014

  1. Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework
    Insurance: Mathematics and Economics, 2014, 58, (C), 89-102 Downloads View citations (3)
  2. TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS
    Mathematical Finance, 2014, 24, (1), 25-65 Downloads View citations (8)
    See also Working Paper (2013)

2013

  1. Optimal dividends and ALM under unhedgeable risk
    Insurance: Mathematics and Economics, 2013, 53, (3), 515-523 Downloads

2011

  1. Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
    Journal of Futures Markets, 2011, 31, (2), 103-125 Downloads View citations (3)
  2. Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
    Quantitative Finance, 2011, 11, (5), 665-691 Downloads View citations (8)
  3. Modeling non-monotone risk aversion using SAHARA utility functions
    Journal of Economic Theory, 2011, 146, (5), 2075-2092 Downloads View citations (6)

2010

  1. A comparison of single factor Markov-functional and multi factor market models
    Review of Derivatives Research, 2010, 13, (3), 245-272 Downloads
    See also Working Paper (2005)
  2. EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (01), 1-43 Downloads View citations (5)
  3. Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
    Insurance: Mathematics and Economics, 2010, 47, (3), 266-277 Downloads View citations (6)

2009

  1. Analytical approximations for prices of swap rate dependent embedded options in insurance products
    Insurance: Mathematics and Economics, 2009, 44, (1), 124-134 Downloads View citations (1)
  2. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
    Insurance: Mathematics and Economics, 2009, 45, (3), 436-448 Downloads View citations (5)

2008

  1. On the Applicability of the Wang Transform for Pricing Financial Risks
    ASTIN Bulletin: The Journal of the International Actuarial Association, 2008, 38, (01), 171-181 Downloads View citations (12)

2007

  1. Level-Slope-Curvature - Fact or Artefact?
    Applied Mathematical Finance, 2007, 14, (2), 105-130 Downloads View citations (6)
    See also Working Paper (2005)

2006

  1. PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
    Mathematical Finance, 2006, 16, (4), 673-694 Downloads View citations (10)

2004

  1. On the Information in the Interest Rate Term Structure and Option Prices
    Review of Derivatives Research, 2004, 7, (2), 99-127 Downloads View citations (13)
  2. Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance
    Insurance: Mathematics and Economics, 2004, 35, (2), 369-398 Downloads View citations (9)

2003

  1. Mathematical foundation of convexity correction
    Quantitative Finance, 2003, 3, (1), 59-65 Downloads View citations (7)
  2. Pricing and hedging guaranteed annuity options via static option replication
    Insurance: Mathematics and Economics, 2003, 33, (2), 283-296 Downloads View citations (16)
    See also Working Paper (2002)

2001

  1. Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
    Review of Finance, 2001, 5, (3), 201-237 Downloads View citations (2)

2000

  1. Markov-functional interest rate models
    Finance and Stochastics, 2000, 4, (4), 391-408 Downloads View citations (20)

1999

  1. Pricing double barrier options using Laplace transforms
    Finance and Stochastics, 2000, 4, (1), 95-104 Downloads View citations (19)

1996

  1. Transaction costs and efficiency of portfolio strategies
    European Journal of Operational Research, 1996, 91, (2), 250-263 Downloads View citations (4)
 
Page updated 2018-08-15