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Details about Raoul Pietersz

E-mail:
Homepage:http://www.few.eur.nl/few/people/pietersz/
Workplace:Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)
Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)

Access statistics for papers by Raoul Pietersz.

Last updated 2010-05-15. Update your information in the RePEc Author Service.

Short-id: ppi79


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Working Papers

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
  2. Efficient Rank Reduction of Correlation Matrices
    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 View citations (5)
    Also in Finance, University Library of Munich, Germany (2005) Downloads View citations (12)
  3. Fast drift approximated pricing in the BGM model
    Finance, University Library of Munich, Germany Downloads View citations (9)
  4. Generic 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 View citations (3)
    Also in Finance, University Library of Munich, Germany (2005) Downloads View citations (1)

    See also Journal Article in Finance and Stochastics (2006)
  5. Rank Reduction of Correlation Matrices by Majorization
    Finance, University Library of Munich, Germany Downloads View citations (7)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) Downloads View citations (12)
  6. 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)

Journal Articles

2006

  1. Generic market models
    Finance and Stochastics, 2006, 10, (4), 507-528 Downloads View citations (3)
    See also Working Paper (2005)
 
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