Details about Raoul Pietersz

Access statistics for papers by Raoul Pietersz.

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Short-id: ppi79

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
   Also in Finance, University Library of Munich, Germany (2005)
   See also Journal Article A comparison of single factor Markov-functional and multi factor market models, Review of Derivatives Research, Springer (2010) (2010)
2. Efficient Rank Reduction of Correlation Matrices
   Finance, University Library of Munich, Germany View citations (13)
   Also in 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 (2005) View citations (6)
3. Fast drift approximated pricing in the BGM model
   Finance, University Library of Munich, Germany View citations (9)
4. Generic Market Models
   Finance, University Library of Munich, Germany View citations (1)
   Also in 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 (2005) View citations (3)
   See also Journal Article Generic market models, Finance and Stochastics, Springer (2006) View citations (4) (2006)
5. Rank Reduction of Correlation Matrices by Majorization
   Finance, University Library of Munich, Germany View citations (8)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (15)
   See also Journal Article Rank reduction of correlation matrices by majorization, Quantitative Finance, Taylor & Francis Journals (2004) View citations (15) (2004)
6. Risk Managing Bermudan Swaptions in the Libor BGM Model
   Finance, University Library of Munich, Germany View citations (3)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)

Journal Articles

2010

1. A comparison of single factor Markov-functional and multi factor market models
   Review of Derivatives Research, 2010, 13, (3), 245-272
   See also Working Paper A Comparison of Single Factor Markov-Functional and Multi Factor Market Models, ERIM Report Series Research in Management (2005) (2005)

2006

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

2004

3. Rank reduction of correlation matrices by majorization
   Quantitative Finance, 2004, 4, (6), 649-662 View citations (15)
   See also Working Paper Rank Reduction of Correlation Matrices by Majorization, Finance (2005) View citations (8) (2005)