Narrow search
Showing 1 - 8 of 8
Cover Image
The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
Driessen, Joost; Klaassen, Pieter; Melenberg, Bertrand - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 3, pp. 635-672
Persistent link: https://www.econbiz.de/10006694267
Cover Image
An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Journal of banking & finance 25 (2001) 9, pp. 1635-1664
Persistent link: https://www.econbiz.de/10005892366
Cover Image
Financial Asset-Pricing Theory and Stochastic Programming Models for Asset-Liability Management: A Synthesis
Klaassen, Pieter - In: Management science : journal of the Institute for … 44 (1998) 1, pp. 31-48
Persistent link: https://www.econbiz.de/10006098731
Cover Image
Tail behaviour of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-358
Persistent link: https://www.econbiz.de/10008215113
Cover Image
Discrete versus continuous state switching models for portfolio credit risk
Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 30 (2006) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10005878721
Cover Image
Empirical credit cycles and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 29 (2005) 12, pp. 3159-3180
Persistent link: https://www.econbiz.de/10005879740
Cover Image
ONE-FACTOR FALLACIES - The pitfalls of relying on one-factor models to value interest rates options.
Klaassen, Pieter; Leeuwen, Erik van; Schreurs, Bram - In: Risk : managing risk in the world's financial markets 11 (1998) 12, pp. 56-59
Persistent link: https://www.econbiz.de/10007060034