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Libor and Swap Market Models for the pricing of interest rate derivatives : an empirical analysis
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - 2000
Persistent link: https://www.econbiz.de/10001473517
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Transaction costs and efficiency of portfolio strategies
Pelsser, Antoon André Jean; Vorst, Ton - 1994
Persistent link: https://www.econbiz.de/10000903478
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Transaction costs and efficiency of portfolio strategies
Pelsser, Antoon André Jean; Vorst, Ton - 1994
Persistent link: https://www.econbiz.de/10000912212
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Pricing of flexible and limit caps
Pelsser, Antoon André Jean; Vorst, Ton - 1998
Persistent link: https://www.econbiz.de/10000988114
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Markov-functional interest rate models
Hunt, Philip A.; Kennedy, Joanne; Pelsser, Antoon … - 1998
Persistent link: https://www.econbiz.de/10000988115
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Arbitrage-free pricing of quanto-swaptions
Hunt, Philip A.; Pelsser, Antoon André Jean - 1998
Persistent link: https://www.econbiz.de/10000988119
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Optimal optioned portfolios with confidence limits on shortfall constraints
Pelsser, Antoon André Jean; Vorst, Ton - 1996
Persistent link: https://www.econbiz.de/10000966912
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Market value of insurance contracts with profit sharing
Bouwknegt, Pieter; Pelsser, Antoon André Jean - 2001
Persistent link: https://www.econbiz.de/10001692626
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Libor market models verus swap market models for pricing interest rate derivatives: an empirical analysis
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - 2001
Persistent link: https://www.econbiz.de/10001692635
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Observational equivalence of discrete string models and market models
Kerkhof, Jeroen; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10001718690