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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
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Observational equivalence of dicrete string models and market models
Kerkhof, Jeroen (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001661008
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Libor market models versus swap market models for pricing interest rate derivatives : an empirical analysis
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: European finance review : the official journal of the … 5 (2001) 3, pp. 201-237
Persistent link: https://www.econbiz.de/10001654818
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A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002700972
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Risk managing Bermudan swaptions in the Libor BGM model
Pietersz, Raoul (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001902799
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Risk-management Bermudan swaptions in a LIBOR model
Pietersz, Raoul; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 51-62
Persistent link: https://www.econbiz.de/10002007139
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Fast drift-approximated pricing in the BGM model
Pietersz, Raoul; Pelsser, Antoon André Jean; … - In: The journal of computational finance 8 (2004) 1, pp. 93-124
Persistent link: https://www.econbiz.de/10002390575