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Observational Equivalence of Discrete String Models and Market Models
Kerkhof, Jeroen; Pelsser, Antoon - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10005940819
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Backtesting for risk-based regulatory capital
Kerkhof, Jeroen; Melenberg, Bertrand - In: Journal of banking & finance 28 (2004) 8, pp. 1845-1866
Persistent link: https://www.econbiz.de/10005883591
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Computation methods - Cutting edges using domain integration - The authors present the semi-analytic lattice integrator tree, a domain integrator method for pricing derivatives. Th...
Hu, Zhengyun; Kerkhof, Jeroen; McCloud, Paul; … - In: Risk : managing risk in the world's financial markets 19 (2006) 11, pp. 95-99
Persistent link: https://www.econbiz.de/10007384631
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Operational risk and reputation in the financial industry
Kerkhof, Jeroen; Melenberg, Bertrand; Schumacher, Hans - In: Journal of banking & finance 34 (2010) 1, pp. 224-236
Persistent link: https://www.econbiz.de/10008349477
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FACTOR DEPENDENCE AND ESTIMATION RISK FOR CAP-RELATED INTEREST IRATE EXOTICS
Kerkhof, Jeroen - In: The journal of fixed income 15 (2006) 4, pp. 74
Persistent link: https://www.econbiz.de/10007222773
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Model risk and capital reserves
Kerkhof, Jeroen; Melenberg, Bertrand; Schumacher, Hans - In: Journal of banking & finance 34 (2010) 1, pp. 267-280
Persistent link: https://www.econbiz.de/10008894545
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On the Information in the Interest Rate Term Structure and Option Prices
de Jong, Frank; Driessen, Joost; Pelsser, Antoon - In: Review of derivatives research 7 (2004) 2, pp. 99-128
Persistent link: https://www.econbiz.de/10005927028
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Risk-Managing Bermudan Swaptions in a LIBOR Model
Pietersz, Raoul; Pelsser, Antoon - In: The journal of derivatives : the official publication … 11 (2004) 3, pp. 51-62
Persistent link: https://www.econbiz.de/10005928609
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Forward versus Spot Interest Rate Models of the Term Structure: An Empirical Comparison
Moraleda, Juan M.; Pelsser, Antoon - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-22
Persistent link: https://www.econbiz.de/10005960434
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THE BINOMIAL MODEL AND THE GREEKS
Pelsser, Antoon; Vorst, Ton - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 45-49
Persistent link: https://www.econbiz.de/10006002357