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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models : An Application to the KNW Model
Bouwman, Kees E. - 2016
We present a comprehensive overview of derivative pricing in Gaussian affine asset pricing models. Gaussian affine asset pricing models are widely used in practice for pricing and scenario analysis due to their tractable pricing implications and easy estimation. This tractability is essential to...
Persistent link: https://www.econbiz.de/10012995149
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An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models : An Application to the KNW Model
Bouwman, Kees E. - 2016
We present a comprehensive overview of derivative pricing in Gaussian affine asset pricing models. Gaussian affine asset pricing models are widely used in practice for pricing and scenario analysis due to their tractable pricing implications and easy estimation. This tractability is essential to...
Persistent link: https://www.econbiz.de/10012995342
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Mathematical foundation of convexity correction
Pelsser, Antoon André Jean - 2001
Persistent link: https://www.econbiz.de/10001692631
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Efficient methods for valuing interest rate derivatives
Pelsser, Antoon André Jean - 2000
Persistent link: https://www.econbiz.de/10001472323
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Risk-neutral valuation of real estate derivatives
Bragt, David van; Francke, Marc K.; Singor, Stefan N.; … - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 89-110
Persistent link: https://www.econbiz.de/10011399817
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On the information in the interest rate term structure and option prices
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
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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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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