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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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A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul; Pelsser, Antoon André Jean - In: Review of derivatives research 13 (2010) 3, pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
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Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
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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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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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Markov-functional interest rate models
Hunt, Phil J.; Kennedy, Joanne; Pelsser, Antoon André Jean - In: Finance and stochastics 4 (2000) 4, pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
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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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Pricing of flexible and limit caps
Pelsser, Antoon André Jean; Vorst, Ton - 1998
Persistent link: https://www.econbiz.de/10000988114