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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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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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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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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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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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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