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Pricing and Hedging in Incompl...
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101
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander
;
Lord, Roger
;
Pelsser, Antoon …
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 436-448
Persistent link: https://www.econbiz.de/10009517550
Saved in:
102
Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard
;
Pelsser, Antoon André Jean
- In:
Insurance / Mathematics & economics
44
(
2009
)
1
,
pp. 124-134
Persistent link: https://www.econbiz.de/10009517653
Saved in:
103
Pricing swaptions and coupon bond options in affine term structure models
Schrager, David F.
;
Pelsser, Antoon André Jean
- In:
Mathematical finance : an international journal of …
16
(
2006
)
4
,
pp. 673-694
Persistent link: https://www.econbiz.de/10003394188
Saved in:
104
Level-slope-curvature : fact or artefact?
Lord, Roger
;
Pelsser, Antoon André Jean
- In:
Applied mathematical finance
14
(
2007
)
2
,
pp. 105-130
Persistent link: https://www.econbiz.de/10003542978
Saved in:
105
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
Saved in:
106
Level-slope-curvature - fact or artefact?
Lord, Roger
;
Pelsser, Antoon André Jean
-
2005
Persistent link: https://www.econbiz.de/10003115925
Saved in:
107
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
Saved in:
108
Target-based investment for long-term investors under stochastic volatility
Pelsser, Antoon André Jean
;
Yang, Li
-
2023
Persistent link: https://www.econbiz.de/10014458738
Saved in:
109
A market and time consistent extension for the EIOPA risk margin
Salahnejhad Ghalehjooghi, Ahmad
;
Pelsser, Antoon André Jean
-
2023
Persistent link: https://www.econbiz.de/10014458739
Saved in:
110
Interest rates - Swap vega in BGM: pitfalls and alternatives - The authors present a method of estimating vega with clarity at a low number of simulation paths for all volatility f...
Pletersz, Raoul
;
Pelsser, Antoon
- In:
Risk : managing risk in the world's financial markets
17
(
2004
)
3
,
pp. 91-93
Persistent link: https://www.econbiz.de/10007028441
Saved in:
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