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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

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

Risk and portfolio choices in individual and collective pension plans

Jong, Frank de; Pelsser, Antoon André Jean - In: Ageing, health and pensions in Europe : an economic and …, (pp. 64-66). 2010

Persistent link: https://www.econbiz.de/10008906994

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125

Persistent link: https://www.econbiz.de/10008908408

Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

van Haastrecht, Alexander; Plat, Richard; Pelsser, … - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-277

Persistent link: https://www.econbiz.de/10008747073

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

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

Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

Haastrecht, Alexander van; Platt, Richard; Pelsser, … - 2009

Persistent link: https://www.econbiz.de/10003877144

Time-consistent and market-consistent evaluations

Stadje, Mitja; Pelsser, Antoon André Jean - 2011 - First version: April 15, 2010, This version: May 30, 2011

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...

Persistent link: https://www.econbiz.de/10009152556

Modeling non-monotone risk aversion using SAHARA utility functions

Chen, An; Pelsser, Antoon André Jean; Vellekoop, Michel - In: Journal of economic theory 146 (2011) 5, pp. 2075-7092

Persistent link: https://www.econbiz.de/10009308123