Access Statistics for Antoon Pelsser

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Single Factor Markov-Functional and Multi Factor Market Models 0 0 0 158 0 1 1 415
A Comparison of Single Factor Markov-functional and Multi Factor Market Models 1 1 2 504 1 2 4 967
Asset-Liability Management for Long-Term Insurance Business 0 1 12 27 0 2 26 35
Asset-liability management for long-term insurance business 0 0 0 0 0 1 4 4
Extrapolating the term structure of interest rates with parameter uncertainty 0 0 0 9 0 2 5 28
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo 0 0 0 12 1 2 4 29
Fast drift approximated pricing in the BGM model 0 0 0 709 0 1 4 1,725
Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims 0 0 0 11 0 0 3 33
Level-Slope-Curvature - Fact or Artefact? 0 0 5 788 2 4 18 1,682
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 0 17 2 2 9 61
Observational Equivalence of Discrete String Models and Market Models 0 0 1 4 1 2 7 30
Pricing Double Barrier Options: An Analytical Approach 0 0 0 674 1 1 1 1,158
Pricing Double Barrier Options: An Analytical Approach 0 0 6 2,534 1 9 33 6,389
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication 0 0 1 750 0 0 4 1,966
Risico en Rendement in Balans voor Verzekeraars 0 0 2 60 0 1 8 249
Risk Managing Bermudan Swaptions in the Libor BGM Model 0 1 2 856 1 3 9 2,057
Risk managing bermudan swaptions in the libor BGM model 0 0 0 31 1 2 6 123
Time-Consistent Actuarial Valuations 0 0 0 23 0 0 0 39
Time-Consistent and Market-Consistent Evaluations 0 0 0 16 0 0 1 54
Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) 0 0 2 17 1 1 4 50
Total Working Papers 1 3 33 7,200 12 36 151 17,094

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Monte Carlo method for backward stochastic differential equations with Hermite martingales 0 1 8 8 1 5 25 25
A comparison of single factor Markov-functional and multi factor market models 0 0 0 29 1 1 2 107
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options 0 0 0 1 0 0 0 8
Analytical approximations for prices of swap rate dependent embedded options in insurance products 0 0 1 44 0 0 1 125
EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL 0 0 0 1 1 1 1 5
Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework 0 0 0 4 1 1 2 23
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility 0 0 0 20 1 1 1 70
Level-Slope-Curvature - Fact or Artefact? 0 2 3 74 0 4 5 269
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis 0 0 1 5 2 2 6 21
Markov-functional interest rate models 0 1 4 2,131 5 8 12 4,391
Mathematical foundation of convexity correction 0 0 2 56 0 5 8 188
Modeling non-monotone risk aversion using SAHARA utility functions 0 0 0 14 1 1 4 79
On the Applicability of the Wang Transform for Pricing Financial Risks 0 0 0 4 0 0 2 9
On the Information in the Interest Rate Term Structure and Option Prices 0 0 0 168 2 2 5 412
Optimal dividends and ALM under unhedgeable risk 0 0 0 7 0 0 1 33
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 1 2 3 154 1 3 5 301
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance 0 0 0 207 1 1 3 430
Pricing and hedging guaranteed annuity options via static option replication 0 0 0 177 2 3 5 480
Pricing double barrier options using Laplace transforms 0 1 5 1,028 0 2 18 2,478
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 1 1 3 86 1 1 8 228
Robust evaluation of SCR for participating life insurances under Solvency II 2 5 6 9 3 9 31 47
Robust hedging in incomplete markets 0 1 2 2 3 4 7 7
Sustainability of participation in collective pension schemes: An option pricing approach 0 0 1 2 1 3 7 17
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS 0 0 1 2 1 1 4 17
Time-consistent actuarial valuations 0 0 2 11 0 2 6 34
Transaction costs and efficiency of portfolio strategies 0 0 1 19 0 0 1 55
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices 0 0 0 23 0 0 0 67
Total Journal Articles 4 14 43 4,286 28 60 170 9,926

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Statistics updated 2019-11-03