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 0 1 414
A Comparison of Single Factor Markov-functional and Multi Factor Market Models 0 1 1 503 0 1 4 965
Asset-Liability Management for Long-Term Insurance Business 0 4 23 25 2 9 29 31
Asset-liability management for long-term insurance business 0 0 0 0 1 1 3 3
Extrapolating the term structure of interest rates with parameter uncertainty 0 0 0 9 0 0 3 26
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo 0 0 1 12 0 0 3 27
Fast drift approximated pricing in the BGM model 0 0 0 709 0 0 4 1,723
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 1 2 3 33
Level-Slope-Curvature - Fact or Artefact? 1 3 11 788 2 6 21 1,676
Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis 0 0 2 17 1 2 9 58
Observational Equivalence of Discrete String Models and Market Models 0 0 1 4 0 3 4 27
Pricing Double Barrier Options: An Analytical Approach 0 0 0 674 0 0 1 1,157
Pricing Double Barrier Options: An Analytical Approach 0 1 7 2,534 3 8 28 6,380
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication 0 1 1 750 1 3 5 1,966
Risico en Rendement in Balans voor Verzekeraars 0 2 2 60 0 3 5 246
Risk Managing Bermudan Swaptions in the Libor BGM Model 0 1 1 855 2 3 6 2,054
Risk managing bermudan swaptions in the libor BGM model 0 0 0 31 0 0 3 120
Time-Consistent Actuarial Valuations 0 0 0 23 0 0 1 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 0 0 3 49
Total Working Papers 1 13 52 7,196 13 41 137 17,048


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 1 6 7 7 1 13 15 15
A comparison of single factor Markov-functional and multi factor market models 0 0 0 29 0 0 2 106
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 0 0 1 4
Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework 0 0 0 4 0 0 2 22
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility 0 0 0 20 0 0 0 69
Level-Slope-Curvature - Fact or Artefact? 0 0 1 72 0 0 3 265
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis 0 0 1 4 0 1 4 17
Markov-functional interest rate models 0 0 6 2,130 1 1 8 4,383
Mathematical foundation of convexity correction 0 1 3 56 0 2 6 183
Modeling non-monotone risk aversion using SAHARA utility functions 0 0 0 14 0 1 3 78
On the Applicability of the Wang Transform for Pricing Financial Risks 0 0 0 4 0 1 2 8
On the Information in the Interest Rate Term Structure and Option Prices 0 0 0 168 0 0 3 410
Optimal dividends and ALM under unhedgeable risk 0 0 0 7 0 1 2 33
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS 0 0 0 151 0 0 1 297
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance 0 0 0 207 0 0 3 429
Pricing and hedging guaranteed annuity options via static option replication 0 0 0 177 0 1 3 477
Pricing double barrier options using Laplace transforms 0 0 6 1,026 1 3 16 2,473
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility 0 1 5 85 0 3 10 227
Robust evaluation of SCR for participating life insurances under Solvency II 0 0 2 3 5 7 28 33
Robust hedging in incomplete markets 1 1 1 1 2 2 2 2
Sustainability of participation in collective pension schemes: An option pricing approach 0 1 1 2 1 3 6 14
TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS 0 1 1 2 0 2 3 15
Time-consistent actuarial valuations 0 0 2 11 0 0 6 32
Transaction costs and efficiency of portfolio strategies 0 1 1 19 0 1 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 2 12 38 4,268 11 42 131 9,847


Statistics updated 2019-07-03