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Antoon Pelsser

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mehlkopf, Roel & van Bilsen, Servaas & Pelsser, Antoon, 2021. "De voordelen van de solidariteitsreserve ontrafeld," Other publications TiSEM 2dc7ff6e-cecf-439f-b6d7-8, Tilburg University, School of Economics and Management.

    Cited by:

    1. Servaas Bilsen & Roel J. Mehlkopf & Stephan Stalborch, 2022. "Intergenerational Transfers in the New Dutch Pension Contract," De Economist, Springer, vol. 170(1), pages 37-67, February.

  2. Hainaut, D. & Devolder, P. & Pelsser, A., 2017. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Discussion Papers ISBA 2017011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    Cited by:

    1. Philippe ARTZNER & Karl-Theodor EISELE & Thorsten SCHMIDT, 2022. "Insurance-Finance Arbitrage," Working Papers of LaRGE Research Center 2022-09, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    2. Flores, Eduardo & de Carvalho, João Vinicius França & Sampaio, Joelson Oliveira, 2021. "Impact of interest rates on the life insurance market development: Cross-country evidence," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Hainaut, Donatien & Devineau, Laurent, 2024. "Participating life insurances in an equity-Libor Market Model," LIDAM Discussion Papers ISBA 2024015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Shuai Yang & Kenneth Q. Zhou, 2023. "On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach," Risks, MDPI, vol. 11(12), pages 1-18, November.

  3. Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017. "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series 17-69, Swiss Finance Institute, revised Jan 2018.

    Cited by:

    1. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
    2. Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Nov 2023.
    3. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2020. "Insurance valuation: A two-step generalised regression approach," Papers 2012.04364, arXiv.org, revised Nov 2021.
    4. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
    5. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
    6. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
    7. Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    8. Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.

  4. Pelsser, Antoon & Salahnejhad, Ahmad & van den Akker, Ramon, 2016. "Market-Consistent Valuation of Pension Liabilities," Other publications TiSEM 50e0b61d-73b9-49a8-9443-6, Tilburg University, School of Economics and Management.

    Cited by:

    1. Balter, Anne & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2018. "The Move Towards Riskier Pension Products in the World’s Best Pension Systems," Other publications TiSEM 48f91245-3b1a-4625-a171-b, Tilburg University, School of Economics and Management.

  5. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.

    Cited by:

    1. Antoon Pelsser, 2011. "Time-Consistent Actuarial Valuations," Papers 1109.1751, arXiv.org.
    2. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
    3. Boonen, Tim J. & De Waegenaere, Anja, 2017. "Intergenerational risk sharing in closing pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 20-30.
    4. Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 578281, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    5. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
    6. Barigou, Karim & Chen, Ze & Dhaene, Jan, 2019. "Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 19-29.
    7. Han Bleichrodt & Umut Keskin & Kirsten I. M. Rohde & Vitalie Spinu & Peter Wakker, 2015. "Discounted Utility and Present Value—A Close Relation," Operations Research, INFORMS, vol. 63(6), pages 1420-1430, December.
    8. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
    9. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
    10. Madan, Dilip & Pistorius, Martijn & Stadje, Mitja, 2016. "Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1553-1584.
    11. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
    12. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    13. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
    14. Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog, 2018. "The value of a liability cash flow in discrete time subject to capital requirements," Papers 1808.03328, arXiv.org.
    15. Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020. "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, vol. 24(1), pages 125-167, January.

  6. Eric Beutner & Janina Schweizer & Antoon Pelsser, 2013. "Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo," Papers 1309.5274, arXiv.org, revised Apr 2014.

    Cited by:

    1. Jan Natolski & Ralf Werner, 2017. "Mathematical Analysis of Replication by Cash Flow Matching," Risks, MDPI, vol. 5(1), pages 1-15, February.

  7. Antoon Pelsser, 2011. "Time-Consistent Actuarial Valuations," Papers 1109.1751, arXiv.org.

    Cited by:

    1. Boonen, Tim J. & De Waegenaere, Anja, 2017. "Intergenerational risk sharing in closing pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 20-30.
    2. Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 578281, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    3. Nils Engler & Filip Lindskog, 2023. "Approximations of multi-period liability values by simple formulas," Papers 2301.09450, arXiv.org.
    4. Ketelbuters, John John & Hainaut, Donatien, 2021. "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA 2021004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Engsner Hampus & Lindskog Filip, 2020. "Continuous-time limits of multi-period cost-of-capital margins," Statistics & Risk Modeling, De Gruyter, vol. 37(3-4), pages 79-106, July.
    6. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
    7. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    8. Motte, Edouard & Hainaut, Donatien, 2024. "Efficient hedging of life insurance portfolio for loss-averse insurers," LIDAM Discussion Papers ISBA 2024013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.

  8. Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.

    Cited by:

    1. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
    2. Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
    3. Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
    4. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
    5. Beissner, Patrick & Rosazza Gianin, Emanuela, 2018. "The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time," Rationality and Competition Discussion Paper Series 72, CRC TRR 190 Rationality and Competition.
    6. Antoon Pelsser, 2011. "Time-Consistent Actuarial Valuations," Papers 1109.1751, arXiv.org.
    7. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
    8. Boonen, Tim J. & De Waegenaere, Anja, 2017. "Intergenerational risk sharing in closing pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 20-30.
    9. Karim Barigou & Daniel Linders & Fan Yang, 2021. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Papers 2109.13796, arXiv.org, revised Mar 2022.
    10. Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 578281, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
    11. Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu, 2024. "Coping with longevity via hedging: Fair dynamic valuation of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 154-169.
    12. Philippe Artzner & Karl-Theodor Eisele & Thorsten Schmidt, 2020. "Insurance-Finance Arbitrage," Papers 2005.11022, arXiv.org, revised Nov 2022.
    13. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
    14. Bellini, Fabio & Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor, 2021. "Law-invariant functionals that collapse to the mean," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 83-91.
    15. Engsner, Hampus & Lindskog, Filip & Thøgersen, Julie, 2023. "Multiple-prior valuation of cash flows subject to capital requirements," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 41-56.
    16. Barigou, Karim & Chen, Ze & Dhaene, Jan, 2019. "Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 19-29.
    17. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2020. "Law-invariant functionals that collapse to the mean," Papers 2009.04144, arXiv.org, revised Jan 2021.
    18. Han Bleichrodt & Umut Keskin & Kirsten I. M. Rohde & Vitalie Spinu & Peter Wakker, 2015. "Discounted Utility and Present Value—A Close Relation," Operations Research, INFORMS, vol. 63(6), pages 1420-1430, December.
    19. Ketelbuters, John John & Hainaut, Donatien, 2021. "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA 2021004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    20. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Ravanelli, Claudia & Šikić, Mario, 2021. "Revisiting optimal investment strategies of value-maximizing insurance firms," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 131-151.
    21. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
    22. Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu, 2021. "Fair dynamic valuation of insurance liabilities via convex hedging," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 1-13.
    23. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
    24. Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021. "A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk," Risks, MDPI, vol. 9(10), pages 1-19, September.
    25. Hampus Engsner & Filip Lindskog & Julie Thoegersen, 2021. "Multiple-prior valuation of cash flows subject to capital requirements," Papers 2109.00306, arXiv.org.
    26. Chi, Yichun & Weng, Chengguo, 2013. "Optimal reinsurance subject to Vajda condition," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 179-189.
    27. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
    28. Madan, Dilip & Pistorius, Martijn & Stadje, Mitja, 2016. "Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1553-1584.
    29. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
    30. Hampus Engsner, 2021. "Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions," Papers 2101.10947, arXiv.org, revised Apr 2021.
    31. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    32. Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021. "A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk," Papers 2107.10891, arXiv.org.
    33. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    34. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
    35. Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog, 2018. "The value of a liability cash flow in discrete time subject to capital requirements," Papers 1808.03328, arXiv.org.
    36. Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020. "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, vol. 24(1), pages 125-167, January.

  9. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.

    Cited by:

    1. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, University Library of Munich, Germany.
    2. Pietersz, R. & van Regenmortel, M., 2005. "Generic Market Models," ERIM Report Series Research in Management ERS-2005-010-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    3. Joerg Kampen & Anastasia Kolodko & John Schoenmakers, 2008. "Monte Carlo Greeks for financial products via approximative transition densities," Papers 0807.1213, arXiv.org.
    4. S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering.
    5. Christian Fries & Joerg Kampen, 2010. "Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems," Papers 1002.5031, arXiv.org, revised Oct 2012.
    6. Jaka Gogala & Joanne E. Kennedy, 2017. "CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, March.
    7. Ronald Hochreiter & Georg Pflug, 2006. "Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments," Computational Economics, Springer;Society for Computational Economics, vol. 28(3), pages 291-309, October.
    8. Mark Joshi & Alan Stacey, 2008. "New and robust drift approximations for the LIBOR market model," Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 427-434.

  10. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute.

    Cited by:

    1. Bulíř, Aleš & Vlček, Jan, 2021. "Monetary transmission: Are emerging market and low-income countries different?," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 95-108.
    2. Atkins, Philip J. & Cummins, Mark, 2023. "Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1331-1348.
    3. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
    4. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, August.
    5. Iliya Markov & Rodrigue Oeuvray & Nils Tuchschmid, 2013. "Non-fully invested derivative-free bond index replication," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 101-124, March.
    6. Martin Keller-Ressel, 2019. "The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach," Papers 1908.04667, arXiv.org, revised Jun 2021.
    7. Jaka Gogala & Joanne E. Kennedy, 2017. "CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, March.
    8. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.

  11. Pietersz, R. & Pelsser, A.A.J., 2003. "Risk managing bermudan swaptions in the libor BGM model," Econometric Institute Research Papers EI 2003-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, University Library of Munich, Germany.
    2. Pietersz, R. & van Regenmortel, M., 2005. "Generic Market Models," ERIM Report Series Research in Management ERS-2005-010-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

  12. Kerkhof, F.L.J. & Pelsser, A., 2002. "Observational Equivalence of Discrete String Models and Market Models," Discussion Paper 2002-28, Tilburg University, Center for Economic Research.

    Cited by:

    1. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.
    2. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
    3. Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 635-672, September.
    4. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
    5. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2020. "Valuation of caps and swaptions under a stochastic string model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).

  13. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute.

    Cited by:

    1. David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
    2. Post, Thomas, 2009. "Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality," SFB 649 Discussion Papers 2009-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010. "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 266-277, December.
    4. T. F. Coleman & Y. Kim & Y. Li & M. Patron, 2007. "Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 347-376, June.
    5. Jan Natolski & Ralf Werner, 2017. "Mathematical Analysis of Replication by Cash Flow Matching," Risks, MDPI, vol. 5(1), pages 1-15, February.
    6. Mahayni, Antje & Schlögl, Erik, 2003. "The Risk Management of Minimum Return Guarantees," Bonn Econ Discussion Papers 18/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
    7. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
    8. Dong, Bing & Xu, Wei & Sevic, Aleksandar & Sevic, Zeljko, 2020. "Efficient willow tree method for variable annuities valuation and risk management☆," International Review of Financial Analysis, Elsevier, vol. 68(C).
    9. Kleinow, Torsten, 2009. "Valuation and hedging of participating life-insurance policies under management discretion," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 78-87, February.
    10. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
    11. Yichen Han & Dongchen Li & Kun Fan & Jiaxin Wan & Luyan Li, 2024. "Valuation of a Mixture of GMIB and GMDB Variable Annuity," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
    12. Thomas Poufinas, 2015. "On the pricing of regular premium variable annuities using options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 54-77.
    13. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
    14. Thomas Poufinas, 2011. "On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(3), pages 180-194.
    15. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    16. Sébastien Bossu & Peter Carr & Andrew Papanicolaou, 2022. "Static replication of European standard dispersion options," Quantitative Finance, Taylor & Francis Journals, vol. 22(5), pages 799-811, May.
    17. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin, 2006. "Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 79-120, May.
    18. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.
    19. Lokeshwar, Vikranth & Bharadwaj, Vikram & Jain, Shashi, 2022. "Explainable neural network for pricing and universal static hedging of contingent claims," Applied Mathematics and Computation, Elsevier, vol. 417(C).
    20. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
    21. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
    22. Ballotta, Laura & Haberman, Steven, 2006. "The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 195-214, February.
    23. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    24. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.
    25. Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.

  14. de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A., 2000. "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis," Discussion Paper 2000-35, Tilburg University, Center for Economic Research.

    Cited by:

    1. Christiansen, Charlotte & Strunk Hansen, Charlotte, 2000. "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model," Finance Working Papers 00-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    2. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
    3. Xu Chenglong & Guan Wei & Liang Yijuan, 2015. "A Comparison of Control Variate Methods for Pricing Interest Rate Derivatives in the LIBOR Market Model," Journal of Systems Science and Information, De Gruyter, vol. 3(1), pages 48-58, February.
    4. Mihaela Tuca, 2009. "Calibration of LIBOR Market Model: Comparison between the Separated and the Approximate Approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 27, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    5. Carol Alexander & Dimitri Lvov, 2003. "Statistical Properties of Forward Libor Rates," ICMA Centre Discussion Papers in Finance icma-dp2003-03, Henley Business School, University of Reading.
    6. Carol Alexandra, 2002. "Common Correlation and Calibrating the Lognormal Forward Rate Model," ICMA Centre Discussion Papers in Finance icma-dp2002-18, Henley Business School, University of Reading, revised Jan 2003.
    7. S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering.
    8. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    9. Baaquie, Belal E. & Yang, Cao, 2009. "Empirical analysis of quantum finance interest rates models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(13), pages 2666-2681.

  15. Antoon Pelsser, "undated". "Pricing Double Barrier Options: An Analytical Approach," Computing in Economics and Finance 1997 130, Society for Computational Economics.

    Cited by:

    1. Dell'Era Mario, M.D., 2008. "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper 17502, University Library of Munich, Germany.
    2. C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
    3. Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Discussion Paper 2000-112, Tilburg University, Center for Economic Research.
    4. Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
    5. Xiang Wang & Jessica Li & Jichun Li, 2023. "A Deep Learning Based Numerical PDE Method for Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 149-164, June.
    6. Dell'Era Mario, M.D., 2008. "Pricing of the European Options by Spectral Theory," MPRA Paper 17429, University Library of Munich, Germany.
    7. Pancs Romans, 2010. "Communication, Innovation, and Growth," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-54, February.

Articles

  1. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.

    Cited by:

    1. Barucci, Emilio & Biffis, Enrico & Marazzina, Daniele, 2023. "Health insurance, portfolio choice, and retirement incentives," European Journal of Operational Research, Elsevier, vol. 307(2), pages 910-921.
    2. Wenyuan Li & Pengyu Wei, 2024. "Constrained portfolio optimization in a life-cycle model," Papers 2410.20060, arXiv.org.
    3. Reus, Lorenzo, 2024. "The integral of the squared Gaussian process," Chaos, Solitons & Fractals, Elsevier, vol. 179(C).
    4. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.

  2. Balter, Anne G. & Pelsser, Antoon & Schotman, Peter C., 2021. "What does a term structure model imply about very long-term interest rates?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 202-219.

    Cited by:

    1. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    2. Thomas A. McWalter & Erik Schlögl & Jacques van Appel, 2023. "Analysing Quantiles in Models of Forward Term Rates," Risks, MDPI, vol. 11(2), pages 1-18, January.
    3. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).

  3. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.

    Cited by:

    1. Leonardo Perotti & Lech A. Grzelak & Cornelis W. Oosterlee, 2024. "Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty," Papers 2410.21110, arXiv.org.
    2. Asano, Takao & Osaki, Yusuke, 2021. "Optimal investment under ambiguous technology shocks," European Journal of Operational Research, Elsevier, vol. 293(1), pages 304-311.
    3. Wei, Pengyu & Yang, Charles & Zhuang, Yi, 2023. "Robust consumption and portfolio choice with derivatives trading," European Journal of Operational Research, Elsevier, vol. 304(2), pages 832-850.
    4. Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
    5. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    6. Baltas, I. & Dopierala, L. & Kolodziejczyk, K. & Szczepański, M. & Weber, G.-W. & Yannacopoulos, A.N., 2022. "Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1162-1174.
    7. Motte, Edouard & Hainaut, Donatien, 2024. "Efficient hedging of life insurance portfolio for loss-averse insurers," LIDAM Discussion Papers ISBA 2024013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Driouchi, Tarik & Trigeorgis, Lenos & So, Raymond H.Y., 2020. "Individual antecedents of real options appraisal: The role of national culture and ambiguity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1018-1032.
    9. Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.

  4. Shen, Sally & Pelsser, Antoon & Schotman, Peter, 2019. "Robust hedging in incomplete markets," Journal of Pension Economics and Finance, Cambridge University Press, vol. 18(3), pages 473-493, July.

    Cited by:

    1. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & van Wijnbergen, Sweder J.G., 2023. "Intergenerational sharing of unhedgeable inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 140-160.

  5. Pelsser Antoon & Gnameho Kossi, 2019. "A Monte Carlo method for backward stochastic differential equations with Hermite martingales," Monte Carlo Methods and Applications, De Gruyter, vol. 25(1), pages 37-60, March.

    Cited by:

    1. Gnameho Kossi & Stadje Mitja & Pelsser Antoon, 2024. "A gradient method for high-dimensional BSDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 30(2), pages 183-203.

  6. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
    See citations under working paper version above.
  7. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017. "Sustainability of participation in collective pension schemes: An option pricing approach," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 182-196.

    Cited by:

    1. van Wijnbergen, Sweder & Chen, Damiaan, 2017. "Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds," CEPR Discussion Papers 12497, C.E.P.R. Discussion Papers.
    2. Zhao, Hui & Wang, Suxin, 2022. "Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1166-1180.
    3. Wang, Suxin & Lu, Yi, 2019. "Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 46-62.

  8. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
    See citations under working paper version above.
  9. Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard, 2014. "Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 89-102.

    Cited by:

    1. Emmanouil Platanakis & Charles Sutcliffe, 2015. "Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011," ICMA Centre Discussion Papers in Finance icma-dp2015-05, Henley Business School, University of Reading.
    2. Emmanouil Platanakis & Charles Sutcliffe, 2017. "Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes," ICMA Centre Discussion Papers in Finance icma-dp2017-08, Henley Business School, University of Reading.
    3. Katarzyna Romaniuk, 2020. "Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 229-249, June.

  10. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
    See citations under working paper version above.
  11. Alexander Van Haastrecht & Antoon Pelsser, 2011. "Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 103-125, February.

    Cited by:

    1. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2015. "Random Time Forward Starting Options," Papers 1504.03552, arXiv.org.
    2. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    3. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017, January-A.

  12. Alexander van Haastrecht & Antoon Pelsser, 2011. "Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 665-691.

    Cited by:

    1. Mordecai Avriel & Jens Hilscher & Alon Raviv, 2012. "Inflation Derivatives Under Inflation Target Regimes," Working Papers 43, Brandeis University, Department of Economics and International Business School.
    2. Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
    3. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
    4. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.
    5. Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.
    6. Rehez Ahlip & Laurence A. F. Park & Ante Prodan, 2017. "Pricing currency options in the Heston/CIR double exponential jump-diffusion model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-30, March.
    7. Dammak, Wael & Hamad, Salah Ben & de Peretti, Christian & Eleuch, Hichem, 2023. "Pricing of European currency options considering the dynamic information costs," Global Finance Journal, Elsevier, vol. 58(C).
    8. Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
    9. Chao Zheng & Jiangtao Pan, 2023. "Unbiased estimators for the Heston model with stochastic interest rates," Papers 2301.12072, arXiv.org, revised Aug 2023.
    10. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
    11. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

  13. Chen, An & Pelsser, Antoon & Vellekoop, Michel, 2011. "Modeling non-monotone risk aversion using SAHARA utility functions," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2075-2092, September.

    Cited by:

    1. Yashiv, Eran & Perets, Gadi, 2018. "Lie Symmetries and Essential Restrictions in Economic Optimization," CEPR Discussion Papers 12611, C.E.P.R. Discussion Papers.
    2. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    3. Chen, An & Hieber, Peter & Sureth, Caren, 2022. "Pay for tax certainty? Advance tax rulings for risky investment under multi-dimensional tax uncertainty," arqus Discussion Papers in Quantitative Tax Research 273, arqus - Arbeitskreis Quantitative Steuerlehre.
    4. Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth, 2021. "A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities," Papers 2107.06460, arXiv.org, revised Oct 2023.
    5. Marie-Cécile Fagart & Claude Fluet, 2012. "The First-Order Approach when the Cost of Effort is Money," Cahiers de recherche 1220, CIRPEE.
    6. Matteo Brachetta & Hanspeter Schmidli, 2020. "Optimal reinsurance and investment in a diffusion model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 341-361, June.
    7. Moris S. Strub & Xun Yu Zhou, 2021. "Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes," Finance and Stochastics, Springer, vol. 25(2), pages 331-358, April.
    8. Panagiotis E. Souganidis & Thaleia Zariphopoulou, 2024. "Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria," Mathematics and Financial Economics, Springer, volume 18, number 10, December.
    9. Bernard, Carole & De Gennaro Aquino, Luca & Levante, Lucia, 2021. "Optimal annuity demand for general expected utility agents," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 70-79.
    10. Marcellino Gaudenzi & Michel Vellekoop, 2018. "Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences," Papers 1809.11010, arXiv.org.
    11. Dybvig, Philip & Liu, Fang, 2018. "On investor preferences and mutual fund separation," Journal of Economic Theory, Elsevier, vol. 174(C), pages 224-260.
    12. Yang Liu & Zhenyu Shen, 2024. "PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets," Papers 2406.00435, arXiv.org, revised Nov 2024.
    13. Matteo Brachetta & Hanspeter Schmidli, 2019. "Optimal Reinsurance and Investment in a Diffusion Model," Papers 1903.12426, arXiv.org.
    14. Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid, 2018. "Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios," Papers 1806.08005, arXiv.org, revised May 2019.
    15. Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2013. "Rationalizing Investors Choice," Papers 1302.4679, arXiv.org, revised Jan 2014.
    16. Fernando Alvarez, 2018. "A three mutual fund separation theorem," 2018 Meeting Papers 1066, Society for Economic Dynamics.
    17. Cui, Zhenyu, 2014. "Comment on “Modeling non-monotone risk aversion using SAHARA utility functions” [J. Econ. Theory 146 (2011) 2075–2092]," Journal of Economic Theory, Elsevier, vol. 153(C), pages 703-705.
    18. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    19. Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
    20. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
    21. Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.

  14. Alexander Van Haastrecht & Antoon Pelsser, 2010. "Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-43.

    Cited by:

    1. Chulmin Kang & Wanmo Kang & Jong Mun Lee, 2017. "Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model," Operations Research, INFORMS, vol. 65(5), pages 1190-1206, October.
    2. Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
    3. Mordecai Avriel & Jens Hilscher & Alon Raviv, 2012. "Inflation Derivatives Under Inflation Target Regimes," Working Papers 43, Brandeis University, Department of Economics and International Business School.
    4. Pingping Zeng & Ziqing Xu & Pingping Jiang & Yue Kuen Kwok, 2023. "Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 842-890, July.
    5. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
    6. Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice, 2015. "Simulating from the Heston model: A gamma approximation scheme," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 205-231, September.
    7. Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
    8. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
    9. Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2016. "Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation," Papers 1601.01128, arXiv.org.
    10. Nico Achtsis & Ronald Cools & Dirk Nuyens, 2012. "Conditional sampling for barrier option pricing under the Heston model," Papers 1207.6566, arXiv.org, revised Dec 2012.
    11. Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
    12. Xianming Sun & Siqing Gan, 2014. "An Efficient Semi-Analytical Simulation for the Heston Model," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 433-445, April.
    13. Simon J. A. Malham & Jiaqi Shen & Anke Wiese, 2020. "Series expansions and direct inversion for the Heston model," Papers 2008.08576, arXiv.org, revised Jan 2021.
    14. Jaehyuk Choi & Yue Kuen Kwok, 2023. "Simulation schemes for the Heston model with Poisson conditioning," Papers 2301.02800, arXiv.org, revised Nov 2023.

  15. van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010. "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 266-277, December.

    Cited by:

    1. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
    2. Kang, Boda & Ziveyi, Jonathan, 2018. "Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 43-56.
    3. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
    4. Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.
    5. Feng, Runhuan & Volkmer, Hans W., 2012. "Analytical calculation of risk measures for variable annuity guaranteed benefits," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 636-648.
    6. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    7. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.

  16. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 124-134, February.

    Cited by:

    1. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
    2. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.

  17. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.

    Cited by:

    1. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
    2. van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010. "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 266-277, December.
    3. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
    4. Robert J. Elliott & Katsumasa Nishide & Carlton‐James U. Osakwe, 2016. "Heston‐Type Stochastic Volatility with a Markov Switching Regime," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 902-919, September.
    5. Lin, Sha & He, Xin-Jiang, 2020. "Pricing variance and volatility swaps with stochastic volatility, stochastic interest rate and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    6. David Baños & Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020. "Variance and Interest Rate Risk in Unit-Linked Insurance Policies," Risks, MDPI, vol. 8(3), pages 1-23, August.
    7. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    8. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Dong-Mei Zhu & Jiejun Lu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 555-586, February.
    10. Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 951-967, July.
    11. Flavio ANGELINI & Stefano HERZEL, 2012. "Delta Hedging in Discrete Time under Stochastic Interest Rate," Quaderni del Dipartimento di Economia, Finanza e Statistica 110/2012, Università di Perugia, Dipartimento Economia.
    12. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015. "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series 366, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017, January-A.

  18. Pelsser, Antoon, 2008. "On the Applicability of the Wang Transform for Pricing Financial Risks," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 171-181, May.

    Cited by:

    1. Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
    2. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    3. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
    4. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    5. Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio, 2017. "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2251-2275, October.
    6. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    7. Raj Kumari Bahl & Sotirios Sabanis, 2016. "Model-Independent Price Bounds for Catastrophic Mortality Bonds," Papers 1607.07108, arXiv.org, revised Dec 2020.
    8. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
    9. Haruyoshi Ito & Jing Ai & Akihiko Ozawa, 2016. "Managing Weather Risks: The Case of J. League Soccer Teams in Japan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 877-912, December.
    10. Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan, 2011. "A recursive approach to mortality-linked derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 240-248, September.
    11. Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
    12. Bahl, Raj Kumari & Sabanis, Sotirios, 2021. "Model-independent price bounds for Catastrophic Mortality Bonds," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 276-291.
    13. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A general class of distortion operators for pricing contingent claims with applications to CAT bonds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 558-584, August.
    14. Labuschagne, Coenraad C.A. & Offwood, Theresa M., 2013. "Pricing exotic options using the Wang transform," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 139-150.
    15. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    16. Alexis Bienvenüe & Didier Rullière, 2012. "Iterative Adjustment of Survival Functions by Composed Probability Distortions," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 37(2), pages 156-179, September.
    17. Labuschagne, Coenraad C.A. & Offwood, Theresa M., 2010. "A note on the connection between the Esscher-Girsanov transform and the Wang transform," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 385-390, December.

  19. Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 105-130.
    See citations under working paper version above.
  20. David F. Schrager & Antoon A. J. Pelsser, 2006. "Pricing Swaptions And Coupon Bond Options In Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 673-694, October.

    Cited by:

    1. Vincenzo Russo & Gabriele Torri, 2019. "Calibration of one-factor and two-factor Hull–White models using swaptions," Computational Management Science, Springer, vol. 16(1), pages 275-295, February.
    2. João Pedro Vidal Nunes & Pedro Miguel Silva Prazeres, 2014. "Pricing Swaptions Under Multifactor Gaussian Hjm Models," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 762-789, October.
    3. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
    4. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2013. "Mortgage hedging in fixed income markets," LSE Research Online Documents on Economics 119032, London School of Economics and Political Science, LSE Library.
    6. Date, Paresh & Wang, Chieh, 2009. "Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting," European Journal of Operational Research, Elsevier, vol. 195(1), pages 156-166, May.
    7. Frédéric Godin & Ramin Eghbalzadeh & Patrice Gaillardetz, 2023. "Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model," Review of Derivatives Research, Springer, vol. 26(2), pages 171-206, October.
    8. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007, January-A.
    9. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 124-134, February.
    10. Leslie Ng, 2013. "Numerical Procedures For A Wrong Way Risk Model With Lognormal Hazard Rates And Gaussian Interest Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1-33.
    11. Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
    12. Marco Di Francesco & Roberta Simonella, 2023. "A stochastic Asset Liability Management model for life insurance companies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 61-94, March.
    13. Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2014. "Affine LIBOR models with multiple curves: theory, examples and calibration," Papers 1405.2450, arXiv.org, revised Aug 2015.
    14. Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda, 2014. "Smile with the Gaussian term structure model," Papers 1412.7412, arXiv.org, revised Nov 2015.

  21. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October.

    Cited by:

    1. An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
    2. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
    3. Vellekoop, M.H. & Vd Kamp, A.A. & Post, B.A., 2006. "Pricing and hedging guaranteed returns on mix funds," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 585-598, June.
    4. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
    5. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    6. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
    7. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 124-134, February.
    8. Chen, Shi & Duan, Xiaoyu & Chiu, Shiu-Chieh & Lin, Jyh-Horng, 2024. "Insurer hedging amidst the interplay of black and green swans toward SDGs 3 and 7," Energy Economics, Elsevier, vol. 135(C).
    9. Hainaut, Donatien & Devineau, Laurent, 2024. "Participating life insurances in an equity-Libor Market Model," LIDAM Discussion Papers ISBA 2024015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
    11. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 920-934, June.
    12. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017, January-A.
    13. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.

  22. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.

    Cited by:

    1. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, University Library of Munich, Germany.
    2. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
    3. Igor Grubisic & Raoul Pietersz, 2005. "Efficient Rank Reduction of Correlation Matrices," Finance 0502007, University Library of Munich, Germany.
    4. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute.
    5. Piet Sercu & Tom Vinaimont, 2008. "Selecting a Bond‐Pricing Model for Trading: Benchmarking, Pooling, and Other Issues," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 250-280, January.
    6. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October.
    7. Ferdinando Ametrano & Mark Joshi, 2011. "Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 547-558.
    8. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    9. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, August.
    10. Ken-ichi Mitsui & Yoshio Tabata, 2006. "Random Correlation Matrix and De-Noising," Discussion Papers in Economics and Business 06-26, Osaka University, Graduate School of Economics.
    11. Anders B. Trolle & Eduardo S. Schwartz, 2010. "An Empirical Analysis of the Swaption Cube," NBER Working Papers 16549, National Bureau of Economic Research, Inc.
    12. Brigo, Damiano & Mercurio, Fabio & Morini, Massimo, 2005. "The LIBOR model dynamics: Approximations, calibration and diagnostics," European Journal of Operational Research, Elsevier, vol. 163(1), pages 30-51, May.

  23. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 59-65.

    Cited by:

    1. Antoine Jacquier & Mugad Oumgari, 2023. "Interest rate convexity in a Gaussian framework," Papers 2307.14218, arXiv.org, revised Mar 2024.
    2. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October.
    3. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
    4. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(4), pages 309-326.
    5. Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe, 2010. "Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 645-662.
    6. Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni, 2015. "Trading strategies with implied forward credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 361-375.
    7. López, Oscar & Oleaga, Gerardo & Sánchez, Alejandra, 2021. "Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment," Applied Mathematics and Computation, Elsevier, vol. 395(C).
    8. Nikolaos Karouzakis & John Hatgioannides & Kostas Andriosopoulos, 2018. "Convexity adjustment for constant maturity swaps in a multi-curve framework," Annals of Operations Research, Springer, vol. 266(1), pages 159-181, July.
    9. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 920-934, June.
    10. Oscar Lopez & Gerardo E. Oleaga & Alejandra Sanchez, 2019. "Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds," Papers 1901.02995, arXiv.org.

  24. Pelsser, Antoon, 2003. "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 283-296, October.
    See citations under working paper version above.
  25. Frank De Jong & Joost Driessen & Antoon Pelsser, 2001. "Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis," Review of Finance, European Finance Association, vol. 5(3), pages 201-237.

    Cited by:

    1. Zühlsdorff, Christian, 2002. "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers 6/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
    2. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, August.
    3. Yunbi An & Wulin Suo, 2008. "The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(2), pages 109-130, February.
    4. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
    5. Mihaela Tuca, 2009. "Calibration of LIBOR Market Model: Comparison between the Separated and the Approximate Approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 27, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    6. Carol Alexander & Dimitri Lvov, 2003. "Statistical Properties of Forward Libor Rates," ICMA Centre Discussion Papers in Finance icma-dp2003-03, Henley Business School, University of Reading.
    7. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    8. Baaquie, Belal E. & Yang, Cao, 2009. "Empirical analysis of quantum finance interest rates models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(13), pages 2666-2681.

  26. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, vol. 4(1), pages 95-104.

    Cited by:

    1. Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
    2. Shiyu Song & Yongjin Wang, 2017. "Pricing double barrier options under a volatility regime-switching model with psychological barriers," Review of Derivatives Research, Springer, vol. 20(3), pages 255-280, October.
    3. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Andrew Ming-Long Wang & Yu-Hong Liu & Yi-Long Hsiao, 2009. "Barrier option pricing: a hybrid method approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 341-352.
    5. C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
    6. Giacomo Bormetti & Giorgia Callegaro & Giulia Livieri & Andrea Pallavicini, 2015. "A backward Monte Carlo approach to exotic option pricing," Papers 1511.00848, arXiv.org.
    7. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node," Papers 1712.01060, arXiv.org, revised Feb 2018.
    8. Marcos Escobar & Peter Hieber & Matthias Scherer, 2014. "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, vol. 17(2), pages 191-216, July.
    9. Choe, Geon Ho & Koo, Ki Hwan, 2014. "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 156-184.
    10. Feng, Yun & Huang, Bing-hua & Young, Martin & Zhou, Qi-yuan, 2015. "Decomposing and valuing convertible bonds: A new method based on exotic options," Economic Modelling, Elsevier, vol. 47(C), pages 193-206.
    11. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet," Papers 1703.09129, arXiv.org, revised Mar 2017.
    12. Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
    13. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
    14. J. C. Ndogmo & D. B. Ntwiga, 2007. "High-order accurate implicit methods for the pricing of barrier options," Papers 0710.0069, arXiv.org.
    15. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
    16. Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig, 2010. "Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models," Papers 1007.4361, arXiv.org, revised Apr 2012.
    17. Rahman Farnoosh & Hamidreza Rezazadeh & Amirhossein Sobhani & M. Hossein Beheshti, 2016. "A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 131-145, June.
    18. Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, François, 2008. "Pricing derivatives with barriers in a stochastic interest rate environment," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2903-2938, September.
    19. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.

  27. Joanne Kennedy & Phil Hunt & Antoon Pelsser, 2000. "Markov-functional interest rate models," Finance and Stochastics, Springer, vol. 4(4), pages 391-408.

    Cited by:

    1. N. Moreni & A. Pallavicini, 2014. "Parsimonious HJM modelling for multiple yield curve dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
    2. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
    3. Y. Wang & H. Yin & L. Qi, 2004. "No-Arbitrage Interpolation of the Option Price Function and Its Reformulation," Journal of Optimization Theory and Applications, Springer, vol. 120(3), pages 627-649, March.
    4. Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
    5. Dan Pirjol, 2013. "Explosive Behavior In A Log-Normal Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-23.
    6. Dan Pirjol, 2016. "Eurodollar futures pricing in log-normal interest rate models in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 445-464, November.
    7. Hans-Peter Bermin & Gareth Williams, 2017. "On Cash Settled Irr-Swaptions And Markov Functional Modeling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-20, March.
    8. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.
    9. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
    10. Raoul Pietersz & Antoon Pelsser, 2005. "A Comparison of Single Factor Markov-functional and Multi Factor Market Models," Finance 0502008, University Library of Munich, Germany.
    11. Jiro Akahori & Yuji Hishida & Josef Teichmann & Takahiro Tsuchiya, 2009. "A Heat Kernel Approach to Interest Rate Models," Papers 0910.5033, arXiv.org.
    12. Mamon, Rogemar S., 2002. "A time-varying Markov chain model of term structure," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 309-312, December.
    13. Simon H. Babbs, 2002. "Conditional Gaussian models of the term structure of interest rates," Finance and Stochastics, Springer, vol. 6(3), pages 333-353.
    14. Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 257-275, August.
    15. Antonis Papapantoleon, 2009. "Old and new approaches to LIBOR modeling," Papers 0910.4941, arXiv.org, revised Apr 2010.
    16. Xiao Lin, 2016. "The Zero-Coupon Rate Model for Derivatives Pricing," Papers 1606.01343, arXiv.org, revised Feb 2022.
    17. Junwu Gan, 2014. "An almost Markovian LIBOR market model calibrated to caps and swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1937-1959, November.
    18. Dan Pirjol, 2010. "Phase transition in a log-normal Markov functional model," Papers 1007.0691, arXiv.org, revised Jan 2011.
    19. Yuta Inoue & Takahiro Tsuchiya, 2011. "Defaultable Bonds via HKA," Papers 1103.4541, arXiv.org.
    20. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    21. Jaka Gogala & Joanne E. Kennedy, 2017. "CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, March.
    22. C. D. D. Neumann, 2007. "On the structure of Gaussian pricing models and Gaussian Markov functional models," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 487-496.

  28. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June.

    Cited by:

    1. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
    2. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
    3. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
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