Antoon Pelsser | Maastricht University, School of Business and Economics (original) (raw)

Antoon Pelsser

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Papers by Antoon Pelsser

Research paper thumbnail of Pricing long-maturity equity and FX derivatives with stochastic interest rates and stochastic equity

In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including s... more In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including stochastic interest rates. Furthermore we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a correlation between the instantaneous interest rates, the volatilities and the underlying stock returns. By deriving the characteristic function of the log-asset price

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Research paper thumbnail of An Empirical Comparison of One-Factor Models

Springer Finance, 2000

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Research paper thumbnail of Efficient Methods for Valuing Interest Rate Derivatives

Springer Finance, 2000

... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at th... more ... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at the time of writing this manuscript. ... Page 10. Page 11. Preface This book aims to give an overview of models that can be used for efficient valuation of (exotic) interest rate derivatives. ...

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Research paper thumbnail of EAA Lecture Notes

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Research paper thumbnail of Convexity Correction

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Research paper thumbnail of Herziening financieel toetsingskader

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Research paper thumbnail of Pricing Double Barrier Options: An Analytical Approach

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Research paper thumbnail of A Tractable Interest Rate Model with Positive Interest Rates

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Research paper thumbnail of A tractable yield-curve model that guarantees positive interest rates

Review of Derivatives Research, 1996

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Research paper thumbnail of An Efficient Algorithm for Calculating Prices in the Hull-White Model

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Research paper thumbnail of Pricing double barrier options using Laplace transforms

Finance and Stochastics, 2000

. In this paper we address the pricing of double barrier options. To derive the density functio... more . In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulæfor new types of barrier options: knock-out barrier options which pay a rebate when either one of the barriers is hit. Furthermore we discuss more complicated types of barrier options like double knock-in options.

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Research paper thumbnail of On the Applicability of the Wang Transform for Pricing Financial Risks

ASTIN Bulletin, 2008

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Research paper thumbnail of Pricing of Flexible and Limit Caps

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Research paper thumbnail of Modelonzekerheid en waardering

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Research paper thumbnail of Time-Consistent Actuarial Valuations

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Research paper thumbnail of Professie en praktijk-Een Europees toezichtkader via innovatie en harmonisatie

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Research paper thumbnail of Option Pricing, Arbitrage and Martingales

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Research paper thumbnail of Robustness, Model Uncertainty and Pricing

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Research paper thumbnail of Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

Stochastic Models, 2015

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Research paper thumbnail of Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo

SSRN Electronic Journal, 2000

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Research paper thumbnail of Pricing long-maturity equity and FX derivatives with stochastic interest rates and stochastic equity

In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including s... more In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including stochastic interest rates. Furthermore we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a correlation between the instantaneous interest rates, the volatilities and the underlying stock returns. By deriving the characteristic function of the log-asset price

Bookmarks Related papers MentionsView impact

Research paper thumbnail of An Empirical Comparison of One-Factor Models

Springer Finance, 2000

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Efficient Methods for Valuing Interest Rate Derivatives

Springer Finance, 2000

... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at th... more ... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at the time of writing this manuscript. ... Page 10. Page 11. Preface This book aims to give an overview of models that can be used for efficient valuation of (exotic) interest rate derivatives. ...

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Research paper thumbnail of EAA Lecture Notes

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Research paper thumbnail of Convexity Correction

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Herziening financieel toetsingskader

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Pricing Double Barrier Options: An Analytical Approach

Bookmarks Related papers MentionsView impact

Research paper thumbnail of A Tractable Interest Rate Model with Positive Interest Rates

Bookmarks Related papers MentionsView impact

Research paper thumbnail of A tractable yield-curve model that guarantees positive interest rates

Review of Derivatives Research, 1996

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Research paper thumbnail of An Efficient Algorithm for Calculating Prices in the Hull-White Model

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Pricing double barrier options using Laplace transforms

Finance and Stochastics, 2000

. In this paper we address the pricing of double barrier options. To derive the density functio... more . In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulæfor new types of barrier options: knock-out barrier options which pay a rebate when either one of the barriers is hit. Furthermore we discuss more complicated types of barrier options like double knock-in options.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of On the Applicability of the Wang Transform for Pricing Financial Risks

ASTIN Bulletin, 2008

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Research paper thumbnail of Pricing of Flexible and Limit Caps

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Research paper thumbnail of Modelonzekerheid en waardering

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Research paper thumbnail of Time-Consistent Actuarial Valuations

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Research paper thumbnail of Professie en praktijk-Een Europees toezichtkader via innovatie en harmonisatie

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Research paper thumbnail of Option Pricing, Arbitrage and Martingales

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Research paper thumbnail of Robustness, Model Uncertainty and Pricing

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Research paper thumbnail of Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model

Stochastic Models, 2015

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Research paper thumbnail of Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo

SSRN Electronic Journal, 2000

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