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Results: 42
Number of items: 42
  • Pelsser, A., & Vlaar, P. (2008). Market-consistent valuation of pension liabilities. (Netspar Panel Paper; No. 11). Netspar. http://www.netspar.nl/events/2008/oct16/paperpelsser.pdf
  • Pelsser, A., Bernard, C., & Chen, A. (2008). On the cost of regulation under Solvency II. Life & Pensions, 4(6), 36-40.
  • Pelsser, A. (2008). On the applicability of the wang transform for pricing financial risks. ASTIN Bulletin, 38(1), 171-181. https://doi.org/10.2143/AST.38.1.2030409
  • Open Access
    van Haastrecht, A., & Pelsser, A. (2008). Efficient, almost exact simulation of the Heston stochastic volatility model. Faculteit Economie en Bedrijfskunde. http://ssrn.com/abstract=1131137
  • Open Access
    van Haastrecht, A., Lord, R., Pelsser, A., & Schrager, D. (2008). Pricing long-maturity equity and FX derivatives with stochastic interest rates and stochastic equity. Faculteit Economie en Bedrijfskunde. http://ssrn.com/abstract=1125590
  • Lord, R., & Pelsser, A. (2007). Level-slope-curvature : fact of artefact? Applied Mathematical Finance, 14(2), 105-130.
  • Pelsser, A. A. J., & Laeven, R. J. A. (2007). Optimal dividends and ALM under unhedgeable risk. Faculteit Economie en Bedrijfskunde. http://www1.fee.uva.nl/pp/bin/384fulltext.pdf
  • Open Access
    Pelsser, A. A. J., & Laeven, R. J. A. (2007). Optimal dividends and ALM under unhedgeable risk. Faculteit Economie en Bedrijfskunde. http://www1.feb.uva.nl/pp/bin/384fulltext.pdf
  • Open Access
    Chen, A., Pelsser, A., & Vellekoop, M. (2007). Approximate Solutions for Indifference Pricing under General Utility Functions. Faculteit Economie en Bedrijfskunde. http://www1.feb.uva.nl/pp/bin/695fulltext.pdf
  • Schrager, D. F., & Pelsser, A. A. J. (2006). Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models. Mathematical Finance, 16(4), 673-694. https://doi.org/10.1111/j.1467-9965.2006.00289.x
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