Antoon Pelsser : Citation Profile


Are you Antoon Pelsser?

Maastricht University (80% share)
Network for Studies on Pensions, Aging and Retirement (NetSPAR) (20% share)

8

H index

6

i10 index

202

Citations

RESEARCH PRODUCTION:

25

Articles

18

Papers

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 9
   Journals where Antoon Pelsser has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 9 (4.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe38
   Updated: 2018-09-22    RAS profile: 2018-05-31    
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Relations with other researchers


Works with:

Stadje, Mitja (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Antoon Pelsser.

Is cited by:

Pietersz, Raoul (9)

Rayée, Grégory (7)

Dhaene, Jan (4)

Schlogl, Erik (4)

De Waegenaere, Anja (3)

Sutcliffe, Charles (3)

Nikitopoulos-Sklibosios, Christina (3)

Hilscher, Jens (2)

Laurini, Márcio (2)

Vanduffel, Steven (2)

Grzelak, Lech (2)

Cites to:

Sandmann, Klaus (14)

Duffie, Darrell (10)

Jamshidian, Farshid (9)

Chen, Zhiwu (8)

Cao, Charles (8)

Scholes, Myron (7)

Dybvig, Philip (7)

Dybvig, Phillip (7)

merton, robert (6)

Singleton, Kenneth (6)

Hansen, Lars (5)

Main data


Where Antoon Pelsser has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics10
Quantitative Finance2
Finance and Stochastics2
Mathematical Finance2
Review of Derivatives Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
Finance / University Library of Munich, Germany3
Tinbergen Institute Discussion Papers / Tinbergen Institute3

Recent works citing Antoon Pelsser (2018 and 2017)


YearTitle of citing document
2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2017A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet. (2017). Sobhani, Amirhossein ; Milev, Mariyan. In: Papers. RePEc:arx:papers:1703.09129.

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2018A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node. (2018). Sobhani, Amirhossein ; Milev, Mariyan. In: Papers. RePEc:arx:papers:1712.01060.

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2017Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. (2017). Kravchenko, Igor V ; Jos'e Carlos Dias, ; Torba, Sergii M. In: Papers. RePEc:arx:papers:1712.08247.

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2018Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wofgang ; Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1806.08005.

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2018The value of a liability cash flow in discrete time subject to capital requirements. (2018). Engsner, Hampus ; Lindskog, Filip ; Lindensjo, Kristoffer. In: Papers. RePEc:arx:papers:1808.03328.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Melenberg, Bertrand ; Waegenaere, Anja ; Li, Hong ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:459-475.

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2017Optimal investment and consumption when allowing terminal debt. (2017). Chen, AN ; Vellekoop, Michel . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:1:p:385-397.

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2017Intergenerational risk sharing in closing pension funds. (2017). De Waegenaere, Anja ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:20-30.

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2017The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. (2017). Dhaene, Jan ; Barigou, Karim ; Linders, Daniel ; Stassen, Ben ; Chen, Ze. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:14-27.

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2018Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Kang, Boda ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

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2017Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes. (2017). Lian, Guanghua ; Cui, Zhenyu ; Elliott, Robert J ; Zhu, Song-Ping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:167-183.

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2018On investor preferences and mutual fund separation. (2018). Dybvig, Philip ; Liu, Fang. In: Journal of Economic Theory. RePEc:eee:jetheo:v:174:y:2018:i:c:p:224-260.

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2017Mathematical Analysis of Replication by Cash Flow Matching. (2017). Natolski, Jan ; Werner, Ralf . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:13-:d:91771.

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2017Pricing double barrier options under a volatility regime-switching model with psychological barriers. (2017). Song, Shiyu ; Wang, Yongjin. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9130-x.

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2018A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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2018The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time. (2018). Beissner, Patrick ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:72.

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2017Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes. (2017). Sutcliffe, Charles ; Platanakis, Emmanouil. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-08.

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2018Convexity adjustment for constant maturity swaps in a multi-curve framework. (2018). Karouzakis, Nikolaos ; Andriosopoulos, Kostas ; Hatgioannides, John. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2430-6.

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2018Market consistent valuations with financial imperfection. (2018). Gospodinov, Nikolay ; Assa, Hirbod. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:1:d:10.1007_s10203-018-0207-2.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2017Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s242478631750013x.

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2017ON CASH SETTLED IRR-SWAPTIONS AND MARKOV FUNCTIONAL MODELING. (2017). Bermin, Hans-Peter ; Williams, Gareth. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500091.

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2017CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs. (2017). Gogala, Jaka ; Kennedy, Joanne E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500212.

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2017BEHAVIORAL VALUE ADJUSTMENTS. (2017). Bissiri, Matteo ; Cogo, Riccardo. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500509.

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Works by Antoon Pelsser:


YearTitleTypeCited
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
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paper9
2014TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance.
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This paper has another version. Agregated cites: 9
article
2011Time-Consistent Actuarial Valuations In: Papers.
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paper2
2016Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 2
article
2013Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims In: Papers.
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paper0
2014Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo In: Papers.
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paper1
2013Extrapolating the term structure of interest rates with parameter uncertainty In: Papers.
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paper0
2006PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
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article10
2008On the Applicability of the Wang Transform for Pricing Financial Risks In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article12
1996Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research.
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article4
2003Pricing and hedging guaranteed annuity options via static option replication In: Insurance: Mathematics and Economics.
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article16
2002Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.(2002) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2004Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance In: Insurance: Mathematics and Economics.
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article7
2009Analytical approximations for prices of swap rate dependent embedded options in insurance products In: Insurance: Mathematics and Economics.
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article1
2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility In: Insurance: Mathematics and Economics.
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article5
2010Valuation of guaranteed annuity options using a stochastic volatility model for equity prices In: Insurance: Mathematics and Economics.
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article6
2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
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article0
2014Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework In: Insurance: Mathematics and Economics.
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article3
2017Sustainability of participation in collective pension schemes: An option pricing approach In: Insurance: Mathematics and Economics.
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article0
2018Robust evaluation of SCR for participating life insurances under Solvency II In: Insurance: Mathematics and Economics.
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article0
2011Modeling non-monotone risk aversion using SAHARA utility functions In: Journal of Economic Theory.
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article6
2003Risk managing bermudan swaptions in the libor BGM model In: Econometric Institute Research Papers.
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paper3
2005Risk Managing Bermudan Swaptions in the Libor BGM Model.(2005) In: Finance.
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This paper has another version. Agregated cites: 3
paper
2005A Comparison of Single Factor Markov-Functional and Multi Factor Market Models In: ERIM Report Series Research in Management.
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paper0
2010A comparison of single factor Markov-functional and multi factor market models.(2010) In: Review of Derivatives Research.
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This paper has another version. Agregated cites: 0
article
2005A Comparison of Single Factor Markov-functional and Multi Factor Market Models.(2005) In: Finance.
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This paper has another version. Agregated cites: 0
paper
2003Risico en Rendement in Balans voor Verzekeraars In: ERIM Inaugural Address Series Research in Management.
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paper0
2004On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research.
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article13
2001Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis In: Review of Finance.
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article1
Pricing Double Barrier Options: An Analytical Approach In: Computing in Economics and Finance 1997.
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paper6
1997Pricing Double Barrier Options: An Analytical Approach.(1997) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
1999Pricing double barrier options using Laplace transforms In: Finance and Stochastics.
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article22
2000Markov-functional interest rate models In: Finance and Stochastics.
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article18
2007Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance.
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article7
2005Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers.
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paper
2011Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility In: Quantitative Finance.
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article8
2003Mathematical foundation of convexity correction In: Quantitative Finance.
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article6
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper.
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paper7
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
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paper9
2002Observational Equivalence of Discrete String Models and Market Models In: Discussion Paper.
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paper3
2011Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options In: Journal of Futures Markets.
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article3
2005Fast drift approximated pricing in the BGM model In: Finance.
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paper8
2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article6

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