Antoon Pelsser : Citation Profile


Are you Antoon Pelsser?

Maastricht University (50% share)
Network for Studies on Pensions, Aging and Retirement (NetSPAR) (50% share)

9

H index

8

i10 index

231

Citations

RESEARCH PRODUCTION:

27

Articles

20

Papers

RESEARCH ACTIVITY:

   23 years (1996 - 2019). See details.
   Cites by year: 10
   Journals where Antoon Pelsser has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 9 (3.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe38
   Updated: 2019-10-15    RAS profile: 2019-06-13    
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Relations with other researchers


Works with:

Stadje, Mitja (2)

Loisel, Stéphane (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)

Schlogl, Erik (7)

Nikitopoulos-Sklibosios, Christina (6)

Dhaene, Jan (4)

De Waegenaere, Anja (3)

Ballotta, Laura (3)

Sutcliffe, Charles (3)

Akahori, Jiro (2)

Scaillet, Olivier (2)

Pallavicini, Andrea (2)

Cites to:

Sandmann, Klaus (14)

Duffie, Darrell (10)

Jamshidian, Farshid (9)

Chen, Zhiwu (8)

Cao, Charles (8)

Dybvig, Phillip (7)

Scholes, Myron (7)

Dybvig, Philip (7)

merton, robert (6)

Singleton, Kenneth (6)

Jarrow, Robert (5)

Main data


Where Antoon Pelsser has published?


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

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

Recent works citing Antoon Pelsser (2019 and 2018)


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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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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2019Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios. (2018). Parolya, Nestor ; Schmid, Wofgang ; Ivasiuk, Dmytro ; Bodnar, Taras. 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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2018Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja. In: Papers. RePEc:arx:papers:1811.09615.

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2019Jump-telegraph models for the short rate: pricing and convexity adjustments of zero coupon bonds. (2019). Lopez, Oscar ; Sanchez, Alejandra ; Oleaga, Gerardo E. In: Papers. RePEc:arx:papers:1901.02995.

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2019Optimal Reinsurance and Investment in a Diffusion Model. (2019). Schmidli, Hanspeter ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1903.12426.

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2019Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667.

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2018Lie Symmetries and Essential Restrictions in Economic Optimization. (2018). Perets, Gadi ; Yashiv, Eran. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12611.

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2019Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds. (2019). van Wijnbergen, Sweder ; Chen, Damiaan. In: DNB Working Papers. RePEc:dnb:dnbwpp:641.

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2019Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. (2019). Chen, AN ; Nguyen, Thai ; Hieber, Peter. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:3:p:1119-1135.

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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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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. (2017). Dhaene, Jan ; Chen, Ze ; Barigou, Karim ; Linders, Daniel ; Stassen, Ben . 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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2018A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116.

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2019Affordable and adequate annuities with stable payouts: Fantasy or reality?. (2019). Linders, Daniel ; van Bilsen, Servaas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:19-42.

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2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

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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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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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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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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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2018EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING. (2018). Kouritzin, Michael A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500061.

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Works by Antoon Pelsser:


YearTitleTypeCited
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
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paper12
2014TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance.
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This paper has another version. Agregated cites: 12
article
2011Time-Consistent Actuarial Valuations In: Papers.
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paper3
2016Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 3
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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article11
2019A Monte Carlo method for backward stochastic differential equations with Hermite martingales In: Monte Carlo Methods and Applications.
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article0
2018Asset-Liability Management for Long-Term Insurance Business In: Swiss Finance Institute Research Paper Series.
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paper0
2018Asset-liability management for long-term insurance business.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
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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article14
2019Robust hedging in incomplete markets In: Journal of Pension Economics and Finance.
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article0
1996Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research.
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article5
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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article9
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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article9
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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article2
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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article9
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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paper
2005A Comparison of Single Factor Markov-Functional and Multi Factor Market Models In: ERIM Report Series Research in Management.
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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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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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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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article20
2007Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance.
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article8
2005Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers.
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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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article7
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper.
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paper10
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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article5
2005Fast drift approximated pricing in the BGM model In: Finance.
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2010EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article7

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