12
H index
13
i10 index
362
Citations
Antoon Pelsser : Citation Profile
Maastricht University (40% share) | RESEARCH PRODUCTION: 36 Articles 31 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1996 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Antoon Pelsser. | Is cited by:
| Cites to:
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Main data
Where Antoon Pelsser has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 6 |
| Finance / University Library of Munich, Germany | 3 |
| Tinbergen Institute Discussion Papers / Tinbergen Institute | 3 |
Recent works citing Antoon Pelsser (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities. (2021). Ma, Ming ; Liu, Yang ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2107.06460. Full description at Econpapers || Download paper |
| 2023 | A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809. Full description at Econpapers || Download paper |
| 2023 | Optimal investment under partial observations and robust VaR-type constraint. (2022). Chen, AN ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2212.04394. Full description at Econpapers || Download paper |
| 2023 | Simulation schemes for the Heston model with Poisson conditioning. (2023). Kwok, Yue Kuen ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02800. Full description at Econpapers || Download paper |
| 2023 | Approximations of multi-period liability values by simple formulas. (2023). Lindskog, Filip ; Engler, Nils. In: Papers. RePEc:arx:papers:2301.09450. Full description at Econpapers || Download paper |
| 2023 | Unbiased estimators for the Heston model with stochastic interest rates. (2023). Pan, Jiangtao ; Zheng, Chao. In: Papers. RePEc:arx:papers:2301.12072. Full description at Econpapers || Download paper |
| 2024 | Interest rate convexity in a Gaussian framework. (2023). Oumgari, Mugad ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2307.14218. Full description at Econpapers || Download paper |
| 2023 | Mean-field Libor market model and valuation of long term guarantees. (2023). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2310.09022. Full description at Econpapers || Download paper |
| 2023 | Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890. Full description at Econpapers || Download paper |
| 2024 | The integral of the squared Gaussian process. (2024). Reus, Lorenzo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:179:y:2024:i:c:s096007792301319x. Full description at Econpapers || Download paper |
| 2023 | Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers || Download paper |
| 2023 | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348. Full description at Econpapers || Download paper |
| 2023 | Health insurance, portfolio choice, and retirement incentives. (2023). Marazzina, Daniele ; Biffis, Enrico ; Barucci, Emilio. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:910-921. Full description at Econpapers || Download paper |
| 2023 | On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962. Full description at Econpapers || Download paper |
| 2024 | Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376. Full description at Econpapers || Download paper |
| 2023 | Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919. Full description at Econpapers || Download paper |
| 2023 | Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923. Full description at Econpapers || Download paper |
| 2023 | Intergenerational sharing of unhedgeable inflation risk. (2023). Beetsma, Roel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:140-160. Full description at Econpapers || Download paper |
| 2023 | On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach. (2023). Zhou, Kenneth Q ; Yang, Shuai. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:206-:d:1288573. Full description at Econpapers || Download paper |
| 2023 | Analysing Quantiles in Models of Forward Term Rates. (2023). van Appel, Jacques ; Schlogl, Erik ; McWalter, Thomas A. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:29-:d:1049181. Full description at Econpapers || Download paper |
| 2023 | A Deep Learning Based Numerical PDE Method for Option Pricing. (2023). Li, Jichun ; Wang, Xiang. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10279-x. Full description at Econpapers || Download paper |
| 2023 | A stochastic Asset Liability Management model for life insurance companies. (2023). Simonella, Roberta ; di Francesco, Marco. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00411-0. Full description at Econpapers || Download paper |
| 2023 | Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model. (2023). Eghbalzadeh, Ramin ; Godin, Frederic ; Gaillardetz, Patrice. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09196-4. Full description at Econpapers || Download paper |
| 2023 | Hedging longevity risk in defined contribution pension schemes. (2023). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8. Full description at Econpapers || Download paper |
| 2023 | Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967. Full description at Econpapers || Download paper |
| 2023 | Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823. Full description at Econpapers || Download paper |
Works by Antoon Pelsser:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2017 | Robust evaluation of SCR for participating life insurances under Solvency II In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 4 |
| 2018 | Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2018 | Robust evaluation of SCR for participating life insurances under Solvency II.(2018) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2013 | Time-Consistent and Market-Consistent Evaluations In: Papers. [Full Text][Citation analysis] | paper | 36 |
| 2014 | TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS.(2014) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2011 | Time-Consistent Actuarial Valuations In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2016 | Time-consistent actuarial valuations.(2016) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2013 | Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Extrapolating the term structure of interest rates with parameter uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance. [Full Text][Citation analysis] | article | 15 |
| 2019 | A Monte Carlo method for backward stochastic differential equations with Hermite martingales In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 0 |
| 2024 | A gradient method for high-dimensional BSDEs In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 0 |
| 2018 | Asset-Liability Management for Long-Term Insurance Business In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Asset-liability management for long-term insurance business.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2008 | On the Applicability of the Wang Transform for Pricing Financial Risks In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 17 |
| 2021 | The IFRS 17 contractual service margin: a life insurance perspective In: British Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
| 2019 | Robust hedging in incomplete markets In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Robust long-term interest rate risk hedging in incomplete bond markets In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Pricing and hedging in incomplete markets with model uncertainty In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
| 2022 | Near-optimal asset allocation in financial markets with trading constraints In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 1996 | Transaction costs and efficiency of portfolio strategies In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
| 2021 | What does a term structure model imply about very long-term interest rates? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
| 2003 | Pricing and hedging guaranteed annuity options via static option replication In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 28 |
| 2002 | Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.(2002) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2004 | Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
| 2009 | Analytical approximations for prices of swap rate dependent embedded options in insurance products In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2009 | Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
| 2010 | Valuation of guaranteed annuity options using a stochastic volatility model for equity prices In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
| 2013 | Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
| 2017 | Sustainability of participation in collective pension schemes: An option pricing approach In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
| 2022 | Narrative-based robust stochastic optimization In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 0 |
| 2011 | Modeling non-monotone risk aversion using SAHARA utility functions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 20 |
| 2002 | Market Value of Insurance Contracts with Profit Sharing In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | Risk managing bermudan swaptions in the libor BGM model In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Risk Managing Bermudan Swaptions in the Libor BGM Model.(2005) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2005 | A Comparison of Single Factor Markov-Functional and Multi Factor Market Models In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A comparison of single factor Markov-functional and multi factor market models.(2010) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2005 | A Comparison of Single Factor Markov-functional and Multi Factor Market Models.(2005) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2003 | Risico en Rendement in Balans voor Verzekeraars In: ERIM Inaugural Address Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
| 2004 | On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 14 |
| 2001 | Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis In: Review of Finance. [Full Text][Citation analysis] | article | 7 |
| Pricing Double Barrier Options: An Analytical Approach In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 7 | |
| 1997 | Pricing Double Barrier Options: An Analytical Approach.(1997) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 1999 | Pricing double barrier options using Laplace transforms In: Finance and Stochastics. [Full Text][Citation analysis] | article | 19 |
| 2000 | Markov-functional interest rate models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 21 |
| 2007 | Level-Slope-Curvature - Fact or Artefact? In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 9 |
| 2005 | Level-Slope-Curvature - Fact or Artefact?.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2011 | Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility In: Quantitative Finance. [Full Text][Citation analysis] | article | 11 |
| 2003 | Mathematical foundation of convexity correction In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2014 | Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper. [Full Text][Citation analysis] | paper | 13 |
| 2014 | Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086).(2014) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2000 | Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper. [Full Text][Citation analysis] | paper | 9 |
| 2000 | Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis.(2000) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2002 | Observational Equivalence of Discrete String Models and Market Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Observational Equivalence of Discrete String Models and Market Models.(2002) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2013 | Evaluating the UK and Dutch Defined Benefit Policies Using the Holistic Balance Sheet Framework In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2021 | De voordelen van de solidariteitsreserve ontrafeld In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 2021 | De Voordelen van de Solidariteitsreserve Ontrafeld.(2021) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Market-Consistent Valuation of Pension Liabilities In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Solidariteitsreserve: Doelen en evenwichtigheid In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
| 2005 | Fast drift approximated pricing in the BGM model In: Finance. [Full Text][Citation analysis] | paper | 8 |
| 2010 | EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 14 |
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