Antoon Pelsser

Finance · 2003–2010

A researcher in the Science corpus: 6 papers; trusts 17 researchers and is trusted by 15 researchers here, as inferred from the citation graph.

Subfields

• Finance — 27 citations into it; #2,052 of 10,518 by trust here, #5,336 by citations
• Demography — 12 citations into it; #554 of 4,236 by trust here, #2,065 by citations
• Economics and Econometrics — 7 citations into it; #16,551 of 23,481 by trust here, #22,128 by citations

Whom Antoon Pelsser trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Marek Musiela
2. John C. Hull
3. Roger Lee
4. Marek Rutkowski
5. Gurdip Bakshi
6. Kenneth J. Singleton
7. Pierre Collin-Dufresne
8. Laura Ballotta
9. Paul Glasserman
10. M. Milevsky

Who trusts Antoon Pelsser overall

1. D. Schrager
2. A. V. Haastrecht
3. Thomas F. Coleman
4. R. Lord
5. A. Wilkie
6. Y. Kim
7. Mary R. Hardy
8. Laura Ballotta
9. Andrew J. G. Cairns
10. Yuying Li

Papers from Antoon Pelsser's perspective

Ordered by how strongly the researchers Antoon Pelsser trusts endorse each paper. Same corpus, a different order for every researcher.

1. Martingale Methods in Financial Modelling
2. Specification Analysis of Affine Term Structure Models
3. Valuation of Guaranteed Annuity Conversion Options
4. Monte Carlo Methods in Financial Engineering
5. Moment explosions in stochastic volatility models (Finance and Stochastics)
6. Spanning and Derivative-Security Valuation
7. Option Pricing by Transform Methods: Extensions, Unification, and Error Control
8. Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
9. Pricing and hedging long-term options
10. Efficient Methods for Valuing Interest Rate Derivatives

Their papers

• Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance (2004) — 63 citations
• Efficient Methods for Valuing Interest Rate Derivatives (2010) — 96 citations
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009) — 82 citations
• PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006) — 80 citations
• Pricing and Hedging Guaranteed Annuity Options via Static Option Replication (2003) — 103 citations
• Mathematical foundation of convexity correction (2003) — 55 citations