251 research outputs found
Risico en Rendement in Balans voor Verzekeraars
Get PDFAntoon Pelsser (1968) is Head of the Asset-Liability Matching department of
ING-Insurance. The ALM department advises the board on the optimal asset
allocation to cover the insurance liabilities. The department is also responsible
for the calculation of market values and risk measures of insurance contracts.
He also holds a part-time position as Professor of Mathematical Finance at the
Econometric Institute at the Erasmus University in Rotterdam. His research
interests focus on pricing models for interest rate derivatives, the pricing of
insurance contracts and Asset-Liability Management of insurance contracts. He has
published in several academic journals including Finance and Stochastics, Journal
of Derivatives, European Journal of Operational Research and European Finance
Review. He is also author of the book Efficient Methods for Valuing Interest Rate
Derivatives, published by Springer Verlag.In this inaugural address Professor Pelsser investigates how one can strike a balance between investmens with a high expected return and high risk (e.g. stocks) versus low-risk investments with a low return (e.g.bonds). Using an example of a life-insurance company he shows in this
address how one can employ optimisation-techniques to make a trade-off between the desire to find an investment return as high as possible under the constraint that the insurance company should be able to meet its obligations to the policyholders under all economic circumstances
Efficient methods for valuing interest rate derivatives
No full text"Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection. The aim is to demystify the whole process through using examples of products that are actually traded on the market.
Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
No full textIn this paper we comment on the paper "Pricing Double Barrier Options using Laplace Transforms" by Antoon Pelsser. We illustrate that the same solutions of double barrier option values in terms of Fourier sine series can be obtained by using both Laplace transform and the method of separation of variables. The solutions in terms of the cumulative normal distribution function can be derived by employing the method of reflection. Furthermore, we discuss the numerical characteristics of the pricing solutions.Barrier options, Black and Scholes model, partial differential equations
Risico en Rendement in Balans voor Verzekeraars
No full textAntoon Pelsser (1968) is Head of the Asset-Liability Matching department of ING-Insurance. The ALM department advises the board on the optimal asset allocation to cover the insurance liabilities. The department is also responsible for the calculation of market values and risk measures of insurance contracts. He also holds a part-time position as Professor of Mathematical Finance at the Econometric Institute at the Erasmus University in Rotterdam. His research interests focus on pricing models for interest rate derivatives, the pricing of insurance contracts and Asset-Liability Management of insurance contracts. He has published in several academic journals including Finance and Stochastics, Journal of Derivatives, European Journal of Operational Research and European Finance Review. He is also author of the book Efficient Methods for Valuing Interest Rate Derivatives, published by Springer Verlag.asset liability management;business cinance, corporation finance;corporate finance and governance;financial management;investments for insurance companies;investment policy
On the applicability of the Wang Transform for pricing financial risks
Get PDFIn an arbitrage-free economy, it is well-known that financial risks can be priced using equivalent martingale measures. We establish in this paper that, for general stochastic processes, the Wang Transform does not lead to a price which is consistent with the arbitrage-free price. Based on these results we must conclude that the Wang Transform cannot be a universal framework for pricing financial and insurance risks
A tractable yield-curve model that guarantees positive interest rates
Get PDFYield-curve models suggested previously in the literature seem always to make a tradeoff between analytical tractability and a realistic behavior of the interest rates. In this paper we analyze a model that combines both features into one model: the interest rates are always positive and the model has a rich analytical structure. Not only is our model theoretically appealing, we also provide empirical evidence that our model can fit observed cap and floor prices better than the Hull-White model
Pricing Double Barrier Options: An Analytical Approach
Get PDFDouble barrier options have become popular instruments in derivative markets. Several papers have already analysed double knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) derive expressions for the Laplace transform of the double barrrier option price. However, they have to resort to numerical inversion of the Laplace transform to obtain option prices. In this paper, we are able to solve, using contour integration, the inverse of the Laplace transforms analytically thereby eliminating the need for numerical inversion routines. To our knowledge, this is one of the first applications of contour integration to option pricing problems. To illustrate the power of this method, we derive analytical valuation formulas for a much wider variety of double barrier options than has been treated in the literature so far. Many of these variants are nowadays being traded in the markets. Especially, options which pay a fixed amount of money (a "rebate") as soon as one of the barriers is hit and double barrier knock-in options
Efficient methods for valuing and managing interest rate and other derivative securities
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