Antoon Pelsser

Publication Activity (10 Years)

Years Active: 2000-2024
Publications (10 Years): 5

Top Topics

Financial Markets

Monte Carlo Method

Asset Allocation

Brownian Motion

Top Venues

Monte Carlo Methods Appl.

Eur. J. Oper. Res.

Syst. Control. Lett.

Publications

Kossi Gnameho, Mitja Stadje, Antoon Pelsser
A gradient method for high-dimensional BSDEs. Monte Carlo Methods Appl. 30 (2) (2024)
Thijs Kamma, Antoon Pelsser
Near-optimal asset allocation in financial markets with trading constraints. Eur. J. Oper. Res. 297 (2) (2022)
Anne G. Balter, Antoon Pelsser
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models. Syst. Control. Lett. 149 (2021)
Anne G. Balter, Antoon Pelsser
Pricing and hedging in incomplete markets with model uncertainty. Eur. J. Oper. Res. 282 (3) (2020)
Antoon Pelsser, Kossi Gnameho
A Monte Carlo method for backward stochastic differential equations with Hermite martingales. Monte Carlo Methods Appl. 25 (1) (2019)
An Chen, Antoon Pelsser, Michel Vellekoop
Modeling non-monotone risk aversion using SAHARA utility functions. J. Econ. Theory 146 (5) (2011)
Phil Hunt, Joanne Kennedy, Antoon Pelsser
Markov-functional interest rate models. Finance Stochastics 4 (4) (2000)
Antoon Pelsser
Pricing double barrier options using Laplace transforms. Finance Stochastics 4 (1) (2000)