Efficient rank reduction of correlation matrices I Grubišić, R Pietersz Linear algebra and its applications 422 (2-3), 629-653, 2007 | 126 | 2007 |
Rank reduction of correlation matrices by majorization R Pietersz 4, PJF Groenen Quantitative Finance 4 (6), 649-662, 2004 | 104 | 2004 |
Fast drift approximated pricing in the BGM model R Pietersz, A Pelsser, M Van Regenmortel Journal of Computational Finance 8 (1), 2004 | 72 | 2004 |
Pricing models for Bermudan-style interest rate derivatives R Pietersz | 31 | 2005 |
Generic market models R Pietersz, M Van Regenmortel Finance and Stochastics 10 (4), 507-528, 2006 | 29 | 2006 |
A comparison of single factor Markov-functional and multi factor market models R Pietersz, A Pelsser Review of Derivatives Research 13, 245-272, 2010 | 20 | 2010 |
Risk managing Bermudan swaptions in the Libor BGM model R Pietersz, A Pelsser Journal of Derivatives 11 (3), 2004 | 20 | 2004 |
The LIBOR market model R Pietersz, ABNAB NV, P Analysis Universität Leiden, 2003 | 14 | 2003 |
An alternating least squares approach to squared distance scaling J de Leeuw Department of Data Theory FSW/RUL, 1975 | 13 | 1975 |
Bridging brownian LIBOR R Pietersz, A Pelsser, M van Regenmortel Wilmott Magazine 18, 98-103, 2005 | 11 | 2005 |
A major LIBOR fit R Pietersz, P Groenen Risk Magazine 7, 127-155, 2004 | 5 | 2004 |
Cash-settled swaptions: A new pricing model R Pietersz, F Sengers, M Michielon International Journal of Theoretical and Applied Finance 23 (04), 2050028, 2020 | 3 | 2020 |
PDE pricing for BGM R Pietersz Available at SSRN 302266, 2002 | 3 | 2002 |
Augmentation and Majorization Algorithms for Squared Distance Scaling J De Leeuw, PJF Groenen, R Pietersz | 2 | 2004 |
Swap vega in BGM: pitfalls and alternatives R Pietersz, A Pelsser RISK-LONDON-RISK MAGAZINE LIMITED- 17 (3), 91-93, 2004 | 2 | 2004 |
Optimizing Functions of Squared Distances JAN DE LEEUW, PJF GROENEN, R PIETERSZ UCLA Department of Statistics. http://www. stat. ucla. edu/~ deleeuw …, 2006 | 1 | 2006 |
Interpolation of Forward-Looking and Backward-Looking Forward Rates in the Forward Market Model O Mulkin, X Xiao, M van der Wel, R Pietersz | | 2020 |
Trigger Swaps R Pietersz Encyclopedia of Quantitative Finance, 2010 | | 2010 |
Efficient Rank Reduction of Correlation Matrices R Pietersz Erasmus Research Institute of Management (ERIM), ERIM is the joint research …, 2005 | | 2005 |
A Comparison of Single Factor Markov-functional and Multi Factor Market Models Raoul Pietersz, Antoon AJ Pelsser R Pietersz | | 2005 |