Raoul Pietersz
Raoul Pietersz
Unknown affiliation
Verified email at nl.abnamro.com
Title
Cited by
Cited by
Year
Efficient rank reduction of correlation matrices
I Grubišić, R Pietersz
Linear algebra and its applications 422 (2-3), 629-653, 2007
1022007
Rank reduction of correlation matrices by majorization
R Pietersz 4, PJF Groenen
Quantitative Finance 4 (6), 649-662, 2004
902004
Fast drift approximated pricing in the BGM model
R Pietersz, A Pelsser, M Van Regenmortel
Journal of Computational Finance 8 (1), 2004
672004
Pricing models for Bermudan-style interest rate derivatives
R Pietersz
282005
Generic market models
R Pietersz, M Van Regenmortel
Finance and Stochastics 10 (4), 507-528, 2006
272006
A comparison of single factor Markov-functional and multi factor market models
R Pietersz, A Pelsser
Review of Derivatives Research 13 (3), 245-272, 2010
192010
Risk-managing Bermudan swaptions in a LIBOR model
R Pietersz, A Pelsser
The Journal of Derivatives 11 (3), 51-62, 2004
192004
The LIBOR market model
R Pietersz, P Analysis
Universität Leiden, 2003
142003
An alternating least squares approach to squared distance scaling
J de Leeuw, P Groenen, R Pietersz
Department of Data Theory FSW/RUL, 1975
111975
Bridging brownian LIBOR
R Pietersz, AAJ Pelsser, M van Regenmortel
Wilmott Magazine 18, 98-103, 2005
82005
A major LIBOR fit
R Pietersz, P Groenen
Mathematical Finance 7, 127-155, 2004
52004
Cash-settled swaptions: A new pricing model
R Pietersz, F Sengers, M Michielon
Available at SSRN 3041228, 2019
32019
Augmentation and Majorization Algorithms for Squared Distance Scaling
J De Leeuw, PJF Groenen, R Pietersz
32004
PDE pricing for BGM
R Pietersz
Available at SSRN 302266, 2002
32002
Swap vega in BGM: pitfalls and alternatives
R Pietersz, A Pelsser
RISK-LONDON-RISK MAGAZINE LIMITED- 17 (3), 91-93, 2004
22004
Optimizing Functions of Squared Distances
JAN DE LEEUW, PJF GROENEN, R PIETERSZ
UCLA Department of Statistics. http://www. stat. ucla. edu/~ deleeuw …, 2006
12006
Trigger Swaps
R Pietersz
Encyclopedia of Quantitative Finance, 2010
2010
A Comparison of Single Factor Markov-functional and Multi Factor Market Models Raoul Pietersz, Antoon AJ Pelsser
R Pietersz
2005
Efficient Rank Reduction of Correlation Matrices 1
R Pietersz
2003
Arbitrage-Free Interpolation in the LIBOR Market Model
TE ter Bogt, A Khedher, MH Vellekoop, R Pietersz
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Articles 1–20