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Personal profile

Personal information

Dr. Alexander van Haastrecht is Assistant Professor at the department of Finance at VU University Amsterdam. He also runs his own consultancy bureau, which aims to apply the latest academic insight to come up with suitable solutions for complex risk management issues.

Appointments:

Preferably by e-mail.

Research

His main research interests include the valuation, risk management and hedging of insurance products and pension funds. 

Ancillary activities

  • Delta Lloyd Verzekeringen | Amsterdam | Financial Risk Advisor | 2014-01-02 - present

Ancillary activities are updated daily

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Pricing Business & Economics
Stochastic volatility Business & Economics
Stochastic volatility model Business & Economics
Stochastic interest rates Business & Economics
Risk management Business & Economics
Interest rate volatility Business & Economics
Hedging Business & Economics
Heston Business & Economics

Research Output 2009 2014

  • 14 Article
  • 1 Conference contribution

Credit Spread Risico's

van Haastrecht, A., 2014, In : De Actuaris. 21, 5, p. 40-41

Research output: Contribution to JournalArticleProfessional

Open Access
File

Monte Carlo pricing in the Schobel-Zhu model and its extensions

van Haastrecht, A., Lord, R. & Pelsser, A., 2014, In : Journal of Computational Finance. 17, 3, p. 57-86

Research output: Contribution to JournalArticleAcademicpeer-review

Succesvol hedgen: mix van art en science

van Haastrecht, A., 2014, In : De Actuaris. 22, 1, p. 16-17

Research output: Contribution to JournalArticleProfessional

Open Access
File

Replicating Portfolio Control Variates

van Haastrecht, A., 2013, In : De Actuaris. March, 20-4

Research output: Contribution to JournalArticleProfessional

Replication Rules

van Haastrecht, A., 2013, In : The Actuary. March

Research output: Contribution to JournalArticleProfessional

Activities 2009 2009

  • 3 Editorial work

International Journal of Theoretical and Applied Finance (Journal)

A. van Haastrecht (Member of editorial board)
2009

Activity: Peer review and Editorial workEditorial workAcademic

Insurance Mathematics & Economics (Journal)

A. van Haastrecht (Member of editorial board)
2009

Activity: Peer review and Editorial workEditorial workAcademic

Quantitative Finance (Journal)

A. van Haastrecht (Member of editorial board)
2009

Activity: Peer review and Editorial workEditorial workAcademic