Alexander van Haastrecht

dr.

20092014
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Research Output 2009 2014

  • 14 Article
  • 1 Conference contribution
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Article
2014

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
2013

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

Toepassing Least Squared Monte Carlo op Unit Linked met eindgarantie

van Haastrecht, A. & Plat, R., 2013, In : De Actuaris. January, 20-3

Research output: Contribution to JournalArticleProfessional

2011
Correlation structure
Stochastic volatility
Stochastic interest rates
Interest rates
Model specification

Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

van Haastrecht, A. & Pelsser, A., 2011, In : Quantitative Finance. 11, 4, p. 665-691

Research output: Contribution to JournalArticleAcademicpeer-review

Pricing
Inflation
Stochastic volatility
Stochastic interest rates
Stock options

Managen van langlevenrisico

van Haastrecht, A. & Frijters, G., 2011, In : Pensioen Bestuur & Management. 2

Research output: Contribution to JournalArticleProfessional

On Equity Linked Annuities

van Haastrecht, A., 2011, In : The Actuary. June

Research output: Contribution to JournalArticleProfessional

2010

An alternative pricing model for inflation

van Haastrecht, A. & Plat, R., 2010, In : De Actuaris. January

Research output: Contribution to JournalArticleProfessional

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model

van Haastrecht, A. & Pelsser, A., 2010, In : International Journal of Theoretical and Applied Finance. 13, 1, p. 1-43

Research output: Contribution to JournalArticleAcademicpeer-review

Stochastic volatility model
Heston
Simulation
Simulation methods
Pricing

Pricing Guaranteed Annuity Options using a Stochastic Volatility model for equity prices

van Haastrecht, A. & Pelsser, A., 2010, In : Insurance Mathematics & Economics. 47, 3, p. 266-277

Research output: Contribution to JournalArticleAcademicpeer-review

Stochastic Volatility Model
Equity
Pricing
Stochastic Volatility
Interest Rates
2009

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

van Haastrecht, A., Lord, R., Pelsser, A. & Schrager, D., 2009, In : Insurance Mathematics & Economics. 45, p. 436-448

Research output: Contribution to JournalArticleAcademicpeer-review