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Personal profile

Personal information

Bas received his PhD in Theoretical Physics from Stony Brook University in 1995. Since 1998 he has been working in the financial industry, initially in the field of derivatives and dynamic asset allocation strategies, and currently focusing on quantitative research in asset management and factor investing.

Bas is heading the Quantitative Research and Strategy team within NN Investment Partners (www.nnip.com) and is a member of the Investment Committee of ABN Amro Pensionfund (www.abnamropensioenfonds.nl).

Research

My research interest are in the field of quantitative investment management, with a focus on factor investing, risk premiums, portfolio construction and risk management.

Ancillary activities

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Ancillary activities are updated daily

Keywords

  • HG Finance

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.

Hedging Mathematics
equivalence Physics & Astronomy
Discrete-time Mathematics
continuums Physics & Astronomy
operators Physics & Astronomy
eigenvectors Physics & Astronomy
Risk Factors Mathematics
slicing Physics & Astronomy

Research Output 1993 2013

Risk premiums in a simple market model for implied volatility

Peeters, B., 2013, In : Quantitative Finance. 13, 5, p. 739-748

Research output: Contribution to JournalArticleAcademicpeer-review

Risk premium
Market model
Implied volatility
Arbitrage
Implied volatility surface

Hedging large portfolios of options in discrete time

Peeters, B., Lucas, A. & Dert, C. L., 2008, In : Applied Mathematical Finance. 15, 3-4, p. 251-275

Research output: Contribution to JournalArticleAcademicpeer-review

Hedging
Discrete-time
Risk Factors
Trade-offs
Black-Scholes

Black Scholes for portfolios of options in discrete time: the price is right, the hedge is wrong

Peeters, B., Dert, C. L. & Lucas, A., 2003, Amsterdam: Tinbergen Instituut (TI), (TI Discussion Paper; no. TI 2003 90/2)

Research output: Working paperProfessional

File

Brane intersections, anti-de Sitter spacetimes and dual superconformal theories

Boonstra, H. J., Peeters, B. & Skenderis, K., 27 Mar 1998, In : Nucl.Phys. B.

Research output: Contribution to JournalArticleAcademicpeer-review

Branes and anti-de Sitter spacetimes

Boonstra, H. J., Peeters, B. & Skenderis, K., 13 Jan 1998, In : Fortsch.Phys..

Research output: Contribution to JournalArticleAcademicpeer-review