Research Output per year
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
No ancillary activities
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. 739-748Research output: Contribution to journal › Article
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. 251-275Research output: Contribution to journal › Article
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 paper
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 journal › Article
Branes and anti-de Sitter spacetimes
Boonstra, H. J., Peeters, B. & Skenderis, K. 13 Jan 1998 In : Fortsch.Phys..Research output: Contribution to journal › Article