… Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon
Pelsser draws on his experience in industry to explore the practical issues, such as the …

In this paper we address the pricing of double barrier options. To derive the density function
of the first-hit times of the barriers, we analytically invert the Laplace transform by contour …

We propose an approach to find an approximate price of a swaption in affine term structure
models. Our approach is based on the derivation of approximate swap rate dynamics in …

We deal with discretization schemes for the simulation of the Heston stochastic volatility model.
These simulation methods yield a popular and flexible pricing alternative for pricing and …

In this paper we derive a market value for with-profits guaranteed annuity options (GAOs)
using martingale modelling techniques. Furthermore, we show how to construct a static …

We consider evaluation methods for payoffs with an inherent financial risk as encountered
for instance for portfolios held by pension funds and insurance companies. Pricing such …

We introduce a general class of interest rate models in which the value of pure discount
bonds can be expressed as a functional of some (low-dimensional) Markov process. At the …

We develop a new class of utility functions, SAHARA utility, with the distinguishing feature
that it allows absolute risk aversion to be non-monotone and implements the assumption that …

Solvency II requires insurers to calculate the 1-year value at risk of their balance sheet. This
involves the valuation of the balance sheet in 1 year’s time. As for insurance liabilities, closed…

We consider the pricing of long-dated insurance contracts under stochastic interest rates and
stochastic volatility. In particular, we focus on the valuation of insurance options with long-…