77 citations · 83 across the 6 of their papers we have counts for
8 papers
Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation
Thijs Kamma, Antoon Pelsser
This paper provides a dual formulation of the optimal consumption problem with internal multiplicative habit formation. In this problem, the agent derives utility from the ratio of…
Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints
Thijs Kamma, Antoon Pelsser
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the…
A Regress-Later Algorithm for Backward Stochastic Differential Equations
Kossi Gnameho, Mitja Stadje, Antoon Pelsser
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach a…
Extrapolating the term structure of interest rates with parameter uncertainty
Anne Balter, Antoon Pelsser, Peter Schotman
Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty…
Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo
Eric Beutner, Janina Schweizer, Antoon Pelsser
Many problems in financial engineering involve the estimation of unknown conditional expectations across a time interval. Often Least Squares Monte Carlo techniques are used for th…
Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
Łukasz Delong, Antoon Pelsser
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asse…