77 citations · 83 across the 6 of their papers we have counts for
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q-fin.CP2013
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…
q-fin.CP2013★ 4 cited
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…