Raoul Pietersz

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We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately risk-managed with single factor models. Moreover, we show that the impact of smile can be much larger(More)
Geometric optimization algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show numerically that our methods outperform the existing methods in the literature. The algorithm is shown theoretically to be globally convergent to a local minimum, with a quadratic local rate of convergence. The connection with the Lagrange(More)
This paper shows that the forward rates process discretized by a single time step together with a separability assumption on the volatility function allows for representation by a low-dimensional Markov process. This in turn leads to efficient pricing by for example finite differences. We then develop a discretization based on the Brownian bridge especially(More)
This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of forward swap rates spanning a given tenor structure. We relate this concept to results in graph theory by showing that a set is admissible if and only if the associated graph is a tree. This connection enables us to enumerate(More)
This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of forward swap rates spanning a given tenor structure. We relate this concept to results in graph theory by showing that a set is admissible if and only if the associated graph is a tree. This connection enables us to enumerate(More)
Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. In this paper, we introduce arbitrage-free constant maturity swap (CMS) market models and generic market models featuring forward rates that span periods other than the classical LIBOR and swap periods. We develop generic(More)
In response to concern about Yersinia enterocolitica contamination of blood products, we have studied the effects on Y enterocolitica growth of holding whole blood at 22 degrees C for 20 h and then removing leucocytes. Thirty pools of three bags of blood were inoculated with Y enterocolitica (2 x 10(1)-3 x 10(4) colony-forming units/ml). One bag in each(More)
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