Raoul Pietersz

Learn More
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)
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)
  • 1