Approximating the uncertainty in portfolio optimization models with market imperfections / Pieter KlaassenDiscretized reality and spurious profits in stochastic programming models for asset/liability management / Pieter KlaassenSolving stochastic programming models for asset/liability management using iterative disaggregation / Pieter KlaassenSolving stochastic programming models for asset/liability management using iterative disaggregation / Pieter Klaassen
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The performance of multi-factor term structure models for pricing and hedging caps and swaptions / by Joost Driessen, Pieter Klaassen and Bertrand MelenbergPro-cyclicality, empirical credit cycles, and capital buffer formation / Siem Jan Koopman, André Lucas, Pieter KlaassenPro-cyclicality, empirical credit cycles, and capital buffer formation / Siem Jan Koopman, André Lucas, Pieter KlaassenDiscrete versus continuous state switching models for portfolio credit risk / André Lucas and Pieter KlaassenDiscrete versus continuous state switching models for portfolio credit risk / André Lucas, Pieter Klaassen