Raoul Pietersz

Research

Publications

A comparison of single-factor Markov-functional and multi-factor market models
R. Pietersz and A.A.J. Pelsser
Review of Derivatives Research, 2010.

Efficient rank reduction of correlation matrices
I. Grubisic and R. Pietersz
Linear Algebra and its Applications 422, pp. 629-653, 2007.

Generic market models
R. Pietersz and M. van Regenmortel
Finance and Stochastics 10 , pp. 507-528, 2006.

Bridging Brownian LIBOR
R. Pietersz, A.A.J. Pelsser and M. van Regenmortel
Wilmott Magazine 18, pp. 98-103, 2005.

Pricing Models for Bermudan-Style Interest Rate Derivatives
R. Pietersz
PhD Thesis , 2005.

Fast drift approximated pricing in the BGM model
R. Pietersz, A.A.J. Pelsser and M. van Regenmortel
Journal of Computational Finance 8(1), pp. 93-124, 2004.

Risk-managing Bermudan swaptions in a LIBOR model
R. Pietersz and A.A.J. Pelsser
Journal of Derivatives 11(3), pp. 51-62, 2004.

Rank reduction of correlation matrices by majorization
R. Pietersz and P.J.F. Groenen
Quantitative Finance 4(6), pp. 649-662, 2004.

A major LIBOR fit
R. Pietersz and P.J.F. Groenen
Risk Magazine, December issue, p. 102, 2004.

Swap vega in BGM: pitfalls and alternatives
R. Pietersz and A.A.J. Pelsser
Risk Magazine, March issue, pp. 91-93, 2004.
Reappeared in: N. Dunbar, ed., 'Derivatives Trading and Option Pricing', Risk Books, London, UK, pp. 277-285, 2005.

The LIBOR market model
R. Pietersz
Master's thesis, 2001.

Source code

Major, a MATLAB template implementing majorization for rank reduction of correlation matrices

LRCM MIN, a MATLAB template implementing geometric programming for efficient rank reduction of correlation matrices. LRCM MIN is a modification of SG MIN written by Edelman & Lippert.