**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.