Markov-functional interest rate models. - Phil Hunt; Joanne Kennedy; Antoon Pelsser (Finance Stochastics, 2000)

Pricing double barrier options using Laplace transforms. - Antoon Pelsser (Finance Stochastics, 2000)

Modeling non-monotone risk aversion using SAHARA utility functions. - An Chen; Antoon Pelsser; Michel Vellekoop 001 (J. Econ. Theory, 2011)

A Monte Carlo method for backward stochastic differential equations with Hermite martingales. - Antoon Pelsser; Kossi Gnameho (Monte Carlo Methods Appl., 2019)

Pricing and hedging in incomplete markets with model uncertainty. - Anne G. Balter; Antoon Pelsser (Eur. J. Oper. Res., 2020)

Quantifying ambiguity bounds via time-consistent sets of indistinguishable models. - Anne G. Balter; Antoon Pelsser (Syst. Control. Lett., 2021)

Near-optimal asset allocation in financial markets with trading constraints. - Thijs Kamma; Antoon Pelsser (Eur. J. Oper. Res., 2022)

A gradient method for high-dimensional BSDEs. - Kossi Gnameho; Mitja Stadje; Antoon Pelsser (Monte Carlo Methods Appl., 2024)