Pricing Models for Bermudan-Style Interest Rate Derivatives

Raoul Pietersz was born on 12 June 1978 in Rotterdam, The Netherlands. In 2000, he obtained a Certificate of Advanced Studies in Mathematics (Mathematical Tripos Part III), with distinction, from the University of Cambridge. Over the academic year 1999-2000, he was awarded a title of Cambridge European Trust Scholar, and a retrospective title of Scholar at Peterhouse, Cambridge. In the summer of 2000, he completed internships at UBS Warburg and Dresdner Kleinwort Wasserstein, in London. In 2001, he obtained a first class M.Sc. degree in Mathematics from Leiden University. His Master’s thesis entitled “The LIBOR market model”was completed during an internship at ABN AMRO Bank, in Amsterdam. Over the period 1997-2001, he was awarded the Shell International Scholarship for undergraduate studies. His Ph.D. research, under supervision of Antoon Pelsser and Ton Vorst, focuses on the efficient valuation and risk management of interest rate derivatives. He has published articles in The Journal of Computational Finance, The Journal of Derivatives, Quantitative Finance, Risk Magazine and Wilmott Magazine. He has presented his research at various international conferences. His teaching experience includes lecturing taught Master courses on derivatives at the Rotterdam School of Management. Since the start of the Ph.D. period, he has held a part-time position at ABN AMRO Bank, initially at Quantitative Risk Analytics, Risk Management. Since July 2004, he is a Senior Derivatives Researcher, developing front-office pricing models for interest rate derivatives, at Product Development Group, Quantitative Analytics, as part of Structured Derivatives.

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