K. Vetzal

发表

Robust numerical methods for PDE models of Asian options

Peter A. Forsyth, Kenneth R. Vetzal, R. Zvan, 1997 .

Early Exercise Regions for Exotic Options

K. S. Tan, K. Vetzal, 1995 .

Calibration and hedging under jump diffusion

T. Coleman, P. Forsyth, Yuying Li, 2007 .

Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

P. Forsyth, K. Vetzal, G. Westmacott, 2018, North American Actuarial Journal.

ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING

Peter A. Forsyth, Kenneth R. Vetzal, P. Forsyth, 2017 .

A numerical PDE approach for pricing callable bonds

George Labahn, Peter A. Forsyth, Kenneth R. Vetzal, 2001 .

An Improved Finite Difference Approach to Fitting the Initial Term Structure

K. Vetzal, 1998 .

Derivative Pricing, Numerical Methods

K. Vetzal, 2006 .

An Object-Oriented Framework For Valuing Shout Options on High-Performance Computer Architectures

T. Coleman, P. Forsyth, K. Vetzal, 2003 .

Valuation of segregated funds: shout options with maturity extensions

P. Forsyth, K. Vetzal, H. Windcliff, 2001 .

PDE methods for pricing barrier options

P. Forsyth, R. Zvan, K. Vetzal, 2000 .

Derivative Pricing , Numerical Methods

K. Vetzal, 2022 .

PDE methods for pricing barrier options q

P. Forsyth, R. Zvan, K. Vetzal, 2022 .

Robust numerical methods for contingent claims under jump diffusion processes

P. Forsyth, K. Vetzal, Y. d'Halluin, 2005 .

Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers

P. Forsyth, K. Vetzal, 2001 .

Numerical Methods for Nonlinear PDEs in Finance

P. Forsyth, K. Vetzal, 2012 .

Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

P. Forsyth, K. Vetzal, G. Westmacott, 2019, North American Actuarial Journal.

Management of Withdrawal Risk Through Optimal Life Cycle Asset Allocation

P. Forsyth, K. Vetzal, G. Westmacott, 2018 .

Convergence of numerical methods for valuing path-dependent options using interpolation

Peter A. Forsyth, Kenneth R. Vetzal, R. Zvan, 2002 .

Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

Peter Forsyth, P. Forsyth, K. Vetzal, 2002 .

A survey of stochastic continuous time models of the term structure of interest rates

Kenneth R. Vetzal, K. Vetzal, 1994 .

Shout options: a framework for pricing contracts which can be modified by the investor

P. Forsyth, K. Vetzal, H. Windcliff, 2001 .

Numerical Methods and Volatility Models for Valuing Cliquet Options

P. Forsyth, K. Vetzal, H. Windcliff, 2006 .

65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs 65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

K. Vetzal, G. Labahn, 2021 .

Optimal Asset Allocation for Retirement Savings: Deterministic vs. Time Consistent Adaptive Strategies

P. Forsyth, K. Vetzal, 2018 .

Cash flow volatility and corporate bond yield spreads

K. Vetzal, A. Huang, Alan V. S. Douglas, 2012 .

An optimal stochastic control framework for determining the cost of hedging of variable annuities

Peter A. Forsyth, Kenneth R. Vetzal, P. Forsyth, 2014 .

Cash flow volatility and corporate bond yield spreads

K. Vetzal, A. Huang, Alan V. S. Douglas, 2014, Review of Quantitative Finance and Accounting.

Valuing Guarantees on Spending Funded by Endowments ∗

P. Forsyth, K. Vetzal, Y. Huang, 2006 .

The effect of modelling parameters on the value of GMWB guarantees

Peter A. Forsyth, Kenneth R. Vetzal, P. Forsyth, 2008 .

The Pension Challenge Risk Transfers and Retirement Income Security

P. Forsyth, K. Vetzal, H. Windcliff, 2007 .

Penalty methods for American options with stochastic volatility

Peter A. Forsyth, Kenneth R. Vetzal, R. Zvan, 1998 .

A finite element approach to the pricing of discrete lookbacks with stochastic volatility

Peter A. Forsyth, Kenneth R. Vetzal, R. Zvan, 1999 .

Stochastic volatility, movements in short term interest rates, and bond option values

K. Vetzal, 1997 .

Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies

P. Forsyth, K. Vetzal, 2019 .

Hedging Costs for Variable Annuities Under Regime-Switching

Peter A. Forsyth, Kenneth R. Vetzal, Parsiad Azimzadeh, 2014 .

Quadratic Convergence for Valuing American Options Using a Penalty Method

Peter A. Forsyth, Kenneth R. Vetzal, P. Forsyth, 2001, SIAM J. Sci. Comput..

Numerical convergence properties of option pricing PDEs with uncertain volatility

Peter A. Forsyth, Kenneth R. Vetzal, David M. Pooley, 2003 .

A finite volume approach for contingent claims valuation

Peter A. Forsyth, Kenneth R. Vetzal, R. Zvan, 2001 .

Valuation of Convertible Bonds With Credit Risk

Peter A. Forsyth, Kenneth R. Vetzal, P. Forsyth, 2003 .

The 4 percent Strategy Revisited: A Pre-Commitment Optimal Mean-Variance Approach to Wealth Management

Peter Forsyth, Duy-Minh Dang, P. Forsyth, 2016 .

The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories

Kenneth R. Vetzal, Duane B. Kennedy, K. Vetzal, 2006 .

Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’

P. Forsyth, K. Vetzal, 2022, Applied Mathematical Finance.

Are target date funds dinosaurs? Failure to adapt can lead to extinction

P. Forsyth, Yuying Li, K. Vetzal, 2017, 1705.00543.

Pricing methods and hedging strategies for volatility derivatives

Peter Forsyth, Kenneth R. Vetzal, P. Forsyth, 2006 .

Hedging with a correlated asset: Solution of a nonlinear pricing PDE

Peter A. Forsyth, Kenneth R. Vetzal, P. Forsyth, 2007 .

Dynamic Hedging Under Jump Diffusion with Transaction Costs

Peter A. Forsyth, Kenneth R. Vetzal, J. S. Kennedy, 2009, Oper. Res..

Defined Contribution Pension Plans: Who Has Seen the Risk?

P. Forsyth, K. Vetzal, 2019, Journal of Risk and Financial Management.

Wireless network capacity management: A real options approach

Peter A. Forsyth, Yann d'Halluin, Kenneth R. Vetzal, 2007, Eur. J. Oper. Res..