Search Results - person:"Vetzal, K.R."

Robust asset allocation for long-term target-based investing

Forsyth, Peter A.; Vetzal, Kenneth R. - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32

Cash flow volatility and corporate bond yield spreads

Douglas, Alan V. S.; Huang, Alan Guoming; Vetzal, Kenneth R. - In: Review of quantitative finance and accounting 46 (2016) 2, pp. 417-458

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

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53

Simulations for hedging financial contracts with optimal decisions

Windcliff, H. (contributor); Forsyth, Peter A. (contributor) - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010

Dynamic Hedging Under Jump Diffusion with Transaction Costs

Kennedy, J.S.; Forsyth, P.A.; Vetzal, K.R. - In: Operations research : the journal of the Operations … 57 (2009) 3, pp. 541-559

Wireless network capacity management: A real options approach

d'Halluin, Y.; Forsyth, P.A.; Vetzal, K.R. - In: European Journal of Operational Research 176 (2007) 1, pp. 584-609

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

Kennedy, Duane B.; Sivakumar, Ranjini; Vetzal, Kenneth R. - In: Journal of empirical finance 13 (2006) 1, pp. 49-78

Pricing methods and hedging strategies for volatility derivatives

Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of banking & finance 30 (2006) 2, pp. 409-431

Numerical methods and volatility models for valuing cliquet options

Windcliff, H. A.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 13 (2006) 4, pp. 353-386

Numerical Methods and Volatility Models for Valuing Cliquet Options

Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R. - In: Applied Mathematical Finance 13 (2006) 4, pp. 353-386

Several numerical issues for valuing cliquet options using PDE methods are investigated. The use of a running sum of returns formulation is compared to an average return formulation. Methods for grid construction, interpolation of jump conditions, and application of boundary conditions are...