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

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...

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

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

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