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An object-oriented framework for valuing shout options on high-performance computer architectures
Windcliff, H.; Vetzal, Kenneth R.; Forsyth, Peter; Verma, A. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133-1161
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001734585
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Simulations for hedging financial contracts with optimal decisions
Windcliff, H.; Forsyth, Peter; Vetzal, Kenneth R.; … - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009153080
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Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies
Tse, S. T.; Forsyth, Peter; Kennedy, J. S.; Windcliff, H. - In: Applied mathematical finance 20 (2013) 5/6, pp. 415-449
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010235600
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Optimal trade execution : a mean quadratic variation approach
Forsyth, Peter; Kennedy, J. S.; Tse, S. T.; Windcliff, H. - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1971-1991
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009701897
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Pricing methods and hedging strategies for volatility derivatives
Windcliff, H.; Forsyth, Peter; Vetzal, Kenneth R. - In: Journal of banking & finance 30 (2006) 2, pp. 409-431
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003291280