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1
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://www.econbiz.de/10009701897
Saved in:
2
Calibration and hedging under jump diffusion
He, Changhong
;
Kennedy, J. S.
;
Coleman, T. F.
;
Forsyth, …
- In:
Review of derivatives research
9
(
2006
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
Saved in:
3
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://www.econbiz.de/10001734585
Saved in:
4
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://www.econbiz.de/10009153080
Saved in:
5
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://www.econbiz.de/10003291280
Saved in:
6
Two stage decumulation strategies for DC plan investors
Forsyth, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012650200
Saved in:
7
Optimal dynamic asset allocation for DC plan accumulation/decumulation : Ambition-CVAR
Forsyth, Peter
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 230-245
Persistent link: https://www.econbiz.de/10012294127
Saved in:
8
A stochastic control approach to defined contribution plan decumulation : "the nastiest, hardest problem in finance"
Forsyth, Peter
- In:
North American actuarial journal : NAAJ ; leading the …
26
(
2022
)
2
,
pp. 227-251
Persistent link: https://www.econbiz.de/10013353158
Saved in:
9
Short term decumulation strategies for underspending retirees
Forsyth, Peter
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 56-74
Persistent link: https://www.econbiz.de/10013271956
Saved in:
10
PDE methods for pricing barrier options
Zvan, R.
;
Vetzal, Kenneth R.
;
Forsyth, Peter
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1563-1590
Persistent link: https://www.econbiz.de/10001508750
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