Similar Search Results

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

Discrete Asian barrier options

Zvan, R.; Forsyth, Peter; Vetzal, Kenneth R. - In: The journal of computational finance 3 (1999) 1, pp. 41-67

Persistent link: https://www.econbiz.de/10001517411

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

Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106

Persistent link: https://www.econbiz.de/10001449242

Convergence remedies for non-smooth payoffs in option pricing

Pooley, David M.; Vetzal, Kenneth R.; Forsyth, Peter - In: The journal of computational finance 6 (2003) 4, pp. 25-40

Persistent link: https://www.econbiz.de/10001782172

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

Management of Portfolio Depletion Risk Through Optimal Life Cycle Asset Allocation

Forsyth, Peter - 2018

Members of defined contribution (DC) pension plans must take on additional responsibilities for their investments, compared to participants in defined benefit (DB) pension plans. The transition from DB to DC plans means that more employees are faced with these responsibilities. We explore the...

Persistent link: https://www.econbiz.de/10012919020

Numerical methods and volatility models for valuing cliquet options

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

Persistent link: https://www.econbiz.de/10003396217

Robust asset allocation for long-term target-based investing

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

Persistent link: https://www.econbiz.de/10011686943

Optimal Asset Allocation for DC Pension Decumulation with a Variable Spending Rule

Forsyth, Peter - 2019

We determine the optimal asset allocation to bonds and stocks using an Annually Recalculated Virtual Annuity (ARVA) spending rule for DC pension plan decumulation. Our objective function minimizes downside withdrawal variability for a given fixed value of total expected withdrawals. The optimal...

Persistent link: https://www.econbiz.de/10012858615

Optimal asset allocation for DC pension decumulation with a variable spending rule

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 419-447

Persistent link: https://www.econbiz.de/10012243346