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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

Persistent link: https://www.econbiz.de/10008267471

An object-oriented framework for valuing shout options on high-performance computer architectures

Windcliff, H.; Vetzal, K.R.; Forsyth, P.A.; Verma, A.; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133

Persistent link: https://www.econbiz.de/10006764030

Optimal trade execution: A mean quadratic variation approach

Forsyth, P.A.; Kennedy, J.S.; Tse, S.T.; Windcliff, H. - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1971-1991

We propose the use of a mean quadratic variation criteria to determine an optimal trading strategy in the presence of price impact. We derive the Hamilton Jacobi Bellman (HJB) Partial Differential Equation (PDE) for the optimal strategy, assuming the underlying asset follows Geometric Brownian...

Persistent link: https://www.econbiz.de/10010580805

Optimal trade execution: A mean quadratic variation approach

Forsyth, P.A.; Kennedy, J.S.; Tse, S.T.; Windcliff, H. - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1971-1992

Persistent link: https://www.econbiz.de/10010021639

Valuation of segregated funds: shout options with maturity extensions

Windcliff, H.; Forsyth, P.A.; Vetzal, K.R. - In: Insurance / Mathematics & economics 29 (2001) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10006900666

Convergence of Numerical Methods for Valuing Path-Dependent Options Using Interpolation

Forsyth, P.A.; Vetzal, K.R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273

Persistent link: https://www.econbiz.de/10005939887

Valuation of Convertible Bonds With Credit Risk

Ayache, E.; Forsyth, P.A.; Vetzal, K.R. - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 9-29

Persistent link: https://www.econbiz.de/10005932634

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

Persistent link: https://www.econbiz.de/10005151535

Pricing methods and hedging strategies for volatility derivatives

Windcliff, H.; Forsyth, P.A.; Vetzal, K.R. - In: Journal of Banking & Finance 30 (2006) 2, pp. 409-431

Persistent link: https://www.econbiz.de/10005194422

A numerical PDE approach for pricing callable bonds

D'Halluin, Y.; Forsyth, P.A.; Vetzal, K.R.; Labahn, G. - In: Applied mathematical finance 8 (2001) 1, pp. 49

Persistent link: https://www.econbiz.de/10008216765