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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

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

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

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

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

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

PDE methods for pricing barrier options

Zvan, R.; Vetzal, K.R.; Forsyth, P.A. - In: Journal of economic dynamics & control 24 (2000) 11, pp. 1563-1590

Persistent link: https://www.econbiz.de/10006778764

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

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

Unstructured meshing for two asset barrier options

Pooley, D.M.; Forsyth, P.A.; Vetzal, K.R.; Simpson, R.B. - In: Applied mathematical finance 7 (2000) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10008217386