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1

ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING

FORSYTH, P. A., VETZAL, K. R.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 1.65 MB

english, 2017

2

Valuation of Convertible Bonds With Credit Risk

Ayache, E, Forsyth, P.A, Vetzal, Kenneth R

Journal:

The Journal of Derivatives

Year:

2003

Language:

english

File:

PDF, 287 KB

english, 2003

3

PDE methods for pricing barrier options

R. Zvan, K.R. Vetzal, P.A. Forsyth

Journal:

Journal of Economic Dynamics and Control

Year:

2000

Language:

english

File:

PDF, 288 KB

english, 2000

4

Dynamic mean variance asset allocation: Tests for robustness

Forsyth, Peter A., Vetzal, Kenneth R.

Journal:

International Journal of Financial Engineering

Year:

2017

Language:

english

File:

PDF, 786 KB

english, 2017

5

Early Exercise Regions for Exotic Options

Tan, Ken Seng, Vetzal, Kenneth R

Journal:

The Journal of Derivatives

Year:

1995

Language:

english

File:

PDF, 2.99 MB

english, 1995

6

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

Forsyth, P.A., Vetzal, K.R., Zvan, R.

Journal:

Applied Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 354 KB

english, 1999

7

The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

Dang, Duy-Minh, Forsyth, P. A., Vetzal, K. R.

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 1.17 MB

english, 2017

8

Pricing methods and hedging strategies for volatility derivatives

H. Windcliff, P.A. Forsyth, K.R. Vetzal

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 274 KB

english, 2006

9

Dynamic Hedging Under Jump Diffusion with Transaction Costs

Kennedy, J. S., Forsyth, P. A., Vetzal, K. R.

Journal:

Operations Research

Year:

2009

Language:

english

File:

PDF, 377 KB

english, 2009

10

Target Wealth: The Evolution of Target Date Funds

Forsyth, Peter, Vetzal, Kenneth R., Westmacott, Graham

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 471 KB

english, 2017

11

Penalty methods for American options with stochastic volatility

R. Zvan, P.A. Forsyth, K.R. Vetzal

Journal:

Journal of Computational and Applied Mathematics

Year:

1998

Language:

english

File:

PDF, 1008 KB

english, 1998

12

Calibration and hedging under jump diffusion

C. He, J. S. Kennedy, T. F. Coleman, P. A. Forsyth, Y. Li, K. R. Vetzal

Journal:

Review of Derivatives Research

Year:

2006

Language:

english

File:

PDF, 789 KB

english, 2006

13

Stochastic volatility, movements in short term interest rates, and bond option values

Kenneth R. Vetzal

Journal:

Journal of Banking & Finance

Year:

1997

Language:

english

File:

PDF, 1.52 MB

english, 1997

14

Dynamic Hedging Under Jump Diffusion with Transaction Costs

J. S. Kennedy, P. A. Forsyth and K. R. Vetzal

Journal:

Operations Research

Year:

2009

Language:

english

File:

PDF, 2.34 MB

english, 2009

15

Defined Contribution Pension Plans: Who Has Seen the Risk?

Forsyth, Peter A., Vetzal, Kenneth R.

Journal:

Journal of Risk and Financial Management

Year:

2019

Language:

english

File:

PDF, 603 KB

english, 2019

16

Valuation of segregated funds: shout options with maturity extensions

H. Windcliff, P.A. Forsyth, K.R. Vetzal

Journal:

Insurance: Mathematics and Economics

Year:

2001

Language:

english

File:

PDF, 190 KB

english, 2001

17

Numerical Methods and Volatility Models for Valuing Cliquet Options

Windcliff, H. A., Forsyth, P. A., Vetzal, K. R.

Journal:

Applied Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 705 KB

english, 2006

18

Cash Flow Volatility and Corporate Bond Yield Spreads

Douglas, Alan V. S., Huang, Alan Guoming, Vetzal, Kenneth R.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 284 KB

english, 2012

19

Quadratic Convergence for Valuing American Options Using a Penalty Method

Forsyth, P. A., Vetzal, K. R.

Journal:

SIAM Journal on Scientific Computing

Year:

2002

Language:

english

File:

PDF, 404 KB

english, 2002

20

Unstructured meshing for two asset barrier options

Pooley, D. M., Forsyth, P. A., Vetzal, K. R., Simpson, R. B.

Journal:

Applied Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 710 KB

english, 2000

21

OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE

Forsyth, Peter A., Vetzal, Kenneth R., Westmacott, Graham

Journal:

Year:

2020

File:

PDF, 473 KB

2020

22

The effect of modelling parameters on the value of GMWB guarantees

Z. Chen, K. Vetzal, P.A. Forsyth

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 728 KB

english, 2008

23

A numerical PDE approach for pricing callable bonds

D'Halluin, Y., Forsyth, P.A., Vetzal, K.R., Labahn, G.

Journal:

Applied Mathematical Finance

Year:

2001

Language:

english

File:

PDF, 661 KB

english, 2001

24

Shout options: a framework for pricing contracts which can be modified by the investor

H. Windcliff, P.A. Forsyth, K.R. Vetzal

Journal:

Journal of Computational and Applied Mathematics

Year:

2001

Language:

english

File:

PDF, 339 KB

english, 2001

25

Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers

P.A. Forsyth, K.R. Vetzal

Journal:

Applied Numerical Mathematics

Year:

2001

Language:

english

File:

PDF, 227 KB

english, 2001

26

Investment Mathematics and Statisticsby Andrew Adams; Della Bloomfield; Philip Booth; Peter England

Review by: K. R. Vetzal

Journal:

British Actuarial Journal

Year:

1997

Language:

english

File:

PDF, 298 KB

english, 1997

27

The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories

Duane B. Kennedy, Ranjini Sivakumar, Kenneth R. Vetzal

Journal:

Journal of Empirical Finance

Year:

2006

Language:

english

File:

PDF, 232 KB

english, 2006

28

Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

Forsyth, Peter A., Vetzal, Kenneth R., Westmacott, Graham

Journal:

North American Actuarial Journal

Year:

2019

File:

PDF, 828 KB

2019

29

Investment Mathematics and Statistics. By Andrew Adams, Della Bloomfield, Philip Booth and Peter England (Graham & Trotman, 1993) £56

Journal:

British Actuarial Journal

Year:

1997

Language:

english

File:

PDF, 283 KB

english, 1997

30

An Improved Finite Difference Approach to Fitting the Initial Term Structure

Vetzal, Kenneth R

Journal:

The Journal of Fixed Income

Year:

1998

Language:

english

File:

PDF, 4.28 MB

english, 1998

31

Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

Windcliff, Heath, Le Roux, Martin, Forsyth, Peter, Vetzal, Kenneth

Journal:

North American Actuarial Journal

Year:

2002

Language:

english

File:

PDF, 518 KB

english, 2002

32

Managing capacity for telecommunications networks under uncertainty

d'Halluin, Y., Forsyth, P.A., Vetzal, K.R.

Journal:

IEEE/ACM Transactions on Networking

Year:

2002

Language:

english

File:

PDF, 341 KB

english, 2002

33

A survey of stochastic continuous time models of the term structure of interest rates

Kenneth R. Vetzal

Journal:

Insurance: Mathematics and Economics

Year:

1994

Language:

english

File:

PDF, 2.15 MB

english, 1994

34

An optimal stochastic control framework for determining the cost of hedging of variable annuities

Forsyth, Peter, Vetzal, Kenneth

Journal:

Journal of Economic Dynamics and Control

Year:

2014

Language:

english

File:

PDF, 526 KB

english, 2014

35

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

H. Windcliff, K.R. Vetzal, P.A. Forsyth, A. Verma, T.F. Coleman

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 342 KB

english, 2003

36

Cash flow volatility and corporate bond yield spreads

Douglas, Alan V. S., Huang, Alan G., Vetzal, Kenneth R.

Journal:

Review of Quantitative Finance and Accounting

Year:

2016

Language:

english

File:

PDF, 484 KB

english, 2016

37

[IEEE IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) - New York, NY, USA (26-28 March 2000)] Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) - Numerical methods for pricing callable bonds

d'Halluin, Y., Forsyth, P.A., Vetzal, K.R., Labahn, G.

Year:

2000

Language:

english

File:

PDF, 285 KB

english, 2000

38

Wireless network capacity management: A real options approach

Y. d’Halluin, P.A. Forsyth, K.R. Vetzal

Journal:

European Journal of Operational Research

Year:

2007

Language:

english

File:

PDF, 643 KB

english, 2007

39

Hedging with a correlated asset: Solution of a nonlinear pricing PDE

H. Windcliff, J. Wang, P.A. Forsyth, K.R. Vetzal

Journal:

Journal of Computational and Applied Mathematics

Year:

2007

Language:

english

File:

PDF, 401 KB

english, 2007

40

Convergence of numerical methods for valuing path-dependent options using interpolation

P. A. Forsyth, K. R. Vetzal, R. Zvan

Journal:

Review of Derivatives Research

Year:

2002

Language:

english

File:

PDF, 349 KB

english, 2002

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