Kenneth Vetzal
Affiliations: | University of Waterloo, Waterloo, ON, Canada |
Area:
Computer ScienceGoogle:
"Kenneth Vetzal"
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Publications
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| Dang DM, Forsyth PA, Vetzal KR. (2016) The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management Quantitative Finance. 1-17 |
| Forsyth P, Vetzal K. (2014) An optimal stochastic control framework for determining the cost of hedging of variable annuities Journal of Economic Dynamics and Control. 44: 29-53 |
| Azimzadeh P, Forsyth PA, Vetzal KR. (2014) Hedging costs for variable annuities under regime-switching International Series in Operations Research and Management Science. 209: 133-166 |
| Chen Z, Vetzal K, Forsyth PA. (2008) The effect of modelling parameters on the value of GMWB guarantees Insurance: Mathematics and Economics. 43: 165-173 |
| Windcliff H, Wang J, Forsyth PA, et al. (2007) Hedging with a correlated asset: Solution of a nonlinear pricing PDE Journal of Computational and Applied Mathematics. 200: 86-115 |
| Windcliff HA, Forsyth PA, Vetzal KR. (2006) Numerical methods and volatility models for valuing cliquet options Applied Mathematical Finance. 13: 353-386 |
| Windcliff H, Forsyth PA, Vetzal KR. (2006) Pricing methods and hedging strategies for volatility derivatives Journal of Banking and Finance. 30: 409-431 |
| D'Halluin Y, Forsyth PA, Vetzal KR. (2005) Robust numerical methods for contingent claims under jump diffusion processes Ima Journal of Numerical Analysis. 25: 87-112 |
| Windcliff H, Forsyth P, Vetzal K. (2004) Analysis of the stability of the linear boundary condition for the Black–Scholes equation Journal of Computational Finance. 8: 65-92 |
| Zvan R, Forsyth P, Vetzal K. (2003) Negative coefficients in two-factor option pricing models Journal of Computational Finance. 7: 37-73 |