Heath A. Windcliff, Ph.D.
Affiliations: | 2003 | University of Waterloo, Waterloo, ON, Canada |
Area:
Computer ScienceGoogle:
"Heath Windcliff"Parents
Sign in to add mentor| Peter Forsyth | grad student | 2003 | University of Waterloo | |
| (Computational methods for valuing path -dependent derivatives.) | ||||
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Publications
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| Forsyth PA, Kennedy JS, Tse ST, et al. (2012) Optimal trade execution: A mean quadratic variation approach Journal of Economic Dynamics and Control. 36: 1971-1991 |
| 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 |
| 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 |
| Windcliff H, Boyle PP. (2004) The 1/n Pension Investment Puzzle The North American Actuarial Journal. 8: 32-45 |
| Windcliff H, Vetzal KR, Forsyth PA, et al. (2003) An object-oriented framework for valuing shout options on high-performance computer architectures Journal of Economic Dynamics and Control. 27: 1133-1161 |
| Windcliff H, Roux ML, Forsyth P, et al. (2002) Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature The North American Actuarial Journal. 6: 107-124 |
| Windcliff H, Forsyth PA, Vetzal KR. (2001) Shout options: A framework for pricing contracts which can be modified by the investor Journal of Computational and Applied Mathematics. 134: 213-241 |
| Windcliff H, Forsyth PA, Vetzal KR. (2001) Valuation of segregated funds: Shout options with maturity extensions Insurance: Mathematics and Economics. 29: 1-21 |