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ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING

International journal of theoretical and applied finance, 2017-05, Vol.20 (3), p.1750017

2017

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Robust numerical methods for contingent claims under jump diffusion processes

IMA journal of numerical analysis, 2005-01, Vol.25 (1), p.87-112

2005

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Quadratic convergence for valuing American options using a penalty method

SIAM journal on scientific computing, 2002, Vol.23 (6), p.2095-2122

2002

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Dynamic Hedging Under Jump Diffusion with Transaction Costs

Operations research, 2009-05, Vol.57 (3), p.541-559

2009

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Penalty methods for American options with stochastic volatility

Journal of computational and applied mathematics, 1998-05, Vol.91 (2), p.199-218

1998

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PDE methods for pricing barrier options

Journal of economic dynamics & control, 2000-10, Vol.24 (11), p.1563-1590

2000

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Wireless network capacity management: A real options approach

European journal of operational research, 2007, Vol.176 (1), p.584-609

2007

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Numerical convergence properties of option pricing PDEs with uncertain volatility

IMA journal of numerical analysis, 2003-04, Vol.23 (2), p.241-267

2003

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Pricing methods and hedging strategies for volatility derivatives

Journal of banking & finance, 2006-02, Vol.30 (2), p.409-431

2006

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

Quantitative finance, 2017-03, Vol.17 (3), p.335-351

2017

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

Journal of computational and applied mathematics, 2007-03, Vol.200 (1), p.86-115

2007

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Valuation of segregated funds: shout options with maturity extensions

Insurance, mathematics & economics, 2001-08, Vol.29 (1), p.1-21

2001

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Numerical Methods and Volatility Models for Valuing Cliquet Options

Applied mathematical finance., 2006-12, Vol.13 (4), p.353-386

2006

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A finite volume approach for contingent claims valuation

IMA journal of numerical analysis, 2001-07, Vol.21 (3), p.703-731

2001

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

Journal of computational and applied mathematics, 2001-09, Vol.134 (1), p.213-241

2001

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Valuation of Convertible Bonds With Credit Risk

The Journal of derivatives, 2003-10, Vol.11 (1), p.9-29

2003

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

Journal of economic dynamics & control, 2003-04, Vol.27 (6), p.1133-1161

2003

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

Applied numerical mathematics, 2001-03, Vol.36 (4), p.427-445

2001

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Managing capacity for telecommunications networks under uncertainty

IEEE/ACM transactions on networking, 2002-08, Vol.10 (4), p.579-588

2002

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Calibration and hedging under jump diffusion

Review of derivatives research, 2006-01, Vol.9 (1), p.1-35

2006

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

Review of derivatives research, 2002, Vol.5 (3), p.273

2002

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Unstructured meshing for two asset barrier options

Applied mathematical finance., 2000-03, Vol.7 (1), p.33-60

2000

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

Journal of banking & finance, 1997-02, Vol.21 (2), p.169-196

Vetzal, Kenneth R.

1997

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A numerical PDE approach for pricing callable bonds

Applied mathematical finance., 2001-03, Vol.8 (1), p.49-77

2001

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

Journal of empirical finance, 2006, Vol.13 (1), p.49-78

2006

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ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING

Robust numerical methods for contingent claims under jump diffusion processes

Quadratic convergence for valuing American options using a penalty method

Dynamic Hedging Under Jump Diffusion with Transaction Costs

Penalty methods for American options with stochastic volatility

PDE methods for pricing barrier options

Wireless network capacity management: A real options approach

Numerical convergence properties of option pricing PDEs with uncertain volatility

Pricing methods and hedging strategies for volatility derivatives

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

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

Valuation of segregated funds: shout options with maturity extensions

Numerical Methods and Volatility Models for Valuing Cliquet Options

A finite volume approach for contingent claims valuation

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

Valuation of Convertible Bonds With Credit Risk

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

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

Managing capacity for telecommunications networks under uncertainty

Calibration and hedging under jump diffusion

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

Unstructured meshing for two asset barrier options

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

A numerical PDE approach for pricing callable bonds

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

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