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Heath A. Windcliff · Study
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Author
Heath A. Windcliff
9 works
· latest 2013
· 2 institutions
cluster: provisional
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9
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9
Citations
633
Works here
9
01
04
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12
13
Most cited in this library
Optimal trade execution: A mean quadratic variation approach
2012 · 160 citations
Analysis of the stability of the linear boundary condition for the Black–Scholes equation
2004 · 118 citations
The 1/n Pension Investment Puzzle
2004 · 85 citations
Pricing methods and hedging strategies for volatility derivatives
2005 · 73 citations
Valuation of segregated funds: shout options with maturity extensions
2001 · 48 citations
Works
9 shown
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
Applied Mathematical Finance
·
2013
·
4 authors
42
citations
Optimal trade execution: A mean quadratic variation approach
Journal of Economic Dynamics and Control
·
2012
·
4 authors
160
citations
Numerical Methods and Volatility Models for Valuing Cliquet Options
Applied Mathematical Finance
·
2006
·
3 authors
34
citations
Hedging with a correlated asset: Solution of a nonlinear pricing PDE
Journal of Computational and Applied Mathematics
·
2006
·
4 authors
·
Open access
25
citations
Pricing methods and hedging strategies for volatility derivatives
Journal of Banking & Finance
·
2005
·
3 authors
73
citations
The 1/n Pension Investment Puzzle
North American Actuarial Journal
·
2004
·
2 authors
85
citations
Analysis of the stability of the linear boundary condition for the Black–Scholes equation
The Journal of Computational Finance
·
2004
·
3 authors
118
citations
Shout options: a framework for pricing contracts which can be modified by the investor
Journal of Computational and Applied Mathematics
·
2001
·
3 authors
·
Open access
48
citations
Valuation of segregated funds: shout options with maturity extensions
Insurance Mathematics and Economics
·
2001
·
3 authors
48
citations