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K.R. Vetzal

27 works· latest 2019· 1 institutionscluster: provisional

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Citations2,594

Works here27

Most cited in this library

Quadratic Convergence for Valuing American Options Using a Penalty Method2002 · 327 citations
Penalty methods for American options with stochastic volatility1998 · 290 citations
Robust numerical methods for PDE models of Asian options1997 · 217 citations
PDE methods for pricing barrier options2000 · 195 citations
Convergence remedies for non-smooth payoffs in option pricing2003 · 155 citations

Works

27 shown

Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies

Applied Mathematical Finance·2019·2 authors

31citations

Cash flow volatility and corporate bond yield spreads

Review of Quantitative Finance and Accounting·2014·3 authors·Open access

60citations

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

Journal of Economic Dynamics and Control·2014·2 authors

53citations

Numerical Methods for Nonlinear PDEs in Finance

Springer eBooks·2011·2 authors·chapter

43citations

Dynamic Hedging Under Jump Diffusion with Transaction Costs

Operations Research·2009·3 authors

42citations

The effect of modelling parameters on the value of GMWB guarantees

Insurance Mathematics and Economics·2008·2 authors

103citations

Calibration and hedging under jump diffusion

Review of Derivatives Research·2007·4 authors

91citations

Numerical Methods and Volatility Models for Valuing Cliquet Options

Applied Mathematical Finance·2006·3 authors

34citations

Pricing methods and hedging strategies for volatility derivatives

Journal of Banking & Finance·2005·3 authors

73citations

Analysis of the stability of the linear boundary condition for the Black–Scholes equation

The Journal of Computational Finance·2004·3 authors

118citations

Valuation of Convertible Bonds With Credit Risk

The Journal of Derivatives·2003·3 authors

143citations

Convergence remedies for non-smooth payoffs in option pricing

The Journal of Computational Finance·2003·3 authors

155citations

The Valuation of Convertible Bonds With Credit Risk

eCommons (Cornell University)·2003·3 authors·report

47citations

Negative coefficients in two-factor option pricing models

The Journal of Computational Finance·2003·3 authors

42citations

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

Review of Derivatives Research·2002·3 authors

77citations

Managing capacity for telecommunications networks under uncertainty

IEEE/ACM Transactions on Networking·2002·3 authors

66citations

Quadratic Convergence for Valuing American Options Using a Penalty Method

SIAM Journal on Scientific Computing·2002·2 authors

327citations

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

48citations

Valuation of segregated funds: shout options with maturity extensions

Insurance Mathematics and Economics·2001·3 authors

48citations

A numerical PDE approach for pricing callable bonds

Applied Mathematical Finance·2001·4 authors·Open access

47citations

PDE methods for pricing barrier options

Journal of Economic Dynamics and Control·2000·3 authors

195citations

Discrete Asian barrier options

The Journal of Computational Finance·1999·3 authors

68citations

Penalty methods for American options with stochastic volatility

Journal of Computational and Applied Mathematics·1998·3 authors·Open access

290citations

Robust numerical methods for PDE models of Asian options

The Journal of Computational Finance·1997·3 authors

217citations

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

Insurance Mathematics and Economics·1994·1 author

35citations