Kenneth Vetzal

Available identifiers

zbMath Open vetzal.kenneth-rMaRDI QIDQ1994569

List of research outcomes

Publication	Date of Publication	Type
Optimal performance of a tontine overlay subject to withdrawal constraints	2024-04-30	Paper
Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’	2023-08-07	Paper
OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION	2021-12-27	Paper
OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE	2020-08-31	Paper
Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation	2019-11-04	Paper
Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies	2019-06-03	Paper
Hedging Costs for Variable Annuities Under Regime-Switching	2018-12-21	Paper
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management	2018-11-19	Paper
An optimal stochastic control framework for determining the cost of hedging of variable annuities	2018-11-01	Paper
ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING	2017-05-16	Paper
Numerical Methods for Nonlinear PDEs in Finance	2012-01-10	Paper
https://portal.mardi4nfdi.de/entity/Q3102958	2011-11-25	Paper
Dynamic Hedging Under Jump Diffusion with Transaction Costs	2011-11-24	Paper
An object-oriented framework for valuing shout options on high-performance computer architectures	2008-10-24	Paper
Numerical Methods and Volatility Models for Valuing Cliquet Options	2007-02-15	Paper
Hedging with a correlated asset: Solution of a nonlinear pricing PDE	2007-01-22	Paper
Wireless network capacity management: a real options approach	2006-10-25	Paper
Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature	2006-01-05	Paper
Robust numerical methods for contingent claims under jump diffusion processes	2005-03-21	Paper
https://portal.mardi4nfdi.de/entity/Q4459812	2004-05-18	Paper
Convergence of numerical methods for valuing path-dependent options using interpolation	2003-12-04	Paper
Valuation of segregated funds: shout options with maturity extensions.	2003-11-16	Paper
Numerical convergence properties of option pricing PDEs with uncertain volatility	2003-01-01	Paper
Unstructured meshing for two asset barrier options	2002-09-05	Paper
A numerical PDE approach for pricing callable bonds	2002-09-05	Paper
A finite volume approach for contingent claims valuation	2002-09-04	Paper
A finite element approach to the pricing of discrete lookbacks with stochastic volatility	2002-09-04	Paper
Quadratic Convergence for Valuing American Options Using a Penalty Method	2002-04-15	Paper
Shout options: A framework for pricing contracts which can be modified by the investor	2001-10-14	Paper
Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.	2001-01-01	Paper
PDE methods for pricing barrier options	2000-10-26	Paper
Penalty methods for American options with stochastic volatility	1999-08-22	Paper
A survey of stochastic continuous time models of the term structure of interest rates	1995-09-27	Paper

Research outcomes over time

This page was built for person: Kenneth Vetzal