H. Windcliff

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies Applied Mathematical Finance	2018-09-05	Paper
Optimal trade execution: a mean quadratic variation approach Journal of Economic Dynamics and Control	2016-10-06	Paper
An object-oriented framework for valuing shout options on high-performance computer architectures Journal of Economic Dynamics and Control	2008-10-24	Paper
Numerical Methods and Volatility Models for Valuing Cliquet Options Applied Mathematical Finance	2007-02-15	Paper
Hedging with a correlated asset: Solution of a nonlinear pricing PDE Journal of Computational and Applied Mathematics	2007-01-22	Paper
The 1/<i>n</i> Pension Investment Puzzle North American Actuarial Journal	2006-01-06	Paper
Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature North American Actuarial Journal	2006-01-05	Paper
scientific article; zbMATH DE number 2065145 (Why is no real title available?)	2004-05-18	Paper
Valuation of segregated funds: shout options with maturity extensions. Insurance Mathematics & Economics	2003-11-16	Paper
Shout options: A framework for pricing contracts which can be modified by the investor Journal of Computational and Applied Mathematics	2001-10-14	Paper

Research outcomes over time

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