| Publication | Date of Publication | Type |
|---|
Optimal performance of a tontine overlay subject to withdrawal constraints
ASTIN Bulletin | 2024-04-30 | Paper |
Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
Applied Mathematical Finance | 2023-08-07 | Paper |
Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
ASTIN Bulletin | 2021-12-27 | Paper |
Optimal asset allocation for DC pension decumulation with a variable spending rule
ASTIN Bulletin | 2020-08-31 | Paper |
Management of portfolio depletion risk through optimal life cycle asset allocation
North American Actuarial Journal | 2019-11-04 | Paper |
Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
Applied Mathematical Finance | 2019-06-03 | Paper |
Hedging costs for variable annuities under regime-switching
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
Quantitative Finance | 2018-11-19 | Paper |
An optimal stochastic control framework for determining the cost of hedging of variable annuities
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Robust asset allocation for long-term target-based investing
International Journal of Theoretical and Applied Finance | 2017-05-16 | Paper |
Calibration and hedging under jump diffusion
Review of Derivatives Research | 2013-10-31 | Paper |
Numerical methods for nonlinear PDEs in finance
Handbook of Computational Finance | 2012-01-10 | Paper |
| Valuing guarantees on spending funded by endowments | 2011-11-25 | Paper |
Dynamic hedging under jump diffusion with transaction costs
Operations Research | 2011-11-24 | 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 |
Wireless network capacity management: a real options approach
European Journal of Operational Research | 2006-10-25 | Paper |
Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
North American Actuarial Journal | 2006-01-05 | Paper |
Robust numerical methods for contingent claims under jump diffusion processes
IMA Journal of Numerical Analysis | 2005-03-21 | Paper |
| scientific article; zbMATH DE number 2065145 (Why is no real title available?) | 2004-05-18 | Paper |
Convergence of numerical methods for valuing path-dependent options using interpolation
Review of Derivatives Research | 2003-12-04 | Paper |
Valuation of segregated funds: shout options with maturity extensions.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Numerical convergence properties of option pricing PDEs with uncertain volatility
IMA Journal of Numerical Analysis | 2003-01-01 | Paper |
A numerical PDE approach for pricing callable bonds
Applied Mathematical Finance | 2002-09-05 | Paper |
Unstructured meshing for two asset barrier options
Applied Mathematical Finance | 2002-09-05 | Paper |
A finite volume approach for contingent claims valuation
IMA Journal of Numerical Analysis | 2002-09-04 | Paper |
A finite element approach to the pricing of discrete lookbacks with stochastic volatility
Applied Mathematical Finance | 2002-09-04 | Paper |
Quadratic convergence for valuing American options using a penalty method
SIAM Journal on Scientific Computing | 2002-04-15 | 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 |
Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
Applied Numerical Mathematics | 2001-01-01 | Paper |
PDE methods for pricing barrier options
Journal of Economic Dynamics and Control | 2000-10-26 | Paper |
Penalty methods for American options with stochastic volatility
Journal of Computational and Applied Mathematics | 1999-08-22 | Paper |
A survey of stochastic continuous time models of the term structure of interest rates
Insurance Mathematics & Economics | 1995-09-27 | Paper |
