| Publication | Date of Publication | Type |
|---|
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark
Quantitative Finance | 2026-04-15 | Paper |
Optimal multi-period leverage-constrained portfolios: a neural network approach
Journal of Economic Dynamics & Control | 2025-12-01 | Paper |
A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
Applied Mathematical Finance | 2025-09-03 | Paper |
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
Quantitative Finance | 2024-08-26 | Paper |
Across-time risk-aware strategies for outperforming a benchmark
European Journal of Operational Research | 2024-06-14 | Paper |
Optimal performance of a tontine overlay subject to withdrawal constraints
ASTIN Bulletin | 2024-04-30 | Paper |
BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
International Journal of Theoretical and Applied Finance | 2024-01-23 | Paper |
Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
Applied Mathematical Finance | 2023-08-07 | Paper |
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Optimal asset allocation for outperforming a stochastic benchmark target
Quantitative Finance | 2022-09-30 | Paper |
A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance''}
North American Actuarial Journal | 2022-07-20 | Paper |
Short term decumulation strategies for underspending retirees
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
ASTIN Bulletin | 2021-12-27 | Paper |
Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
International Journal of Theoretical and Applied Finance | 2021-10-20 | Paper |
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
European Journal of Operational Research | 2021-06-03 | Paper |
Two stage decumulation strategies for dc plan investors
International Journal of Theoretical and Applied Finance | 2021-06-01 | Paper |
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Representation learning for dynamic graphs: a survey
(available as arXiv preprint) | 2020-10-05 | Paper |
| Representation learning for dynamic graphs: a survey | 2020-10-05 | Paper |
Optimal asset allocation for DC pension decumulation with a variable spending rule
ASTIN Bulletin | 2020-08-31 | Paper |
Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
SIAM Journal on Financial Mathematics | 2019-11-22 | 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 |
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Hedging costs for variable annuities under regime-switching
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
Insurance Mathematics & Economics | 2018-11-19 | 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 |
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
Applied Mathematical Finance | 2018-09-05 | Paper |
Robust asset allocation for long-term target-based investing
International Journal of Theoretical and Applied Finance | 2017-05-16 | Paper |
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
European Journal of Operational Research | 2016-10-07 | Paper |
Optimal trade execution: a mean quadratic variation approach
Journal of Economic Dynamics and Control | 2016-10-06 | Paper |
Weakly chained matrices, policy iteration, and impulse control
SIAM Journal on Numerical Analysis | 2016-05-10 | Paper |
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
Applied Numerical Mathematics | 2016-03-09 | Paper |
Convergence of the embedded mean-variance optimal points with discrete sampling
Numerische Mathematik | 2016-02-17 | Paper |
The existence of optimal bang-bang controls for GMxB contracts
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
Applied Numerical Mathematics | 2014-10-31 | Paper |
A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
Journal of Scientific Computing | 2014-10-10 | Paper |
Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
Numerical Methods for Partial Differential Equations | 2014-04-08 | Paper |
Calibration and hedging under jump diffusion
Review of Derivatives Research | 2013-10-31 | Paper |
Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance
SIAM Journal on Numerical Analysis | 2012-10-31 | Paper |
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
Numerische Mathematik | 2012-09-19 | Paper |
Comparison of mean variance like strategies for optimal asset allocation problems
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
IMA Journal of Numerical Analysis | 2012-02-25 | Paper |
Methods for pricing American options under regime switching
SIAM Journal on Scientific Computing | 2012-02-23 | Paper |
Public goods games with reward in finite populations
Journal of Mathematical Biology | 2012-02-09 | 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 |
Continuous time mean variance asset allocation: a time-consistent strategy
European Journal of Operational Research | 2011-01-28 | Paper |
A Hamilton-Jacobi-Bellman approach to optimal trade execution
Applied Numerical Mathematics | 2011-01-21 | Paper |
Implications of a regime-switching model on natural gas storage valuation and optimal operation
Quantitative Finance | 2010-03-12 | Paper |
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
Journal of Economic Dynamics and Control | 2010-02-09 | Paper |
Valuing the guaranteed minimum death benefit clause with partial withdrawals
Applied Mathematical Finance | 2010-01-25 | Paper |
Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
SIAM Journal on Numerical Analysis | 2009-06-22 | Paper |
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
SIAM Journal on Scientific Computing | 2009-03-10 | Paper |
Infinite reload options: pricing and analysis
Journal of Computational and Applied Mathematics | 2008-11-06 | Paper |
An object-oriented framework for valuing shout options on high-performance computer architectures
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
Numerische Mathematik | 2008-08-20 | Paper |
Numerical solution of two asset jump diffusion models for option valuation
Applied Numerical Mathematics | 2008-06-11 | 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 |
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
SIAM Journal on Scientific Computing | 2005-09-22 | Paper |
Robust numerical methods for contingent claims under jump diffusion processes
IMA Journal of Numerical Analysis | 2005-03-21 | Paper |
A penalty method for American options with jump diffusion processes
Numerische Mathematik | 2004-12-13 | 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 |
| scientific article; zbMATH DE number 1072349 (Why is no real title available?) | 1998-08-12 | Paper |
Monotonicity Considerations for Saturated--Unsaturated Subsurface Flow
SIAM Journal on Scientific Computing | 1998-02-10 | Paper |
Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations
Computers and Fluids | 1997-10-26 | Paper |
Robust linear and nonlinear strategies for solution of the transonic Euler equations
Computers and Fluids | 1996-05-22 | Paper |
Performance Issues for Iterative Solvers in Device Simulation
SIAM Journal on Scientific Computing | 1996-03-27 | Paper |
Three‐dimensional modelling of steam flush for DNAPL site remediation
International Journal for Numerical Methods in Fluids | 1996-02-22 | Paper |
Preconditioned conjugate gradient methods for three‐dimensional linear elasticity
International Journal for Numerical Methods in Engineering | 1995-02-20 | Paper |
Linear and non‐linear iterative methods for the incompressible Navier‐Stokes equations
International Journal for Numerical Methods in Fluids | 1994-07-11 | Paper |
| scientific article; zbMATH DE number 440689 (Why is no real title available?) | 1993-12-05 | Paper |
Drop tolerance preconditioning for incompressible viscous flow
International Journal of Computer Mathematics | 1993-01-17 | Paper |
Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems
SIAM Journal on Matrix Analysis and Applications | 1993-01-16 | Paper |
Towards a cost-effective ILU preconditioner with high level fill
BIT | 1993-01-16 | Paper |
A control volume finite element method for three‐dimensional NAPL groundwater contamination
International Journal for Numerical Methods in Fluids | 1992-06-28 | Paper |
A Control Volume Finite Element Approach to NAPL Groundwater Contamination
SIAM Journal on Scientific and Statistical Computing | 1991-01-01 | Paper |
A two‐phase, two‐component model for natural convection in a porous medium
International Journal for Numerical Methods in Fluids | 1991-01-01 | Paper |
Adaptive Implicit Criteria for Two-Phase Flow with Gravity and Capillary Pressure
SIAM Journal on Scientific and Statistical Computing | 1989-01-01 | Paper |
Quadratic convergence for cell-centered grids
Applied Numerical Mathematics | 1988-01-01 | Paper |
Comparison of the single-phase and two-phase numerical model formulation for saturated-unsaturated groundwater flow
Computer Methods in Applied Mechanics and Engineering | 1988-01-01 | Paper |
Practical considerations for adaptive implicit methods in reservoir simulation
Journal of Computational Physics | 1986-01-01 | Paper |
Instability in Runge-Kutta schemes for simulation of oil recovery
BIT | 1984-01-01 | Paper |
Incomplete Factorization Methods for Fully Implicit Simulation of Enhanced Oil Recovery
SIAM Journal on Scientific and Statistical Computing | 1984-01-01 | Paper |
Multi-grid solution of three-dimensional problems with discontinuous coefficients
Applied Mathematics and Computation | 1983-01-01 | Paper |
Comparison of Fast Iterative Methods for Symmetric Systems
IMA Journal of Numerical Analysis | 1983-01-01 | Paper |
THE FORWARD-SCATTERING OF RADIO WAVES FROM OVERDENSE METEOR TRAILS
Canadian Journal of Physics | 1957-01-01 | Paper |
OPSurv: Orthogonal Polynomials Quadrature Algorithm for Survival Analysis
(available as arXiv preprint) | N/A | Paper |
