## Vetzal, Kenneth R.

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 Author ID: vetzal.kenneth-r Published as: Vetzal, K. R.; Vetzal, Kenneth R.; Vetzal, Kenneth more...less
 Documents Indexed: 33 Publications since 1994 Co-Authors: 18 Co-Authors with 32 Joint Publications 193 Co-Co-Authors
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### Co-Authors

 1 single-authored 32 Forsyth, Peter A. 7 Windcliff, Heath 5 Zvan, R. 3 D’Halluin, Y. 3 Westmacott, Graham 2 Coleman, Thomas F. 2 Kennedy, J. S. 2 Pooley, D. M. 1 Azimzadeh, Parsiad 1 Chen, Zhuliang 1 Dang, Duy Minh 1 Huang, Yiqing 1 Labahn, George 1 le Roux, Martin 1 Li, Yuying 1 Morland, W. J. 1 Simpson, R. Bruce 1 Verma, Arun Kumar 1 Wang, Jian
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### Serials

 5 Applied Mathematical Finance 3 IMA Journal of Numerical Analysis 3 Journal of Computational and Applied Mathematics 3 Insurance Mathematics & Economics 3 Journal of Economic Dynamics & Control 2 ASTIN Bulletin 2 North American Actuarial Journal 2 Review of Derivatives Research 1 Operations Research 1 Applied Numerical Mathematics 1 European Journal of Operational Research 1 SIAM Journal on Scientific Computing 1 The Canadian Applied Mathematics Quarterly 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance
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### Fields

 33 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Numerical analysis (65-XX) 6 Partial differential equations (35-XX) 4 Probability theory and stochastic processes (60-XX) 4 Systems theory; control (93-XX) 3 Statistics (62-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Operations research, mathematical programming (90-XX) 1 Computer science (68-XX)

### Citations contained in zbMATH Open

30 Publications have been cited 753 times in 525 Documents Cited by Year
Penalty methods for American options with stochastic volatility. Zbl 0945.65005
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
1998
Quadratic convergence for valuing American options using a penalty method. Zbl 1020.91017
Forsyth, P. A.; Vetzal, K. R.
2002
Robust numerical methods for contingent claims under jump diffusion processes. Zbl 1134.91405
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
2005
Numerical convergence properties of option pricing PDEs with uncertain volatility. Zbl 1040.91053
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.
2003
PDE methods for pricing barrier options. Zbl 0967.91023
Zvan, R.; Vetzal, K. R.; Forsyth, P. A.
2000
The effect of modelling parameters on the value of GMWB guarantees. Zbl 1141.91024
Chen, Z.; Vetzal, K.; Forsyth, P. A.
2008
A finite volume approach for contingent claims valuation. Zbl 1004.91032
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
2001
A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
1999
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
2002
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
2006
An optimal stochastic control framework for determining the cost of hedging of variable annuities. Zbl 1402.93266
Forsyth, Peter; Vetzal, Kenneth
2014
Valuation of segregated funds: shout options with maturity extensions. Zbl 1055.91036
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
2001
Shout options: A framework for pricing contracts which can be modified by the investor. Zbl 1017.91060
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
2001
Dynamic hedging under jump diffusion with transaction costs. Zbl 1233.91246
Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R.
2009
Numerical methods for nonlinear PDEs in finance. Zbl 1229.91337
Forsyth, Peter A.; Vetzal, Kenneth R.
2012
A numerical PDE approach for pricing callable bonds. Zbl 1026.91046
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G.
2001
Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570
Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R.
2006
Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509
Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth
2002
Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Zbl 1152.91033
Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R.
2007
Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
2019
Robust asset allocation for long-term target-based investing. Zbl 1396.91686
Forsyth, P. A.; Vetzal, K. R.
2017
A survey of stochastic continuous time models of the term structure of interest rates. Zbl 0821.90010
Vetzal, Kenneth R.
1994
Wireless network capacity management: a real options approach. Zbl 1137.91439
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
2007
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Zbl 1402.91682
Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R.
2017
Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. Zbl 1072.91578
Forsyth, P. A.; Vetzal, K. R.
2001
Unstructured meshing for two asset barrier options. Zbl 1013.91044
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.; Simpson, R. B.
2000
An object-oriented framework for valuing shout options on high-performance computer architectures. Zbl 1178.91205
Windcliff, H.; Vetzal, K. R.; Forsyth, P. A.; Verma, A.; Coleman, T. F.
2003
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2019
Hedging costs for variable annuities under regime-switching. Zbl 1418.91228
2014
Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2020
Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2020
Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
2019
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2019
Robust asset allocation for long-term target-based investing. Zbl 1396.91686
Forsyth, P. A.; Vetzal, K. R.
2017
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Zbl 1402.91682
Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R.
2017
An optimal stochastic control framework for determining the cost of hedging of variable annuities. Zbl 1402.93266
Forsyth, Peter; Vetzal, Kenneth
2014
Hedging costs for variable annuities under regime-switching. Zbl 1418.91228
2014
Numerical methods for nonlinear PDEs in finance. Zbl 1229.91337
Forsyth, Peter A.; Vetzal, Kenneth R.
2012
Dynamic hedging under jump diffusion with transaction costs. Zbl 1233.91246
Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R.
2009
The effect of modelling parameters on the value of GMWB guarantees. Zbl 1141.91024
Chen, Z.; Vetzal, K.; Forsyth, P. A.
2008
Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Zbl 1152.91033
Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R.
2007
Wireless network capacity management: a real options approach. Zbl 1137.91439
D&rsquo;Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
2007
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
2006
Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570
Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R.
2006
Robust numerical methods for contingent claims under jump diffusion processes. Zbl 1134.91405
D&rsquo;Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
2005
Numerical convergence properties of option pricing PDEs with uncertain volatility. Zbl 1040.91053
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.
2003
An object-oriented framework for valuing shout options on high-performance computer architectures. Zbl 1178.91205
Windcliff, H.; Vetzal, K. R.; Forsyth, P. A.; Verma, A.; Coleman, T. F.
2003
Quadratic convergence for valuing American options using a penalty method. Zbl 1020.91017
Forsyth, P. A.; Vetzal, K. R.
2002
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
2002
Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509
Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth
2002
A finite volume approach for contingent claims valuation. Zbl 1004.91032
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
2001
Valuation of segregated funds: shout options with maturity extensions. Zbl 1055.91036
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
2001
Shout options: A framework for pricing contracts which can be modified by the investor. Zbl 1017.91060
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
2001
A numerical PDE approach for pricing callable bonds. Zbl 1026.91046
D&rsquo;Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G.
2001
Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. Zbl 1072.91578
Forsyth, P. A.; Vetzal, K. R.
2001
PDE methods for pricing barrier options. Zbl 0967.91023
Zvan, R.; Vetzal, K. R.; Forsyth, P. A.
2000
Unstructured meshing for two asset barrier options. Zbl 1013.91044
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.; Simpson, R. B.
2000
A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
1999
Penalty methods for American options with stochastic volatility. Zbl 0945.65005
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
1998
A survey of stochastic continuous time models of the term structure of interest rates. Zbl 0821.90010
Vetzal, Kenneth R.
1994
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### Cited by 715 Authors

 43 Forsyth, Peter A. 20 Vetzal, Kenneth R. 13 Company, Rafael 13 Oosterlee, Cornelis Willebrordus 12 Khaliq, Abdul Q. M. 11 Ballestra, Luca Vincenzo 11 Dai, Min 11 Dang, Duy Minh 10 Kwok, Yue-Kuen 10 Wang, Song 10 Yousuf, Muhammad Irfan 9 Jódar Sanchez, Lucas Antonio 9 Yang, Xiaoqi 8 Koleva, Miglena Nikolaeva 8 Reisinger, Christoph 8 Zhu, Songping 7 Cen, Zhongdi 7 Egorova, Vera N. 7 Le, Anbo 7 Lyuu, Yuh-Dauh 7 Tangman, Désiré Yannick 6 Düring, Bertram 6 Toivanen, Jari 6 Vázquez Cendón, Carlos 6 Windcliff, Heath 6 Yoshioka, Hidekazu 5 Bhuruth, Muddun 5 Coleman, Thomas F. 5 Dai, Tian-Shyr 5 Li, Yuying 5 Pacelli, Graziella 5 Parand, Kourosh 5 Pintos, José Ramón 5 Rad, Jamal Amani 5 Russo, Emilio 5 Teo, Kok Lay 5 Valkov, Radoslav L. 5 Van Staden, Pieter M. 5 Vulkov, Lubin G. 5 Zhang, Kai 4 Christara, Christina C. 4 Costabile, Massimo 4 Cui, Zhenyu 4 Guardasoni, Chiara 4 in ’t Hout, Karel J. 4 Kadalbajoo, Mohan K. 4 Kim, Junseok 4 Kumar, Alpesh 4 Lee, Younhee 4 Marcozzi, Michael D. 4 Massabó, Ivar 4 Mollapourasl, Reza 4 Patidar, Kailash C. 4 Sun, Haiwei 4 Tripathi, Lok Pati 4 Wan, Justin W. L. 4 Xu, Aimin 4 Yaegashi, Yuta 4 Zanette, Antonino 3 Ahmadian, Davood 3 Boen, Lynn 3 Chen, Zhuliang 3 Chiarella, Carl 3 del Carmen Calvo-Garrido, Maria 3 Escobar, Marcos 3 Feng, Runhuan 3 Fournié, Michel 3 Haghi, Majid 3 Huang, Yao Tung 3 Itkin, Andrey 3 Jeong, Darae 3 Kleefeld, B. 3 Labahn, George 3 Le, Nhat-Tan 3 Li, Lingfei 3 Lipton, Alexander 3 Lu, Xiaoping 3 Meyer, Gunter H. 3 Ngounda, Edgard 3 Pindza, Edson 3 Ruijter, Maria J. 3 Safdari-Vaighani, Ali 3 Salvador, Beatriz 3 Sanfelici, Simona 3 Tang, Wenguang 3 Wang, Jian 3 Wang, Wansheng 3 Westmacott, Graham 3 Wong, Hoi Ying 3 Yao, Yong 3 Yin, Junfeng 3 Zhou, Yuying 3 Zvan, R. 2 Abbasbandy, Saeid 2 Ahlip, Rehez 2 Andersen, Leif B. G. 2 Andersson, Kristoffer 2 Aranishi, Futoshi 2 Arregui, Iñigo A. 2 Attipoe, David Sena ...and 615 more Authors
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### Cited in 111 Serials

 45 Journal of Computational and Applied Mathematics 33 Applied Mathematics and Computation 33 International Journal of Theoretical and Applied Finance 30 Computers & Mathematics with Applications 30 International Journal of Computer Mathematics 29 Quantitative Finance 25 Journal of Economic Dynamics & Control 21 Insurance Mathematics & Economics 16 Applied Numerical Mathematics 16 European Journal of Operational Research 12 Journal of Scientific Computing 11 North American Actuarial Journal 10 Applied Mathematical Finance 7 Numerische Mathematik 7 Mathematical Finance 7 SIAM Journal on Financial Mathematics 6 Engineering Analysis with Boundary Elements 6 Review of Derivatives Research 5 Journal of Optimization Theory and Applications 5 Mathematics and Computers in Simulation 5 Numerical Methods for Partial Differential Equations 5 Journal of Global Optimization 5 Communications in Nonlinear Science and Numerical Simulation 5 Decisions in Economics and Finance 4 SIAM Journal on Numerical Analysis 4 Japan Journal of Industrial and Applied Mathematics 4 SIAM Journal on Scientific Computing 4 Computational and Applied Mathematics 4 ASTIN Bulletin 4 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 4 European Actuarial Journal 3 Mathematical and Computer Modelling 3 Computational Economics 3 Numerical Linear Algebra with Applications 3 Abstract and Applied Analysis 3 The ANZIAM Journal 3 Journal of Applied Mathematics 3 Asia-Pacific Financial Markets 3 Computational Management Science 3 Journal of Industrial and Management Optimization 2 Stochastic Analysis and Applications 2 Numerical Algorithms 2 Computational Optimization and Applications 2 Mathematical Problems in Engineering 2 Journal of Inequalities and Applications 2 Discrete Dynamics in Nature and Society 2 Scandinavian Actuarial Journal 2 Journal of Systems Science and Complexity 2 Journal of Applied Mathematics and Computing 2 Journal of Function Spaces and Applications 2 Stochastics 2 Discrete and Continuous Dynamical Systems. Series S 2 International Journal of Advances in Engineering Sciences and Applied Mathematics 2 East Asian Journal on Applied Mathematics 1 Acta Informatica 1 Applicable Analysis 1 International Journal of Heat and Mass Transfer 1 Journal of Computational Physics 1 Journal of Mathematical Analysis and Applications 1 Journal of Mathematical Biology 1 Physica A 1 Mathematics of Computation 1 Bulletin of Mathematical Biology 1 Automatica 1 Computing 1 Fuzzy Sets and Systems 1 Journal of Differential Equations 1 Scandinavian Actuarial Journal 1 Operations Research Letters 1 Physica D 1 Acta Mathematicae Applicatae Sinica. English Series 1 Computers & Operations Research 1 Applied Mathematics Letters 1 European Journal of Applied Mathematics 1 Applications of Mathematics 1 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 1 Communications in Partial Differential Equations 1 SIAM Journal on Applied Mathematics 1 Journal of Nonlinear Science 1 Filomat 1 Monte Carlo Methods and Applications 1 Journal of Difference Equations and Applications 1 Finance and Stochastics 1 Vietnam Journal of Mathematics 1 Optimization Methods & Software 1 Taiwanese Journal of Mathematics 1 Mathematical Methods of Operations Research 1 Journal of Shanghai University 1 Methodology and Computing in Applied Probability 1 Proceedings of the National Academy of Sciences, India. Section A. Physical Sciences 1 International Journal of Wavelets, Multiresolution and Information Processing 1 Boletim da Sociedade Paranaense de Matemática. Terceira Série 1 Advances in Difference Equations 1 Journal of Biological Dynamics 1 Mathematics and Financial Economics 1 East Asian Mathematical Journal 1 Advances in Applied Mathematics and Mechanics 1 International Journal of Stochastic Analysis 1 TWMS Journal of Pure and Applied Mathematics 1 Annals of Finance ...and 11 more Serials
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### Cited in 26 Fields

 477 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 272 Numerical analysis (65-XX) 168 Probability theory and stochastic processes (60-XX) 105 Partial differential equations (35-XX) 37 Systems theory; control (93-XX) 33 Operations research, mathematical programming (90-XX) 31 Calculus of variations and optimal control; optimization (49-XX) 17 Integral equations (45-XX) 16 Statistics (62-XX) 9 Biology and other natural sciences (92-XX) 5 Computer science (68-XX) 4 Ordinary differential equations (34-XX) 4 Approximations and expansions (41-XX) 3 Fluid mechanics (76-XX) 2 Difference and functional equations (39-XX) 2 General topology (54-XX) 1 Real functions (26-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mechanics of deformable solids (74-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX)