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Kennedy, J. S.
Forsyth, Peter A.
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Vetzal, Kenneth R.
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Applied mathematical finance
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Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies
Tse, S. T.
;
Forsyth, Peter A.
;
Kennedy, J. S.
;
Windcliff, H.
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 415-449
Persistent link: https://www.econbiz.de/10010235600
Saved in:
2
Optimal trade execution : a mean quadratic variation approach
Forsyth, Peter A.
;
Kennedy, J. S.
;
Tse, S. T.
;
Windcliff, H.
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1971-1991
Persistent link: https://www.econbiz.de/10009701897
Saved in:
3
Calibration and hedging under jump diffusion
He, Changhong
;
Kennedy, J. S.
;
Coleman, T. F.
;
Forsyth, …
- In:
Review of derivatives research
9
(
2006
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
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