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Stochastic process
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The journal of computational finance
2
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1
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1
Nonlinear models in mathematical finance : new research trends in option pricing
1
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Simulations for hedging financial contracts with optimal decisions
Windcliff, H.
;
Forsyth, Peter A.
;
Vetzal, Kenneth R.
; …
- In:
Computational methods in decision-making, economics and …
,
(pp. 271-296)
.
2010
Persistent link: https://www.econbiz.de/10009153080
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2
An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
Journal of economic dynamics & control
44
(
2014
),
pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
Saved in:
3
A finite element approach to the pricing of discrete lookbacks with stochasic volatility
Forsyth, Peter A.
;
Vetzal, Kenneth R.
;
Zvan, R.
- In:
Applied mathematical finance
6
(
1999
)
2
,
pp. 87-106
Persistent link: https://www.econbiz.de/10001449242
Saved in:
4
E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.
;
Labahn, George
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
Saved in:
5
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.
;
Forsyth, Peter A.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Saved in:
6
Pricing hydroelectric power plants with/without operational restrictions : a stochastic control approach
Chen, Zhuliang
;
Forsyth, Peter A.
- In:
Nonlinear models in mathematical finance : new research …
,
(pp. 273-301)
.
2008
Persistent link: https://www.econbiz.de/10011954476
Saved in:
7
Optimal asset allocation for outperforming a stochastic benchmark target
Ni, Chendi
;
Li, Yuying
;
Forsyth, Peter A.
;
Carroll, Ray
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1595-1626
Persistent link: https://www.econbiz.de/10013367937
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