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K.R. Vetzal

Observed names: K Vetzal, K. R. VETZAL, K. R. Vetzal, K. Vetzal, K.R. VETZAL, Ken R. Vetzal, Ken Vetzal, Kenneth R. Vetzal, Kenneth Vetzal, Vetzal, K.R., Vetzal, Kenneth R.
Observed institution: University of Waterloo
OpenAlex ID: A5111451533
Quadratic Convergence for Valuing American Options Using a Penalty Method
2002 · P. A. Forsyth, K. R. Vetzal · SIAM Journal on Scientific Computing · 327
Penalty methods for American options with stochastic volatility
1998 · R. Zvan, P.A. Forsyth, et al. · Journal of Computational and Applied Mathematics · 290
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Robust numerical methods for PDE models of Asian options
1997 · R Zvan, Peter Forsyth, et al. · The Journal of Computational Finance · 217
PDE methods for pricing barrier options
2000 · R. Zvan, K.R. Vetzal, et al. · Journal of Economic Dynamics and Control · 195
Convergence remedies for non-smooth payoffs in option pricing
2003 · David M. Pooley, Kenneth R. Vetzal, et al. · The Journal of Computational Finance · 154
Valuation of Convertible Bonds With Credit Risk
2003 · E. Ayache, P.A. Forsyth, et al. · The Journal of Derivatives · 143
Analysis of the stability of the linear boundary condition for the Black–Scholes equation
2004 · Heath Windcliff, Peter Forsyth, et al. · The Journal of Computational Finance · 118
The effect of modelling parameters on the value of GMWB guarantees
2008 · Z. Chen, K. Vetzal, et al. · Insurance Mathematics and Economics · 103
Calibration and hedging under jump diffusion
2007 · C. He, J. S. Kennedy, et al. · Review of Derivatives Research · 91
A finite element approach to the pricing of discrete lookbacks with stochastic volatility
1999 · P.A. Forsyth, K.R. Vetzal, et al. · Applied Mathematical Finance · 81
Convergence of numerical methods for valuing path-dependent options using interpolation
2002 · P. A. Forsyth, K. R. Vetzal, et al. · Review of Derivatives Research · 77
Pricing methods and hedging strategies for volatility derivatives
2005 · H. Windcliff, P.A. Forsyth, et al. · Journal of Banking & Finance · 73
Discrete Asian barrier options
1999 · R Zvan, P Forsyth, et al. · The Journal of Computational Finance · 68
Managing capacity for telecommunications networks under uncertainty
2002 · Y. d'Halluin, P.A. Forsyth, et al. · IEEE/ACM Transactions on Networking · 66
Cash flow volatility and corporate bond yield spreads
2014 · Alan V. S. Douglas, Alan G. Huang, et al. · Review of Quantitative Finance and Accounting · 60
The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories
2005 · Duane B. Kennedy, Ranjini Sivakumar, et al. · Journal of Empirical Finance · 60
An optimal stochastic control framework for determining the cost of hedging of variable annuities
2014 · Peter Forsyth, Kenneth Vetzal · Journal of Economic Dynamics and Control · 53
Valuation of segregated funds: shout options with maturity extensions
2001 · H. Windcliff, P.A. Forsyth, et al. · Insurance Mathematics and Economics · 48
The Valuation of Convertible Bonds With Credit Risk
2003 · Élie Ayache, Peter Forsyth, et al. · eCommons (Cornell University) · 47
Shout options: a framework for pricing contracts which can be modified by the investor
2001 · H. Windcliff, P.A. Forsyth, et al. · Journal of Computational and Applied Mathematics · 47
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A numerical PDE approach for pricing callable bonds
2001 · Y. D'Halluin, P.A. Forsyth, et al. · Applied Mathematical Finance · 47
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Numerical Methods for Nonlinear PDEs in Finance
2011 · Peter A. Forsyth, Kenneth R. Vetzal · Springer eBooks · 43
Dynamic Hedging Under Jump Diffusion with Transaction Costs
2009 · J. S. Kennedy, P. A. Forsyth, et al. · Operations Research · 42
Negative coefficients in two-factor option pricing models
2003 · R Zvan, P Forsyth, et al. · The Journal of Computational Finance · 42
A survey of stochastic continuous time models of the term structure of interest rates
1994 · Kenneth R. Vetzal · Insurance Mathematics and Economics · 35
Works count: 82
Citation count: 2,967
H-index: 28
I10-index: 43
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