Kenneth R. Vetzal

Finance · 2000–2014

A researcher in the Science corpus: 14 papers; trusts 39 researchers and is trusted by 41 researchers here, as inferred from the citation graph.

Subfields

• Finance — 58 citations into it; #844 of 10,518 by trust here, #1,477 by citations
• Economics and Econometrics — 29 citations into it; #6,068 of 23,481 by trust here, #11,156 by citations
• Demography — 20 citations into it; #2,813 of 4,236 by trust here, #2,373 by citations
• Information Systems — 5 citations into it
• Sociology and Political Science — 5 citations into it

Whom Kenneth R. Vetzal trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Peter A. Forsyth
2. John C. Hull
3. Min Dai
4. M. Milevsky
5. Jakob Arnoldi
6. Yann d'Halluin
7. Leif Andersen
8. R. Zvan
9. Daniel Bauer
10. Yue Kuen Kwok

Who trusts Kenneth R. Vetzal overall

1. Peter A. Forsyth
2. Samuli Ikonen
3. S. Clift
4. Jari Toivanen
5. Min Dai
6. Matthias Ehrhardt
7. Abdul Khaliq
8. A. Bélanger
9. Giovanni Barone-Adesi
10. M. Giles

Papers from Kenneth R. Vetzal's perspective

Ordered by how strongly the researchers Kenneth R. Vetzal trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. The jump-risk premia implicit in options: evidence from an integrated time-series study $
3. Post-'87 crash fears in the S&P 500 futures option market
4. Valuing American Options by Simulation: A Simple Least-Squares Approach
5. Financial valuation of guaranteed minimum withdrawal benefits
6. User’s guide to viscosity solutions of second order partial differential equations
7. A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
8. The Variance Gamma Process and Option Pricing
9. Controlled Markov processes and viscosity solutions
10. Fast deterministic pricing of options on Lévy driven assets

Their papers

• Robust numerical methods for contingent claims under jump diffusion processes (2005) — 291 citations
• The effect of modelling parameters on the value of GMWB guarantees (2008) — 120 citations
• Calibration and hedging under jump diffusion (2007) — 97 citations
• Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004) — 117 citations
• An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014) — 48 citations
• Numerical Methods for Nonlinear PDEs in Finance (2012) — 49 citations
• Pricing methods and hedging strategies for volatility derivatives (2006) — 80 citations
• Numerical convergence properties of option pricing PDEs with uncertain volatility (2003) — 172 citations
• Valuation of Convertible Bonds With Credit Risk (2003) — 157 citations
• Convergence of numerical methods for valuing path-dependent options using interpolation (2002) — 67 citations
• A numerical PDE approach for pricing callable bonds (2001) — 49 citations
• A finite volume approach for contingent claims valuation (2001) — 85 citations
• Quadratic Convergence for Valuing American Options Using a Penalty Method (2001) — 334 citations
• PDE methods for pricing barrier options (2000) — 193 citations