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Disambiguation of "Forsyth, Peter A."

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Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

, , and . SIAM J. Financial Math., 10 (3): 815-856 (2019)

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A. Laukemann

Elke Peter University of Stuttgart

Univ. -Prof. Dr. Rene Peters University of Stuttgart

A. Laukemann

A. Laukemann

 

Other publications of authors with the same name

Dynamic Hedging Under Jump Diffusion with Transaction Costs., , and . Operations Research, 57 (3): 541-559 (2009)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)., and . Numerische Mathematik, 109 (4): 535-569 (2008)A penalty method for American options with jump diffusion processes., , and . Numerische Mathematik, 97 (2): 321-352 (2004)The Existence of Optimal Bang-Bang Controls for GMxB Contracts., and . SIAM J. Financial Math., 6 (1): 117-139 (2015)Weakly Chained Matrices, Policy Iteration, and Impulse Control., and . SIAM J. Numerical Analysis, 54 (3): 1341-1364 (2016)Two Factor Option Pricing with Uncertain Volatility., , and . ICCSA (3), volume 2669 of Lecture Notes in Computer Science, page 158-167. Springer, (2003)Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?, , and . SIAM J. Financial Math., 10 (3): 815-856 (2019)A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion., , and . SIAM J. Scientific Computing, 27 (1): 315-345 (2005)Monotonicity Considerations for Saturated-Unsaturated Subsurface Flow., and . SIAM J. Scientific Computing, 18 (5): 1328-1354 (1997)A Control Volume Finite Element Approach to NAPL Groundwater Contamination.. SIAM J. Scientific Computing, 12 (5): 1029-1057 (1991)