Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance

Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

(2011) Y. Huang et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

Markov models for commodity futures: theory and practice

(2010) Leif Andersen   QUANTITATIVE FINANCE

Pricing swing options in the electricity markets under regime-switching uncertainty

(2010) M. I. M. Wahab et al.   QUANTITATIVE FINANCE

Natural gas storage valuation and optimization: A real options application

(2009) Matt Thompson et al.   NAVAL RESEARCH LOGISTICS

Some Convergence Results for Howard's Algorithm

(2009) Olivier Bokanowski et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

(2008) Daniel Bauer et al.   Astin Bulletin

The effect of modelling parameters on the value of GMWB guarantees

(2008) Z. Chen et al.   INSURANCE MATHEMATICS & ECONOMICS

GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

(2008) Min Dai et al.   MATHEMATICAL FINANCE

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

(2008) Zhuliang Chen et al.   NUMERISCHE MATHEMATIK

Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance

(2008) J. Wang et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS