Ken Vetzal
Associate Professor
Accounting and Finance
University of Waterloo
Canada
Biography
Prof/Dr Ken Vetzal completed his PhD in University of Toronto, Finance. Currently he is working as a Associate Professor, Approved Doctoral Dissertation Supervisor, Finance. He isresearch focuses on derivative securities. He is particularly interested in the design of computational algorithms for pricing and hedging complex financial instruments and in empirical tests of pricing models.
Research Interest
Derivative securities, Design of computational algorithms for pricing and hedging complex financial instruments and in empirical tests of pricing models.
Publications
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He C, Kennedy JS, Coleman TF, Forsyth PA, Li Y, Vetzal KR. Calibration and hedging under jump diffusion. Review of Derivatives Research. 2006 Jan 1;9(1):1-35.
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Windcliff H, Forsyth PA, Vetzal KR. Pricing methods and hedging strategies for volatility derivatives. Journal of Banking & Finance. 2006 Feb 28;30(2):409-31.
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Kennedy DB, Sivakumar R, Vetzal KR. The implications of IPO underpricing for the firm and insiders: Tests of asymmetric information theories. Journal of Empirical Finance. 2006 Jan 31;13(1):49-78.
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d Halluin Y, Forsyth PA, Vetzal KR. Wireless network capacity management: A real options approach. European Journal of Operational Research. 2007 Jan 1;176(1):584-609.
