K.R. Vetzal

2.2k total citations
30 papers, 1.4k citations indexed

About

K.R. Vetzal is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, K.R. Vetzal has authored 30 papers receiving a total of 1.4k indexed citations (citations by other indexed papers that have themselves been cited), including 27 papers in Finance, 6 papers in Economics and Econometrics and 6 papers in Demography. Recurrent topics in K.R. Vetzal's work include Stochastic processes and financial applications (27 papers), Capital Investment and Risk Analysis (12 papers) and Financial Risk and Volatility Modeling (8 papers). K.R. Vetzal is often cited by papers focused on Stochastic processes and financial applications (27 papers), Capital Investment and Risk Analysis (12 papers) and Financial Risk and Volatility Modeling (8 papers). K.R. Vetzal collaborates with scholars based in Canada, United States and Australia. K.R. Vetzal's co-authors include Peter Forsyth, R. Zvan, H. Windcliff, Y. d’Halluin, Élie Ayache, Thomas F. Coleman, Yuning Li, George Labahn, Duy‐Minh Dang and J. Wang and has published in prestigious journals such as European Journal of Operational Research, Journal of Banking & Finance and Operations Research.

In The Last Decade

K.R. Vetzal

28 papers receiving 1.3k citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
K.R. Vetzal Canada 20 1.2k 323 315 251 163 30 1.4k
Jeff Dewynne United Kingdom 3 811 0.7× 295 0.9× 214 0.7× 81 0.3× 110 0.7× 3 1.0k
Leif B. G. Andersen United States 23 2.2k 1.9× 623 1.9× 140 0.4× 432 1.7× 86 0.5× 58 2.4k
Damien Lamberton France 16 914 0.8× 325 1.0× 116 0.4× 165 0.7× 44 0.3× 30 1.1k
Bruno Bouchard France 18 1.1k 0.9× 454 1.4× 62 0.2× 246 1.0× 57 0.3× 70 1.3k
Akihiko Takahashi Japan 19 1.1k 1.0× 264 0.8× 48 0.2× 173 0.7× 61 0.4× 132 1.3k
M.C. Quenez France 4 1.9k 1.6× 475 1.5× 105 0.3× 607 2.4× 59 0.4× 5 2.0k
Phelim Boyle Canada 12 849 0.7× 347 1.1× 144 0.5× 305 1.2× 29 0.2× 30 1.1k
Huyên Pham France 21 807 0.7× 268 0.8× 43 0.1× 120 0.5× 85 0.5× 62 1.1k
Fausto Gozzi Italy 21 751 0.6× 509 1.6× 48 0.2× 164 0.7× 39 0.2× 98 1.3k
Marek Musiela Australia 15 1.9k 1.6× 759 2.3× 56 0.2× 377 1.5× 30 0.2× 29 2.2k

Countries citing papers authored by K.R. Vetzal

Since Specialization
Citations

This map shows the geographic impact of K.R. Vetzal's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by K.R. Vetzal with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites K.R. Vetzal more than expected).

Fields of papers citing papers by K.R. Vetzal

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by K.R. Vetzal. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by K.R. Vetzal. The network helps show where K.R. Vetzal may publish in the future.

Co-authorship network of co-authors of K.R. Vetzal

This figure shows the co-authorship network connecting the top 25 collaborators of K.R. Vetzal. A scholar is included among the top collaborators of K.R. Vetzal based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with K.R. Vetzal. K.R. Vetzal is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Forsyth, Peter & K.R. Vetzal. (2017). ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING. International Journal of Theoretical and Applied Finance. 20(3). 1750017–1750017. 14 indexed citations
2.
Dang, Duy‐Minh, Peter Forsyth, & K.R. Vetzal. (2016). The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Quantitative Finance. 17(3). 335–351. 20 indexed citations
3.
Dang, Duy‐Minh, Peter Forsyth, & K.R. Vetzal. (2015). The 4 Percent Strategy Revisited: A Pre-Commitment Optimal Mean-Variance Approach to Wealth Management. SSRN Electronic Journal. 1 indexed citations
4.
Forsyth, Peter, et al.. (2009). Dynamic Hedging Under Jump Diffusion with Transaction Costs. Operations Research. 57(3). 541–559. 30 indexed citations
5.
Vetzal, K.R., et al.. (2008). The effect of modelling parameters on the value of GMWB guarantees. Insurance Mathematics and Economics. 43(1). 165–173. 85 indexed citations
6.
Coleman, Thomas F., et al.. (2007). Calibration and hedging under jump diffusion. Review of Derivatives Research. 9(1). 1–35. 56 indexed citations
7.
Windcliff, H., J. Wang, Peter Forsyth, & K.R. Vetzal. (2006). Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Journal of Computational and Applied Mathematics. 200(1). 86–115. 13 indexed citations
8.
Windcliff, H., Peter Forsyth, & K.R. Vetzal. (2006). Numerical Methods and Volatility Models for Valuing Cliquet Options. Applied Mathematical Finance. 13(4). 353–386. 18 indexed citations
9.
Windcliff, H., Peter Forsyth, & K.R. Vetzal. (2005). Pricing methods and hedging strategies for volatility derivatives. Journal of Banking & Finance. 30(2). 409–431. 52 indexed citations
10.
Ayache, Élie, Peter Forsyth, & K.R. Vetzal. (2003). The Valuation of Convertible Bonds With Credit Risk. eCommons (Cornell University). 28 indexed citations
11.
Windcliff, H., K.R. Vetzal, Peter Forsyth, Arun Verma, & Thomas F. Coleman. (2003). An object-oriented framework for valuing shout options on high-performance computer architectures. Journal of Economic Dynamics and Control. 27(6). 1133–1161. 6 indexed citations
12.
d’Halluin, Y., Peter Forsyth, K.R. Vetzal, & George Labahn. (2002). Numerical methods for pricing callable bonds. 1. 78–81. 1 indexed citations
13.
d’Halluin, Y., Peter Forsyth, K.R. Vetzal, & George Labahn. (2001). A numerical PDE approach for pricing callable bonds. Applied Mathematical Finance. 8(1). 49–77. 25 indexed citations
14.
Windcliff, H., Peter Forsyth, & K.R. Vetzal. (2001). Valuation of segregated funds: shout options with maturity extensions. Insurance Mathematics and Economics. 29(1). 1–21. 32 indexed citations
15.
Forsyth, Peter & K.R. Vetzal. (2001). Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. Applied Numerical Mathematics. 36(4). 427–445. 16 indexed citations
16.
Windcliff, H., Peter Forsyth, & K.R. Vetzal. (2001). Shout options: a framework for pricing contracts which can be modified by the investor. Journal of Computational and Applied Mathematics. 134(1-2). 213–241. 33 indexed citations
17.
Forsyth, Peter, K.R. Vetzal, & R. Zvan. (1999). A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Applied Mathematical Finance. 6(2). 87–106. 47 indexed citations
18.
Zvan, R., Peter Forsyth, & K.R. Vetzal. (1999). Discrete Asian barrier options. The Journal of Computational Finance. 3(1). 41–67. 36 indexed citations
19.
Zvan, R., Peter Forsyth, & K.R. Vetzal. (1998). Penalty methods for American options with stochastic volatility. Journal of Computational and Applied Mathematics. 91(2). 199–218. 200 indexed citations
20.

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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