29 citations · 77 across the 9 of their papers we have counts for
9 papers
Why Indexing Works
J. B. Heaton, N. G. Polson, J. H. Witte
We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that th…
Volatility Harvesting: Extracting Return from Randomness
Jan Hendrik Witte
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the…
Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix
Patrick Steffen Michelberger, Jan Hendrik Witte
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes pla…
A Bellman View of Jesse Livermore
Nick Polson, Jan Hendrik Witte
Richard Bellman's Principle of Optimality, formulated in 1957, is the heart of dynamic programming, the mathematical discipline which studies the optimal solution of multi-period d…
Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Lajos Gergely Gyurko, Ben Hambly, Jan Hendrik Witte
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulati…
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Jan Hendrik Witte, Christoph Reisinger
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of t…
On the Use of Policy Iteration as an Easy Way of Pricing American Options
Christoph Reisinger, Jan Hendrik Witte
In this paper, we demonstrate that policy iteration, introduced in the context of HJB equations in [Forsyth & Labahn, 2007], is an extremely simple generic algorithm for solving li…
The Effect of Non-Smooth Payoffs on the Penalty Approximation of American Options
Sam Howison, Christoph Reisinger, Jan Hendrik Witte
This article combines various methods of analysis to draw a comprehensive picture of penalty approximations to the value, hedge ratio, and optimal exercise strategy of American opt…
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
Jan Hendrik Witte, Christoph Reisinger
We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered prob…