Edit Profile (opens in new tab) Forsyth, Peter A. Compute Distance To: Compute Author ID: forsyth.peter-a Published as: Forsyth, P. A.; Forsyth, Peter A.; Forsyth, P. jun.; Forsyth, Peter; Forsyth, P. A. jun.; Forsyth, P.; Forsyth, Peter A. I. more...less Homepage: https://cs.uwaterloo.ca/~paforsyt/ External Links: MGP Documents Indexed: 109 Publications since 1957 2 Contributions as Editor Co-Authors: 53 Co-Authors with 93 Joint Publications 686 Co-Co-Authors all top 5 Co-Authors 10 single-authored 31 Vetzal, Kenneth R. 9 Dang, Duy Minh 9 Labahn, George 9 Windcliff, Heath 6 Huang, Yiqing 6 Tang, Wei-Pai 5 D’Azevedo, Eduardo F. 5 D’Halluin, Y. 5 Li, Yuying 5 Van Staden, Pieter M. 5 Wang, Jian 5 Zvan, R. 4 Chen, Zhuliang 4 Kennedy, J. S. 3 Azimzadeh, Parsiad 3 Behie, A. 3 Jiang, Hong 3 Sammon, Peter H. 3 Tse, Shu Tong 3 Westmacott, Graham 2 Bélanger, A. C. 2 Clift, Simon S. 2 Coleman, Thomas F. 2 Pooley, D. M. 2 Simpson, R. Bruce 1 Babbin, J. 1 Behie, Grace Alda 1 Carroll, Ray 1 Christiara, C. 1 Dickinson, John K. 1 Fan, Qing 1 Goel, Rishab 1 Hauert, Christoph 1 Hines, C. O. 1 Jain, Kshitij 1 Kazemi, Seyed Mehran 1 Kobyzev, Ivan 1 Kolkiewicz, Adam W. 1 Kropinski, Mary Catherine A. 1 le Roux, Martin 1 Letniowski, Frank W. 1 McMacken, J. R. F. 1 Morland, W. J. 1 Moseley, D. J. 1 Ni, Chendi 1 Poupart, Pascal 1 Reisinger, Christoph 1 Sethi, Akshay 1 Tan, Ken Seng 1 Terlaky, Tamás 1 Verma, Arun Kumar 1 Vetzal, Ken 1 Wan, Justin W. L. all top 5 Serials 7 Applied Numerical Mathematics 7 Applied Mathematical Finance 6 IMA Journal of Numerical Analysis 6 International Journal for Numerical Methods in Fluids 6 Journal of Computational and Applied Mathematics 6 Insurance Mathematics & Economics 6 SIAM Journal on Scientific Computing 5 Journal of Economic Dynamics & Control 4 Numerische Mathematik 4 European Journal of Operational Research 4 International Journal of Theoretical and Applied Finance 4 SIAM Journal on Financial Mathematics 3 Computer Methods in Applied Mechanics and Engineering 3 SIAM Journal on Numerical Analysis 3 SIAM Journal on Scientific and Statistical Computing 3 Quantitative Finance 3 North American Actuarial Journal 2 Computers and Fluids 2 BIT 2 International Journal for Numerical Methods in Engineering 2 The Canadian Applied Mathematics Quarterly 2 ASTIN Bulletin 2 Review of Derivatives Research 1 Journal of Computational Physics 1 Journal of the Institute of Mathematics and its Applications 1 Journal of Mathematical Biology 1 Applied Mathematics and Computation 1 Operations Research 1 SIAM Journal on Control and Optimization 1 Utilitas Mathematica 1 Numerical Methods for Partial Differential Equations 1 SIAM Journal on Matrix Analysis and Applications 1 Journal of Scientific Computing 1 Applied Mathematical Modelling 1 International Journal of Computer Mathematics 1 Canadian Journal of Physics 1 Journal of Machine Learning Research (JMLR) 1 The Journal of Computational Finance all top 5 Fields 72 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 52 Numerical analysis (65-XX) 23 Systems theory; control (93-XX) 22 Partial differential equations (35-XX) 20 Fluid mechanics (76-XX) 14 Calculus of variations and optimal control; optimization (49-XX) 9 Probability theory and stochastic processes (60-XX) 5 Statistics (62-XX) 5 Operations research, mathematical programming (90-XX) 4 Computer science (68-XX) 4 Optics, electromagnetic theory (78-XX) 2 General and overarching topics; collections (00-XX) 2 Integral equations (45-XX) 2 Mechanics of deformable solids (74-XX) 2 Geophysics (86-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 97 Publications have been cited 1,761 times in 1,057 Documents Cited by ▼ Year ▼ Penalty methods for American options with stochastic volatility. Zbl 0945.65005Zvan, R.; Forsyth, P. A.; Vetzal, K. R. 133 1998 Quadratic convergence for valuing American options using a penalty method. Zbl 1020.91017Forsyth, P. A.; Vetzal, K. R. 117 2002 Robust numerical methods for contingent claims under jump diffusion processes. Zbl 1134.91405D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R. 96 2005 A penalty method for American options with jump diffusion processes. Zbl 1126.91036d’Halluin, Y.; Forsyth, P. A.; Labahn, G. 85 2004 Continuous time mean variance asset allocation: a time-consistent strategy. Zbl 1208.91139Wang, J.; Forsyth, P. A. 65 2011 PDE methods for pricing barrier options. Zbl 0967.91023Zvan, R.; Vetzal, K. R.; Forsyth, P. A. 55 2000 Numerical convergence properties of option pricing PDEs with uncertain volatility. Zbl 1040.91053Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R. 54 2003 A semi-Lagrangian approach for American Asian options under jump diffusion. Zbl 1149.65316d’Halluin, Y.; Forsyth, P. A.; Labahn, G. 44 2005 A control volume finite element approach to NAPL groundwater contamination. Zbl 0725.76087Forsyth, Peter A. 42 1991 Quadratic convergence for cell-centered grids. Zbl 0651.65086Forsyth, P. A. jun.; Sammon, P. H. 40 1988 Optimal trade execution: a mean quadratic variation approach. Zbl 1347.91228Forsyth, P. A.; Kennedy, J. S.; Tse, S. T.; Windcliff, H. 39 2012 A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Zbl 1141.93066Chen, Zhuliang; Forsyth, Peter A. 39 2008 The effect of modelling parameters on the value of GMWB guarantees. Zbl 1141.91024Chen, Z.; Vetzal, K.; Forsyth, P. A. 39 2008 Numerical solution of two asset jump diffusion models for option valuation. Zbl 1136.91422Clift, Simon S.; Forsyth, Peter A. 35 2008 A finite volume approach for contingent claims valuation. Zbl 1004.91032Zvan, R.; Forsyth, P. A.; Vetzal, K. R. 34 2001 Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. Zbl 1348.91250Dang, D. M.; Forsyth, P. A. 33 2016 Maximal use of central differencing for Hamilton-Jacobi-Bellman PDEs in finance. Zbl 1166.65046Wang, J.; Forsyth, P. A. 32 2008 A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030Forsyth, P. A.; Vetzal, K. R.; Zvan, R. 29 1999 Ordering methods for preconditioned conjugate gradient methods applied to unstructured grid problems. Zbl 0760.65028D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai 27 1992 Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation. Zbl 1182.91161Wang, J.; Forsyth, P. A. 26 2010 Methods for pricing American options under regime switching. Zbl 1232.91707Huang, Yiqing; Forsyth, P. A.; Labahn, G. 25 2011 A semi-Lagrangian approach for natural gas storage valuation and optimal operation. Zbl 1159.65352Chen, Zhuliang; Forsyth, Peter A. 23 2007 Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022Forsyth, P. A.; Vetzal, K. R.; Zvan, R. 22 2002 Calibration and hedging under jump diffusion. Zbl 1274.91414He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R. 22 2006 Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066Bélanger, A. C.; Forsyth, P. A.; Labahn, G. 21 2009 An optimal stochastic control framework for determining the cost of hedging of variable annuities. Zbl 1402.93266Forsyth, Peter; Vetzal, Kenneth 20 2014 Towards a cost-effective ILU preconditioner with high level fill. Zbl 0761.65017D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai 19 1992 Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. Zbl 1284.91569Dang, Duy-Minh; Forsyth, Peter A. 19 2014 Incomplete factorization methods for fully implicit simulation of enhanced oil recovery. Zbl 0548.65017Behie, G. A.; Forsyth, P. A. jun. 18 1984 Valuation of segregated funds: shout options with maturity extensions. Zbl 1055.91036Windcliff, H.; Forsyth, P. A.; Vetzal, K. R. 18 2001 A Hamilton-Jacobi-Bellman approach to optimal trade execution. Zbl 1231.91492Forsyth, Peter A. 17 2011 Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. Zbl 1417.91558Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 17 2018 Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB). Zbl 1235.91093Huang, Yiqing; Forsyth, P. A. 16 2012 Shout options: A framework for pricing contracts which can be modified by the investor. Zbl 1017.91060Windcliff, H.; Forsyth, P. A.; Vetzal, K. R. 15 2001 Practical considerations for adaptive implicit methods in reservoir simulation. Zbl 0605.76104Forsyth, P. A. jun.; Sammon, P. H. 14 1986 Preconditioned conjugate gradient methods for three-dimensional linear elasticity. Zbl 0806.73066Dickinson, J. K.; Forsyth, P. A. 14 1994 Monotonicity considerations for saturated–unsaturated subsurface flow. Zbl 0897.76048Forsyth, P. A.; Kropinski, M. C. 14 1997 Implications of a regime-switching model on natural gas storage valuation and optimal operation. Zbl 1198.91204Chen, Zhuliang; Forsyth, Peter A. 14 2010 Numerical methods for nonlinear PDEs in finance. Zbl 1229.91337Forsyth, Peter A.; Vetzal, Kenneth R. 13 2012 Weakly chained matrices, policy iteration, and impulse control. Zbl 1338.65174Azimzadeh, P.; Forsyth, P. A. 13 2016 Dynamic hedging under jump diffusion with transaction costs. Zbl 1233.91246Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R. 13 2009 Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R. 12 2006 A numerical PDE approach for pricing callable bonds. Zbl 1026.91046D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G. 11 2001 Comparison of mean variance like strategies for optimal asset allocation problems. Zbl 1282.91312Wang, J.; Forsyth, P. A. 11 2012 Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H. 11 2013 Comparison of fast iterative methods for symmetric systems. Zbl 0514.65076Behie, A.; Forsyth, P. jun. 10 1983 Multi-grid solution of three-dimensional problems with discontinuous coefficients. Zbl 0534.65064Behie, A.; Forsyth, P. A. jun. 10 1983 Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations. Zbl 0884.76062Forsyth, P. A.; Jiang, H. 10 1997 Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations. Zbl 1382.65256Reisinger, C.; Forsyth, P. A. 10 2016 The existence of optimal bang-bang controls for GMxB contracts. Zbl 1422.91678Azimzadeh, P.; Forsyth, P. A. 10 2015 Robust asset allocation for long-term target-based investing. Zbl 1396.91686Forsyth, P. A.; Vetzal, K. R. 10 2017 An unconditionally monotone numerical scheme for the two-factor uncertain volatility model. Zbl 1433.65162Ma, K.; Forsyth, P. A. 10 2017 Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Zbl 1152.91033Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R. 9 2007 Preconditioned conjugate gradient methods for the incompressible Navier- Stokes equations. Zbl 0753.76132Chin, P.; D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P. 9 1992 The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Zbl 1402.91682Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R. 9 2017 Robust linear and nonlinear strategies for solution of the transonic Euler equations. Zbl 0845.76070Jiang, H.; Forsyth, P. A. 9 1995 Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413Forsyth, Peter A.; Vetzal, Kenneth R. 9 2019 Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance. Zbl 1250.91101Huang, Yiqing; Forsyth, P. A.; Labahn, G. 9 2012 Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. Zbl 1247.91198Huang, Yiqing; Forsyth, P. A.; Labahn, G. 8 2012 Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341Forsyth, Peter A. 8 2020 Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth 8 2002 A two-phase, two-component model for natural convection in a porous medium. Zbl 0723.76087Forsyth, P. A.; Simpson, R. B. 8 1991 Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion. Zbl 1394.91336Huang, Yiqing; Forsyth, P. A.; Labahn, G. 8 2013 Wireless network capacity management: a real options approach. Zbl 1137.91439D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R. 7 2007 Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization. Zbl 1297.90148Tse, Shu Tong; Forsyth, Peter A.; Li, Yuying 7 2014 A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. Zbl 1306.60039Babbin, J.; Forsyth, P. A.; Labahn, G. 7 2014 Linear and non-linear iterative methods for the incompressible Navier- Stokes equations. Zbl 0791.76061Clift, Simon S.; Forsyth, Peter A. 6 1994 Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. Zbl 1072.91578Forsyth, P. A.; Vetzal, K. R. 6 2001 Public goods games with reward in finite populations. Zbl 1230.92004Forsyth, Peter A. I.; Hauert, Christoph 6 2011 Convergence of the embedded mean-variance optimal points with discrete sampling. Zbl 1408.65039Dang, Duy-Minh; Forsyth, Peter A.; Li, Yuying 6 2016 The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors. Zbl 1487.91130van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 6 2021 Incomplete factorization methods for three-dimensional non-symmetric problems. Zbl 0517.76102Behie, A.; Collins, D.; Forsyth, P. jun. 5 1984 Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 5 2019 On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 5 2021 Unstructured meshing for two asset barrier options. Zbl 1013.91044Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.; Simpson, R. B. 4 2000 Three-dimensional modelling of steam flush for DNAPL site remediation. Zbl 0831.76042Forsyth, P. A. 4 1994 Solution of time dependent electrochemical machining problems by a co- ordinate transformation. Zbl 0418.65065Forsyth, P. jun.; Rasmussen, H. 4 1979 Preconditioning methods for very ill-conditioned three-dimensional linear elasticity problems. Zbl 0939.74065Graham, E.; Forsyth, P. A. 4 1999 Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137Forsyth, Peter A. 4 2020 A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. Zbl 1411.91304Li, Yuying; Forsyth, Peter A. 4 2019 Hedging costs for variable annuities under regime-switching. Zbl 1418.91228Azimzadeh, Parsiad; Forsyth, Peter A.; Vetzal, Kenneth R. 3 2014 Adaptive implicit criteria for two-phase flow with gravity and capillary pressure. Zbl 0667.76138Forsyth, P. A. 3 1989 An object-oriented framework for valuing shout options on high-performance computer architectures. Zbl 1178.91205Windcliff, H.; Vetzal, K. R.; Forsyth, P. A.; Verma, A.; Coleman, T. F. 3 2003 Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 3 2019 Drop tolerance preconditioning for incompressible viscous flow. Zbl 0757.76034D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P. 2 1992 Comparison of the single-phase and two-phase numerical model formulation for saturated-unsaturated groundwater flow. Zbl 0631.76110Forsyth, Peter A. 2 1988 Instability in Runge-Kutta schemes for simulation of oil recovery. Zbl 0553.65085Sammon, P. H.; Forsyth, P. jun. 2 1984 Two variants of minimum discarded fill ordering. Zbl 0785.65021D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai 2 1992 Performance issues for iterative solvers in device simulation. Zbl 0847.65022Fan, Qing; Forsyth, P. A.; McMacken, J. R. F.; Tang, Wei-Pai 2 1996 Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 2 2020 High order perturbation solution of the electrochemical smoothing problem. Zbl 0426.65070Forsyth, P. jun.; Rasmussen, H. 1 1980 Comparison of variational inequality and front-tracking solution of an electrochemical machining problem. Zbl 0441.65095Forsyth, P. jun.; Rasmussen, H. 1 1980 A control volume finite element method for three-dimensional NAPL groundwater contamination. Zbl 0739.76052Letniowski, F. W.; Forsyth, P. A. 1 1991 A comparison of GMRES and CGSTAB accelerations for incompressible Navier- Stokes problems. Zbl 0772.76059Chin, P.; Forsyth, P. A. 1 1993 A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264Forsyth, Peter A. 1 2022 Representation learning for dynamic graphs: a survey. Zbl 1498.68243Kazemi, Seyed Mehran; Goel, Rishab; Jain, Kshitij; Kobyzev, Ivan; Sethi, Akshay; Forsyth, Peter; Poupart, Pascal 1 2020 Two stage decumulation strategies for dc plan investors. Zbl 1466.91256Forsyth, Peter A. 1 2021 A stochastic control approach to defined contribution plan decumulation: “The nastiest, hardest problem in finance”. Zbl 1497.91264Forsyth, Peter A. 1 2022 The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors. Zbl 1487.91130van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 6 2021 On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 5 2021 Two stage decumulation strategies for dc plan investors. Zbl 1466.91256Forsyth, Peter A. 1 2021 Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341Forsyth, Peter A. 8 2020 Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137Forsyth, Peter A. 4 2020 Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 2 2020 Representation learning for dynamic graphs: a survey. Zbl 1498.68243Kazemi, Seyed Mehran; Goel, Rishab; Jain, Kshitij; Kobyzev, Ivan; Sethi, Akshay; Forsyth, Peter; Poupart, Pascal 1 2020 Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413Forsyth, Peter A.; Vetzal, Kenneth R. 9 2019 Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 5 2019 A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. Zbl 1411.91304Li, Yuying; Forsyth, Peter A. 4 2019 Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham 3 2019 Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. Zbl 1417.91558Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 17 2018 Robust asset allocation for long-term target-based investing. Zbl 1396.91686Forsyth, P. A.; Vetzal, K. R. 10 2017 An unconditionally monotone numerical scheme for the two-factor uncertain volatility model. Zbl 1433.65162Ma, K.; Forsyth, P. A. 10 2017 The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Zbl 1402.91682Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R. 9 2017 Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. Zbl 1348.91250Dang, D. M.; Forsyth, P. A. 33 2016 Weakly chained matrices, policy iteration, and impulse control. Zbl 1338.65174Azimzadeh, P.; Forsyth, P. A. 13 2016 Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations. Zbl 1382.65256Reisinger, C.; Forsyth, P. A. 10 2016 Convergence of the embedded mean-variance optimal points with discrete sampling. Zbl 1408.65039Dang, Duy-Minh; Forsyth, Peter A.; Li, Yuying 6 2016 The existence of optimal bang-bang controls for GMxB contracts. Zbl 1422.91678Azimzadeh, P.; Forsyth, P. A. 10 2015 An optimal stochastic control framework for determining the cost of hedging of variable annuities. Zbl 1402.93266Forsyth, Peter; Vetzal, Kenneth 20 2014 Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. Zbl 1284.91569Dang, Duy-Minh; Forsyth, Peter A. 19 2014 Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization. Zbl 1297.90148Tse, Shu Tong; Forsyth, Peter A.; Li, Yuying 7 2014 A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. Zbl 1306.60039Babbin, J.; Forsyth, P. A.; Labahn, G. 7 2014 Hedging costs for variable annuities under regime-switching. Zbl 1418.91228Azimzadeh, Parsiad; Forsyth, Peter A.; Vetzal, Kenneth R. 3 2014 Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H. 11 2013 Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion. Zbl 1394.91336Huang, Yiqing; Forsyth, P. A.; Labahn, G. 8 2013 Optimal trade execution: a mean quadratic variation approach. Zbl 1347.91228Forsyth, P. A.; Kennedy, J. S.; Tse, S. T.; Windcliff, H. 39 2012 Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB). Zbl 1235.91093Huang, Yiqing; Forsyth, P. A. 16 2012 Numerical methods for nonlinear PDEs in finance. Zbl 1229.91337Forsyth, Peter A.; Vetzal, Kenneth R. 13 2012 Comparison of mean variance like strategies for optimal asset allocation problems. Zbl 1282.91312Wang, J.; Forsyth, P. A. 11 2012 Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance. Zbl 1250.91101Huang, Yiqing; Forsyth, P. A.; Labahn, G. 9 2012 Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. Zbl 1247.91198Huang, Yiqing; Forsyth, P. A.; Labahn, G. 8 2012 Continuous time mean variance asset allocation: a time-consistent strategy. Zbl 1208.91139Wang, J.; Forsyth, P. A. 65 2011 Methods for pricing American options under regime switching. Zbl 1232.91707Huang, Yiqing; Forsyth, P. A.; Labahn, G. 25 2011 A Hamilton-Jacobi-Bellman approach to optimal trade execution. Zbl 1231.91492Forsyth, Peter A. 17 2011 Public goods games with reward in finite populations. Zbl 1230.92004Forsyth, Peter A. I.; Hauert, Christoph 6 2011 Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation. Zbl 1182.91161Wang, J.; Forsyth, P. A. 26 2010 Implications of a regime-switching model on natural gas storage valuation and optimal operation. Zbl 1198.91204Chen, Zhuliang; Forsyth, Peter A. 14 2010 Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066Bélanger, A. C.; Forsyth, P. A.; Labahn, G. 21 2009 Dynamic hedging under jump diffusion with transaction costs. Zbl 1233.91246Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R. 13 2009 A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Zbl 1141.93066Chen, Zhuliang; Forsyth, Peter A. 39 2008 The effect of modelling parameters on the value of GMWB guarantees. Zbl 1141.91024Chen, Z.; Vetzal, K.; Forsyth, P. A. 39 2008 Numerical solution of two asset jump diffusion models for option valuation. Zbl 1136.91422Clift, Simon S.; Forsyth, Peter A. 35 2008 Maximal use of central differencing for Hamilton-Jacobi-Bellman PDEs in finance. Zbl 1166.65046Wang, J.; Forsyth, P. A. 32 2008 A semi-Lagrangian approach for natural gas storage valuation and optimal operation. Zbl 1159.65352Chen, Zhuliang; Forsyth, Peter A. 23 2007 Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Zbl 1152.91033Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R. 9 2007 Wireless network capacity management: a real options approach. Zbl 1137.91439D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R. 7 2007 Calibration and hedging under jump diffusion. Zbl 1274.91414He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R. 22 2006 Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R. 12 2006 Robust numerical methods for contingent claims under jump diffusion processes. Zbl 1134.91405D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R. 96 2005 A semi-Lagrangian approach for American Asian options under jump diffusion. Zbl 1149.65316d’Halluin, Y.; Forsyth, P. A.; Labahn, G. 44 2005 A penalty method for American options with jump diffusion processes. Zbl 1126.91036d’Halluin, Y.; Forsyth, P. A.; Labahn, G. 85 2004 Numerical convergence properties of option pricing PDEs with uncertain volatility. Zbl 1040.91053Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R. 54 2003 An object-oriented framework for valuing shout options on high-performance computer architectures. Zbl 1178.91205Windcliff, H.; Vetzal, K. R.; Forsyth, P. A.; Verma, A.; Coleman, T. F. 3 2003 Quadratic convergence for valuing American options using a penalty method. Zbl 1020.91017Forsyth, P. A.; Vetzal, K. R. 117 2002 Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022Forsyth, P. A.; Vetzal, K. R.; Zvan, R. 22 2002 Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth 8 2002 A finite volume approach for contingent claims valuation. Zbl 1004.91032Zvan, R.; Forsyth, P. A.; Vetzal, K. R. 34 2001 Valuation of segregated funds: shout options with maturity extensions. Zbl 1055.91036Windcliff, H.; Forsyth, P. A.; Vetzal, K. R. 18 2001 Shout options: A framework for pricing contracts which can be modified by the investor. Zbl 1017.91060Windcliff, H.; Forsyth, P. A.; Vetzal, K. R. 15 2001 A numerical PDE approach for pricing callable bonds. Zbl 1026.91046D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G. 11 2001 Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. Zbl 1072.91578Forsyth, P. A.; Vetzal, K. R. 6 2001 PDE methods for pricing barrier options. Zbl 0967.91023Zvan, R.; Vetzal, K. R.; Forsyth, P. A. 55 2000 Unstructured meshing for two asset barrier options. Zbl 1013.91044Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.; Simpson, R. B. 4 2000 A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030Forsyth, P. A.; Vetzal, K. R.; Zvan, R. 29 1999 Preconditioning methods for very ill-conditioned three-dimensional linear elasticity problems. Zbl 0939.74065Graham, E.; Forsyth, P. A. 4 1999 Penalty methods for American options with stochastic volatility. Zbl 0945.65005Zvan, R.; Forsyth, P. A.; Vetzal, K. R. 133 1998 Monotonicity considerations for saturated–unsaturated subsurface flow. Zbl 0897.76048Forsyth, P. A.; Kropinski, M. C. 14 1997 Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations. Zbl 0884.76062Forsyth, P. A.; Jiang, H. 10 1997 Performance issues for iterative solvers in device simulation. Zbl 0847.65022Fan, Qing; Forsyth, P. A.; McMacken, J. R. F.; Tang, Wei-Pai 2 1996 Robust linear and nonlinear strategies for solution of the transonic Euler equations. Zbl 0845.76070Jiang, H.; Forsyth, P. A. 9 1995 Preconditioned conjugate gradient methods for three-dimensional linear elasticity. Zbl 0806.73066Dickinson, J. K.; Forsyth, P. A. 14 1994 Linear and non-linear iterative methods for the incompressible Navier- Stokes equations. Zbl 0791.76061Clift, Simon S.; Forsyth, Peter A. 6 1994 Three-dimensional modelling of steam flush for DNAPL site remediation. Zbl 0831.76042Forsyth, P. A. 4 1994 A comparison of GMRES and CGSTAB accelerations for incompressible Navier- Stokes problems. Zbl 0772.76059Chin, P.; Forsyth, P. A. 1 1993 Ordering methods for preconditioned conjugate gradient methods applied to unstructured grid problems. Zbl 0760.65028D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai 27 1992 Towards a cost-effective ILU preconditioner with high level fill. Zbl 0761.65017D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai 19 1992 Preconditioned conjugate gradient methods for the incompressible Navier- Stokes equations. Zbl 0753.76132Chin, P.; D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P. 9 1992 Drop tolerance preconditioning for incompressible viscous flow. Zbl 0757.76034D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P. 2 1992 Two variants of minimum discarded fill ordering. Zbl 0785.65021D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai 2 1992 A control volume finite element approach to NAPL groundwater contamination. Zbl 0725.76087Forsyth, Peter A. 42 1991 A two-phase, two-component model for natural convection in a porous medium. Zbl 0723.76087Forsyth, P. A.; Simpson, R. B. 8 1991 A control volume finite element method for three-dimensional NAPL groundwater contamination. Zbl 0739.76052Letniowski, F. W.; Forsyth, P. A. 1 1991 Adaptive implicit criteria for two-phase flow with gravity and capillary pressure. Zbl 0667.76138Forsyth, P. A. 3 1989 Quadratic convergence for cell-centered grids. Zbl 0651.65086Forsyth, P. A. jun.; Sammon, P. H. 40 1988 Comparison of the single-phase and two-phase numerical model formulation for saturated-unsaturated groundwater flow. Zbl 0631.76110Forsyth, Peter A. 2 1988 Practical considerations for adaptive implicit methods in reservoir simulation. Zbl 0605.76104Forsyth, P. A. jun.; Sammon, P. H. 14 1986 Incomplete factorization methods for fully implicit simulation of enhanced oil recovery. Zbl 0548.65017Behie, G. A.; Forsyth, P. A. jun. 18 1984 Incomplete factorization methods for three-dimensional non-symmetric problems. Zbl 0517.76102Behie, A.; Collins, D.; Forsyth, P. jun. 5 1984 Instability in Runge-Kutta schemes for simulation of oil recovery. Zbl 0553.65085Sammon, P. H.; Forsyth, P. jun. 2 1984 Comparison of fast iterative methods for symmetric systems. Zbl 0514.65076Behie, A.; Forsyth, P. jun. 10 1983 Multi-grid solution of three-dimensional problems with discontinuous coefficients. Zbl 0534.65064Behie, A.; Forsyth, P. A. jun. 10 1983 High order perturbation solution of the electrochemical smoothing problem. Zbl 0426.65070Forsyth, P. jun.; Rasmussen, H. 1 1980 Comparison of variational inequality and front-tracking solution of an electrochemical machining problem. Zbl 0441.65095Forsyth, P. jun.; Rasmussen, H. 1 1980 Solution of time dependent electrochemical machining problems by a co- ordinate transformation. Zbl 0418.65065Forsyth, P. jun.; Rasmussen, H. 4 1979 all cited Publications top 5 cited Publications all top 5 Cited by 1,542 Authors 66 Forsyth, Peter A. 21 Vetzal, Kenneth R. 19 Company, Rafael 17 Jódar Sanchez, Lucas Antonio 17 Oosterlee, Cornelis Willebrordus 17 Vázquez Cendón, Carlos 15 Zhu, Songping 14 Dang, Duy Minh 13 Khaliq, Abdul Q. M. 13 Reisinger, Christoph 12 Wang, Song 11 Ballestra, Luca Vincenzo 11 Dai, Min 11 Egorova, Vera N. 11 Kwok, Yue-Kuen 10 Tangman, Désiré Yannick 10 Yousuf, Muhammad Irfan 9 Ferreira, José Augusto 9 Wong, Hoi Ying 9 Yang, Xiaoqi 9 Yoshioka, Hidekazu 8 Cui, Xiangyu 8 Feng, Runhuan 8 Koleva, Miglena Nikolaeva 8 Li, Yuying 8 Lu, Xiaoping 8 Tchelepi, Hamdi A. 8 Windcliff, Heath 7 Azimzadeh, Parsiad 7 Bhuruth, Muddun 7 Cen, Zhongdi 7 Chiu, Mei Choi 7 Coleman, Thomas F. 7 Dai, Tian-Shyr 7 Le, Anbo 7 Lyuu, Yuh-Dauh 7 Rivière, Beatrice M. 7 Toivanen, Jari 7 Vulkov, Lubin G. 7 Zanette, Antonino 7 Zeng, Yan 6 Düring, Bertram 6 Eymard, Robert 6 Gan, Guojun 6 Herbin, Raphaèle 6 Li, Xun 6 Picarelli, Athena 6 Russo, Emilio 6 Wan, Justin W. L. 6 Zhang, Jun 5 Chen, Zhangxin 5 Chen, Zhiping 5 Christara, Christina C. 5 Cui, Zhenyu 5 del Carmen Calvo-Garrido, Maria 5 Gallouët, Thierry 5 Jin, Zhuo 5 Kim, Junseok 5 Labahn, George 5 Li, Zhongfei 5 Ma, Guiyuan 5 Pacelli, Graziella 5 Parand, Kourosh 5 Patidar, Kailash C. 5 Pintos, José Ramón 5 Rad, Jamal Amani 5 Salvador, Beatriz 5 Ševčovič, Daniel 5 Siu, Tak Kuen 5 Soleymani, Fazlollah 5 Teo, Kok Lay 5 Turner, Ian William 5 Valkov, Radoslav L. 5 Van Staden, Pieter M. 5 Wang, Wansheng 5 Yaegashi, Yuta 5 Zhang, Kai 4 Arregui, Iñigo A. 4 Barbeiro, Sílvia 4 Bayraktar, Erhan 4 Bernard, Carole L. 4 Cancès, Clément 4 Chiarella, Carl 4 Costabile, Massimo 4 Ferronato, Massimiliano 4 Gambolati, Giuseppe 4 Guardasoni, Chiara 4 in ’t Hout, Karel J. 4 Jaimungal, Sebastian 4 Kadalbajoo, Mohan K. 4 Kumar, Alpesh 4 Lee, Younhee 4 Li, Gang 4 Li, Xiaoli 4 Marcozzi, Michael D. 4 Massabó, Ivar 4 Molent, Andrea 4 Mollapourasl, Reza 4 Pindza, Edson 4 Rui, Hongxing ...and 1,442 more Authors all top 5 Cited in 190 Serials 70 Journal of Computational and Applied Mathematics 57 Applied Mathematics and Computation 51 Insurance Mathematics & Economics 48 International Journal of Theoretical and Applied Finance 44 Computers & Mathematics with Applications 42 Quantitative Finance 39 European Journal of Operational Research 37 Applied Numerical Mathematics 36 International Journal of Computer Mathematics 35 Journal of Economic Dynamics & Control 32 Journal of Computational Physics 21 Applied Mathematical Finance 19 Journal of Scientific Computing 18 Computer Methods in Applied Mechanics and Engineering 18 SIAM Journal on Financial Mathematics 14 North American Actuarial Journal 12 Numerische Mathematik 11 Computers and Fluids 9 SIAM Journal on Scientific Computing 9 Mathematical Finance 9 Computational Geosciences 9 ASTIN Bulletin 9 Journal of Industrial and Management Optimization 8 BIT 8 SIAM Journal on Numerical Analysis 7 International Journal for Numerical Methods in Fluids 7 International Journal for Numerical Methods in Engineering 7 Mathematics and Computers in Simulation 7 Finance and Stochastics 7 Mathematical Methods of Operations Research 7 Communications in Nonlinear Science and Numerical Simulation 7 Review of Derivatives Research 6 Applied Mathematics and Optimization 6 Numerical Methods for Partial Differential Equations 6 Japan Journal of Industrial and Applied Mathematics 6 Stochastic Processes and their Applications 6 Engineering Analysis with Boundary Elements 6 Mathematical Problems in Engineering 6 The ANZIAM Journal 6 Scandinavian Actuarial Journal 6 Decisions in Economics and Finance 6 Journal of Applied Mathematics 5 Journal of Mathematical Analysis and Applications 5 Physica A 5 Journal of Optimization Theory and Applications 5 Mathematical and Computer Modelling 5 Journal of Global Optimization 5 Applied Mathematical Modelling 5 Numerical Linear Algebra with Applications 5 Computational and Applied Mathematics 5 Abstract and Applied Analysis 5 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 5 European Actuarial Journal 4 Mathematics of Computation 4 SIAM Journal on Control and Optimization 4 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 4 Numerical Algorithms 4 Communications in Numerical Methods in Engineering 4 Discrete Dynamics in Nature and Society 4 M2AN. Mathematical Modelling and Numerical Analysis. ESAIM, European Series in Applied and Industrial Mathematics 4 Asia-Pacific Financial Markets 4 Computational Management Science 3 Automatica 3 Applied Mathematics Letters 3 Computational Optimization and Applications 3 Computational Economics 3 Journal of Systems Science and Complexity 3 Journal of Applied Mathematics and Computing 3 Stochastics 3 Mathematics and Financial Economics 3 S\(\vec{\text{e}}\)MA Journal 3 Journal of the Operations Research Society of China 2 International Journal for Numerical and Analytical Methods in Geomechanics 2 Journal of Differential Equations 2 Operations Research 2 Operations Research Letters 2 Stochastic Analysis and Applications 2 Computers & Operations Research 2 Computational Mechanics 2 Annals of Operations Research 2 The Annals of Applied Probability 2 Journal of Difference Equations and Applications 2 Journal of Inequalities and Applications 2 Methodology and Computing in Applied Probability 2 Acta Mathematica Scientia. Series B. (English Edition) 2 Journal of Numerical Mathematics 2 Journal of Function Spaces and Applications 2 Advances in Difference Equations 2 Journal of Biological Dynamics 2 Discrete and Continuous Dynamical Systems. Series S 2 International Journal for Numerical Methods in Biomedical Engineering 2 International Journal of Advances in Engineering Sciences and Applied Mathematics 2 Annals of Finance 2 ISRN Applied Mathematics 2 Journal of Theoretical Biology 2 East Asian Journal on Applied Mathematics 2 Journal of Mathematical Modeling 1 Acta Informatica 1 Applicable Analysis 1 International Journal of Control ...and 90 more Serials all top 5 Cited in 31 Fields 752 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 506 Numerical analysis (65-XX) 264 Probability theory and stochastic processes (60-XX) 206 Partial differential equations (35-XX) 119 Systems theory; control (93-XX) 112 Fluid mechanics (76-XX) 73 Calculus of variations and optimal control; optimization (49-XX) 73 Operations research, mathematical programming (90-XX) 33 Statistics (62-XX) 32 Integral equations (45-XX) 29 Mechanics of deformable solids (74-XX) 17 Computer science (68-XX) 15 Biology and other natural sciences (92-XX) 13 Classical thermodynamics, heat transfer (80-XX) 13 Geophysics (86-XX) 8 Ordinary differential equations (34-XX) 5 Real functions (26-XX) 5 Approximations and expansions (41-XX) 4 Combinatorics (05-XX) 4 Difference and functional equations (39-XX) 4 Optics, electromagnetic theory (78-XX) 4 Statistical mechanics, structure of matter (82-XX) 2 History and biography (01-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Integral transforms, operational calculus (44-XX) 2 Operator theory (47-XX) 2 Information and communication theory, circuits (94-XX) 1 Field theory and polynomials (12-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 General topology (54-XX) 1 Global analysis, analysis on manifolds (58-XX) Citations by Year