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Author ID: forsyth.peter-a Recent zbMATH articles by "Forsyth, Peter A."
Published as: Forsyth, P. A.; Forsyth, Peter A.; Forsyth, P. jun.; Forsyth, P. A. jun.; Forsyth, Peter; Forsyth, P.; Forsyth, Peter A. I.
Homepage: https://cs.uwaterloo.ca/~paforsyt/
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

96 Publications have been cited 1,691 times in 1,030 Documents Cited by Year
Penalty methods for American options with stochastic volatility. Zbl 0945.65005
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
123
1998
Quadratic convergence for valuing American options using a penalty method. Zbl 1020.91017
Forsyth, P. A.; Vetzal, K. R.
115
2002
Robust numerical methods for contingent claims under jump diffusion processes. Zbl 1134.91405
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
93
2005
A penalty method for American options with jump diffusion processes. Zbl 1126.91036
d’Halluin, Y.; Forsyth, P. A.; Labahn, G.
84
2004
Continuous time mean variance asset allocation: a time-consistent strategy. Zbl 1208.91139
Wang, J.; Forsyth, P. A.
61
2011
Numerical convergence properties of option pricing PDEs with uncertain volatility. Zbl 1040.91053
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.
53
2003
PDE methods for pricing barrier options. Zbl 0967.91023
Zvan, R.; Vetzal, K. R.; Forsyth, P. A.
52
2000
A semi-Lagrangian approach for American Asian options under jump diffusion. Zbl 1149.65316
d’Halluin, Y.; Forsyth, P. A.; Labahn, G.
43
2005
Optimal trade execution: a mean quadratic variation approach. Zbl 1347.91228
Forsyth, P. A.; Kennedy, J. S.; Tse, S. T.; Windcliff, H.
39
2012
The effect of modelling parameters on the value of GMWB guarantees. Zbl 1141.91024
Chen, Z.; Vetzal, K.; Forsyth, P. A.
39
2008
Quadratic convergence for cell-centered grids. Zbl 0651.65086
Forsyth, P. A. jun.; Sammon, P. H.
39
1988
A control volume finite element approach to NAPL groundwater contamination. Zbl 0725.76087
Forsyth, Peter A.
39
1991
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Zbl 1141.93066
Chen, Zhuliang; Forsyth, Peter A.
38
2008
A finite volume approach for contingent claims valuation. Zbl 1004.91032
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
34
2001
Numerical solution of two asset jump diffusion models for option valuation. Zbl 1136.91422
Clift, Simon S.; Forsyth, Peter A.
33
2008
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. Zbl 1348.91250
Dang, D. M.; Forsyth, P. A.
30
2016
Maximal use of central differencing for Hamilton-Jacobi-Bellman PDEs in finance. Zbl 1166.65046
Wang, J.; Forsyth, P. A.
30
2008
Ordering methods for preconditioned conjugate gradient methods applied to unstructured grid problems. Zbl 0760.65028
D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai
27
1992
A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
26
1999
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation. Zbl 1182.91161
Wang, J.; Forsyth, P. A.
24
2010
Methods for pricing American options under regime switching. Zbl 1232.91707
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
24
2011
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
22
2006
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
22
2002
A semi-Lagrangian approach for natural gas storage valuation and optimal operation. Zbl 1159.65352
Chen, Zhuliang; Forsyth, Peter A.
21
2007
Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066
Bélanger, A. C.; Forsyth, P. A.; Labahn, G.
20
2009
An optimal stochastic control framework for determining the cost of hedging of variable annuities. Zbl 1402.93266
Forsyth, Peter; Vetzal, Kenneth
20
2014
Towards a cost-effective ILU preconditioner with high level fill. Zbl 0761.65017
D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai
19
1992
Incomplete factorization methods for fully implicit simulation of enhanced oil recovery. Zbl 0548.65017
Behie, G. A.; Forsyth, P. A. jun.
18
1984
Valuation of segregated funds: shout options with maturity extensions. Zbl 1055.91036
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
18
2001
Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. Zbl 1284.91569
Dang, Duy-Minh; Forsyth, Peter A.
18
2014
A Hamilton-Jacobi-Bellman approach to optimal trade execution. Zbl 1231.91492
Forsyth, Peter A.
16
2011
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. Zbl 1417.91558
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
16
2018
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB). Zbl 1235.91093
Huang, Yiqing; Forsyth, P. A.
16
2012
Shout options: A framework for pricing contracts which can be modified by the investor. Zbl 1017.91060
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
15
2001
Practical considerations for adaptive implicit methods in reservoir simulation. Zbl 0605.76104
Forsyth, P. A. jun.; Sammon, P. H.
14
1986
Implications of a regime-switching model on natural gas storage valuation and optimal operation. Zbl 1198.91204
Chen, Zhuliang; Forsyth, Peter A.
14
2010
Monotonicity considerations for saturated–unsaturated subsurface flow. Zbl 0897.76048
Forsyth, P. A.; Kropinski, M. C.
14
1997
Preconditioned conjugate gradient methods for three-dimensional linear elasticity. Zbl 0806.73066
Dickinson, J. K.; Forsyth, P. A.
14
1994
Dynamic hedging under jump diffusion with transaction costs. Zbl 1233.91246
Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R.
13
2009
Weakly chained matrices, policy iteration, and impulse control. Zbl 1338.65174
Azimzadeh, P.; Forsyth, P. A.
13
2016
Numerical methods for nonlinear PDEs in finance. Zbl 1229.91337
Forsyth, Peter A.; Vetzal, Kenneth R.
12
2012
Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570
Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R.
11
2006
A numerical PDE approach for pricing callable bonds. Zbl 1026.91046
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G.
11
2001
Comparison of fast iterative methods for symmetric systems. Zbl 0514.65076
Behie, A.; Forsyth, P. jun.
10
1983
Multi-grid solution of three-dimensional problems with discontinuous coefficients. Zbl 0534.65064
Behie, A.; Forsyth, P. A. jun.
10
1983
The existence of optimal bang-bang controls for GMxB contracts. Zbl 1422.91678
Azimzadeh, P.; Forsyth, P. A.
10
2015
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations. Zbl 1382.65256
Reisinger, C.; Forsyth, P. A.
10
2016
Comparison of mean variance like strategies for optimal asset allocation problems. Zbl 1282.91312
Wang, J.; Forsyth, P. A.
10
2012
Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705
Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H.
10
2013
An unconditionally monotone numerical scheme for the two-factor uncertain volatility model. Zbl 1433.65162
Ma, K.; Forsyth, P. A.
10
2017
Preconditioned conjugate gradient methods for the incompressible Navier- Stokes equations. Zbl 0753.76132
Chin, P.; D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P.
9
1992
Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance. Zbl 1250.91101
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
9
2012
Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations. Zbl 0884.76062
Forsyth, P. A.; Jiang, H.
9
1997
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. Zbl 1247.91198
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
8
2012
Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509
Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth
8
2002
Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Zbl 1152.91033
Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R.
8
2007
Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
8
2019
A two-phase, two-component model for natural convection in a porous medium. Zbl 0723.76087
Forsyth, P. A.; Simpson, R. B.
8
1991
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341
Forsyth, Peter A.
8
2020
Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion. Zbl 1394.91336
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
8
2013
Robust asset allocation for long-term target-based investing. Zbl 1396.91686
Forsyth, P. A.; Vetzal, K. R.
8
2017
Robust linear and nonlinear strategies for solution of the transonic Euler equations. Zbl 0845.76070
Jiang, H.; Forsyth, P. A.
7
1995
Wireless network capacity management: a real options approach. Zbl 1137.91439
D’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 1297.90148
Tse, Shu Tong; Forsyth, Peter A.; Li, Yuying
7
2014
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Zbl 1402.91682
Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R.
7
2017
Public goods games with reward in finite populations. Zbl 1230.92004
Forsyth, Peter A. I.; Hauert, Christoph
6
2011
Linear and non-linear iterative methods for the incompressible Navier- Stokes equations. Zbl 0791.76061
Clift, Simon S.; Forsyth, Peter A.
6
1994
Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. Zbl 1072.91578
Forsyth, P. A.; Vetzal, K. R.
6
2001
A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. Zbl 1306.60039
Babbin, J.; Forsyth, P. A.; Labahn, G.
6
2014
Convergence of the embedded mean-variance optimal points with discrete sampling. Zbl 1408.65039
Dang, Duy-Minh; Forsyth, Peter A.; Li, Yuying
6
2016
Incomplete factorization methods for three-dimensional non-symmetric problems. Zbl 0517.76102
Behie, A.; Collins, D.; Forsyth, P. jun.
5
1984
Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
5
2019
Three-dimensional modelling of steam flush for DNAPL site remediation. Zbl 0831.76042
Forsyth, P. A.
4
1994
Unstructured meshing for two asset barrier options. Zbl 1013.91044
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.; Simpson, R. B.
4
2000
Preconditioning methods for very ill-conditioned three-dimensional linear elasticity problems. Zbl 0939.74065
Graham, E.; Forsyth, P. A.
4
1999
Solution of time dependent electrochemical machining problems by a co- ordinate transformation. Zbl 0418.65065
Forsyth, P. jun.; Rasmussen, H.
4
1979
Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137
Forsyth, Peter A.
4
2020
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors. Zbl 1487.91130
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
4
2021
An object-oriented framework for valuing shout options on high-performance computer architectures. Zbl 1178.91205
Windcliff, 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 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
3
2019
Hedging costs for variable annuities under regime-switching. Zbl 1418.91228
Azimzadeh, Parsiad; Forsyth, Peter A.; Vetzal, Kenneth R.
3
2014
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. Zbl 1411.91304
Li, Yuying; Forsyth, Peter A.
3
2019
Adaptive implicit criteria for two-phase flow with gravity and capillary pressure. Zbl 0667.76138
Forsyth, P. A.
3
1989
Instability in Runge-Kutta schemes for simulation of oil recovery. Zbl 0553.65085
Sammon, P. H.; Forsyth, P. jun.
2
1984
Performance issues for iterative solvers in device simulation. Zbl 0847.65022
Fan, Qing; Forsyth, P. A.; McMacken, J. R. F.; Tang, Wei-Pai
2
1996
Drop tolerance preconditioning for incompressible viscous flow. Zbl 0757.76034
D’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 0631.76110
Forsyth, Peter A.
2
1988
Two variants of minimum discarded fill ordering. Zbl 0785.65021
D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai
2
1992
Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2
2020
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
2
2021
High order perturbation solution of the electrochemical smoothing problem. Zbl 0426.65070
Forsyth, P. jun.; Rasmussen, H.
1
1980
A control volume finite element method for three-dimensional NAPL groundwater contamination. Zbl 0739.76052
Letniowski, F. W.; Forsyth, P. A.
1
1991
Comparison of variational inequality and front-tracking solution of an electrochemical machining problem. Zbl 0441.65095
Forsyth, P. jun.; Rasmussen, H.
1
1980
A comparison of GMRES and CGSTAB accelerations for incompressible Navier- Stokes problems. Zbl 0772.76059
Chin, P.; Forsyth, P. A.
1
1993
Representation learning for dynamic graphs: a survey. Zbl 07255101
Kazemi, 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 1466.91256
Forsyth, Peter A.
1
2021
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors. Zbl 1487.91130
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
4
2021
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
2
2021
Two stage decumulation strategies for dc plan investors. Zbl 1466.91256
Forsyth, Peter A.
1
2021
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341
Forsyth, Peter A.
8
2020
Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. Zbl 1447.91137
Forsyth, Peter A.
4
2020
Optimal asset allocation for DC pension decumulation with a variable spending rule. Zbl 1447.91138
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
2
2020
Representation learning for dynamic graphs: a survey. Zbl 07255101
Kazemi, 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 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
8
2019
Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
5
2019
Management of portfolio depletion risk through optimal life cycle asset allocation. Zbl 1426.91218
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham
3
2019
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. Zbl 1411.91304
Li, Yuying; Forsyth, Peter A.
3
2019
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach. Zbl 1417.91558
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
16
2018
An unconditionally monotone numerical scheme for the two-factor uncertain volatility model. Zbl 1433.65162
Ma, K.; Forsyth, P. A.
10
2017
Robust asset allocation for long-term target-based investing. Zbl 1396.91686
Forsyth, P. A.; Vetzal, K. R.
8
2017
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management. Zbl 1402.91682
Dang, Duy-Minh; Forsyth, P. A.; Vetzal, K. R.
7
2017
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach. Zbl 1348.91250
Dang, D. M.; Forsyth, P. A.
30
2016
Weakly chained matrices, policy iteration, and impulse control. Zbl 1338.65174
Azimzadeh, P.; Forsyth, P. A.
13
2016
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations. Zbl 1382.65256
Reisinger, C.; Forsyth, P. A.
10
2016
Convergence of the embedded mean-variance optimal points with discrete sampling. Zbl 1408.65039
Dang, Duy-Minh; Forsyth, Peter A.; Li, Yuying
6
2016
The existence of optimal bang-bang controls for GMxB contracts. Zbl 1422.91678
Azimzadeh, P.; Forsyth, P. A.
10
2015
An optimal stochastic control framework for determining the cost of hedging of variable annuities. Zbl 1402.93266
Forsyth, Peter; Vetzal, Kenneth
20
2014
Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach. Zbl 1284.91569
Dang, Duy-Minh; Forsyth, Peter A.
18
2014
Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization. Zbl 1297.90148
Tse, 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 1306.60039
Babbin, J.; Forsyth, P. A.; Labahn, G.
6
2014
Hedging costs for variable annuities under regime-switching. Zbl 1418.91228
Azimzadeh, Parsiad; Forsyth, Peter A.; Vetzal, Kenneth R.
3
2014
Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705
Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H.
10
2013
Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion. Zbl 1394.91336
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
8
2013
Optimal trade execution: a mean quadratic variation approach. Zbl 1347.91228
Forsyth, 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 1235.91093
Huang, Yiqing; Forsyth, P. A.
16
2012
Numerical methods for nonlinear PDEs in finance. Zbl 1229.91337
Forsyth, Peter A.; Vetzal, Kenneth R.
12
2012
Comparison of mean variance like strategies for optimal asset allocation problems. Zbl 1282.91312
Wang, J.; Forsyth, P. A.
10
2012
Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance. Zbl 1250.91101
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
9
2012
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. Zbl 1247.91198
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
8
2012
Continuous time mean variance asset allocation: a time-consistent strategy. Zbl 1208.91139
Wang, J.; Forsyth, P. A.
61
2011
Methods for pricing American options under regime switching. Zbl 1232.91707
Huang, Yiqing; Forsyth, P. A.; Labahn, G.
24
2011
A Hamilton-Jacobi-Bellman approach to optimal trade execution. Zbl 1231.91492
Forsyth, Peter A.
16
2011
Public goods games with reward in finite populations. Zbl 1230.92004
Forsyth, Peter A. I.; Hauert, Christoph
6
2011
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation. Zbl 1182.91161
Wang, J.; Forsyth, P. A.
24
2010
Implications of a regime-switching model on natural gas storage valuation and optimal operation. Zbl 1198.91204
Chen, Zhuliang; Forsyth, Peter A.
14
2010
Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066
Bélanger, A. C.; Forsyth, P. A.; Labahn, G.
20
2009
Dynamic hedging under jump diffusion with transaction costs. Zbl 1233.91246
Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R.
13
2009
The effect of modelling parameters on the value of GMWB guarantees. Zbl 1141.91024
Chen, Z.; Vetzal, K.; Forsyth, P. A.
39
2008
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Zbl 1141.93066
Chen, Zhuliang; Forsyth, Peter A.
38
2008
Numerical solution of two asset jump diffusion models for option valuation. Zbl 1136.91422
Clift, Simon S.; Forsyth, Peter A.
33
2008
Maximal use of central differencing for Hamilton-Jacobi-Bellman PDEs in finance. Zbl 1166.65046
Wang, J.; Forsyth, P. A.
30
2008
A semi-Lagrangian approach for natural gas storage valuation and optimal operation. Zbl 1159.65352
Chen, Zhuliang; Forsyth, Peter A.
21
2007
Hedging with a correlated asset: Solution of a nonlinear pricing PDE. Zbl 1152.91033
Windcliff, H.; Wang, J.; Forsyth, P. A.; Vetzal, K. R.
8
2007
Wireless network capacity management: a real options approach. Zbl 1137.91439
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
7
2007
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, 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 1142.91570
Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R.
11
2006
Robust numerical methods for contingent claims under jump diffusion processes. Zbl 1134.91405
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.
93
2005
A semi-Lagrangian approach for American Asian options under jump diffusion. Zbl 1149.65316
d’Halluin, Y.; Forsyth, P. A.; Labahn, G.
43
2005
A penalty method for American options with jump diffusion processes. Zbl 1126.91036
d’Halluin, Y.; Forsyth, P. A.; Labahn, G.
84
2004
Numerical convergence properties of option pricing PDEs with uncertain volatility. Zbl 1040.91053
Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.
53
2003
An object-oriented framework for valuing shout options on high-performance computer architectures. Zbl 1178.91205
Windcliff, 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 1020.91017
Forsyth, P. A.; Vetzal, K. R.
115
2002
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
22
2002
Understanding the behavior and hedging of segregated funds offering the reset feature. Zbl 1084.91509
Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth
8
2002
A finite volume approach for contingent claims valuation. Zbl 1004.91032
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
34
2001
Valuation of segregated funds: shout options with maturity extensions. Zbl 1055.91036
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
18
2001
Shout options: A framework for pricing contracts which can be modified by the investor. Zbl 1017.91060
Windcliff, H.; Forsyth, P. A.; Vetzal, K. R.
15
2001
A numerical PDE approach for pricing callable bonds. Zbl 1026.91046
D’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 1072.91578
Forsyth, P. A.; Vetzal, K. R.
6
2001
PDE methods for pricing barrier options. Zbl 0967.91023
Zvan, R.; Vetzal, K. R.; Forsyth, P. A.
52
2000
Unstructured meshing for two asset barrier options. Zbl 1013.91044
Pooley, 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 1009.91030
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
26
1999
Preconditioning methods for very ill-conditioned three-dimensional linear elasticity problems. Zbl 0939.74065
Graham, E.; Forsyth, P. A.
4
1999
Penalty methods for American options with stochastic volatility. Zbl 0945.65005
Zvan, R.; Forsyth, P. A.; Vetzal, K. R.
123
1998
Monotonicity considerations for saturated–unsaturated subsurface flow. Zbl 0897.76048
Forsyth, P. A.; Kropinski, M. C.
14
1997
Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations. Zbl 0884.76062
Forsyth, P. A.; Jiang, H.
9
1997
Performance issues for iterative solvers in device simulation. Zbl 0847.65022
Fan, 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 0845.76070
Jiang, H.; Forsyth, P. A.
7
1995
Preconditioned conjugate gradient methods for three-dimensional linear elasticity. Zbl 0806.73066
Dickinson, J. K.; Forsyth, P. A.
14
1994
Linear and non-linear iterative methods for the incompressible Navier- Stokes equations. Zbl 0791.76061
Clift, Simon S.; Forsyth, Peter A.
6
1994
Three-dimensional modelling of steam flush for DNAPL site remediation. Zbl 0831.76042
Forsyth, P. A.
4
1994
A comparison of GMRES and CGSTAB accelerations for incompressible Navier- Stokes problems. Zbl 0772.76059
Chin, P.; Forsyth, P. A.
1
1993
Ordering methods for preconditioned conjugate gradient methods applied to unstructured grid problems. Zbl 0760.65028
D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai
27
1992
Towards a cost-effective ILU preconditioner with high level fill. Zbl 0761.65017
D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai
19
1992
Preconditioned conjugate gradient methods for the incompressible Navier- Stokes equations. Zbl 0753.76132
Chin, P.; D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P.
9
1992
Drop tolerance preconditioning for incompressible viscous flow. Zbl 0757.76034
D’Azevedo, E. F.; Forsyth, P. A.; Tang, W.-P.
2
1992
Two variants of minimum discarded fill ordering. Zbl 0785.65021
D’Azevedo, E. F.; Forsyth, P. A.; Tang, Wei-Pai
2
1992
A control volume finite element approach to NAPL groundwater contamination. Zbl 0725.76087
Forsyth, Peter A.
39
1991
A two-phase, two-component model for natural convection in a porous medium. Zbl 0723.76087
Forsyth, P. A.; Simpson, R. B.
8
1991
A control volume finite element method for three-dimensional NAPL groundwater contamination. Zbl 0739.76052
Letniowski, F. W.; Forsyth, P. A.
1
1991
Adaptive implicit criteria for two-phase flow with gravity and capillary pressure. Zbl 0667.76138
Forsyth, P. A.
3
1989
Quadratic convergence for cell-centered grids. Zbl 0651.65086
Forsyth, P. A. jun.; Sammon, P. H.
39
1988
Comparison of the single-phase and two-phase numerical model formulation for saturated-unsaturated groundwater flow. Zbl 0631.76110
Forsyth, Peter A.
2
1988
Practical considerations for adaptive implicit methods in reservoir simulation. Zbl 0605.76104
Forsyth, P. A. jun.; Sammon, P. H.
14
1986
Incomplete factorization methods for fully implicit simulation of enhanced oil recovery. Zbl 0548.65017
Behie, G. A.; Forsyth, P. A. jun.
18
1984
Incomplete factorization methods for three-dimensional non-symmetric problems. Zbl 0517.76102
Behie, A.; Collins, D.; Forsyth, P. jun.
5
1984
Instability in Runge-Kutta schemes for simulation of oil recovery. Zbl 0553.65085
Sammon, P. H.; Forsyth, P. jun.
2
1984
Comparison of fast iterative methods for symmetric systems. Zbl 0514.65076
Behie, A.; Forsyth, P. jun.
10
1983
Multi-grid solution of three-dimensional problems with discontinuous coefficients. Zbl 0534.65064
Behie, A.; Forsyth, P. A. jun.
10
1983
High order perturbation solution of the electrochemical smoothing problem. Zbl 0426.65070
Forsyth, P. jun.; Rasmussen, H.
1
1980
Comparison of variational inequality and front-tracking solution of an electrochemical machining problem. Zbl 0441.65095
Forsyth, P. jun.; Rasmussen, H.
1
1980
Solution of time dependent electrochemical machining problems by a co- ordinate transformation. Zbl 0418.65065
Forsyth, P. jun.; Rasmussen, H.
4
1979
all top 5

Cited by 1,497 Authors

65 Forsyth, Peter A.
21 Vetzal, Kenneth R.
19 Company, Rafael
17 Jódar Sanchez, Lucas Antonio
17 Oosterlee, Cornelis Willebrordus
16 Vázquez Cendón, Carlos
14 Dang, Duy Minh
14 Zhu, Songping
13 Khaliq, Abdul Q. M.
13 Reisinger, Christoph
11 Ballestra, Luca Vincenzo
11 Dai, Min
11 Egorova, Vera N.
11 Kwok, Yue-Kuen
11 Wang, Song
10 Tangman, Désiré Yannick
10 Yousuf, Muhammad Irfan
9 Ferreira, José Augusto
9 Wong, Hoi Ying
9 Yang, Xiaoqi
9 Yoshioka, Hidekazu
8 Koleva, Miglena Nikolaeva
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 Feng, Runhuan
7 Le, Anbo
7 Li, Yuying
7 Lu, Xiaoping
7 Lyuu, Yuh-Dauh
7 Rivière, Beatrice M.
7 Toivanen, Jari
7 Vulkov, Lubin G.
7 Zanette, Antonino
7 Zeng, Yan
6 Cui, Xiangyu
6 Düring, Bertram
6 Eymard, Robert
6 Herbin, Raphaèle
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 Gallouët, Thierry
5 Gan, Guojun
5 Jin, Zhuo
5 Kim, Junseok
5 Labahn, George
5 Li, Xun
5 Li, Zhongfei
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 Soleymani, Fazlollah
5 Teo, Kok Lay
5 Turner, Ian William
5 Valkov, Radoslav L.
5 Van Staden, Pieter M.
5 Yaegashi, Yuta
5 Zhang, Kai
4 Arregui, Iñigo A.
4 Barbeiro, Sílvia
4 Bayraktar, Erhan
4 Bernard, Carole L.
4 Chiarella, Carl
4 Costabile, Massimo
4 del Carmen Calvo-Garrido, Maria
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 Ma, Guiyuan
4 Marcozzi, Michael D.
4 Massabó, Ivar
4 Molent, Andrea
4 Mollapourasl, Reza
4 Pindza, Edson
4 Rui, Hongxing
4 Saad, Yousef
4 Schied, Alexander
4 Siu, Chi Chung
...and 1,397 more Authors
all top 5

Cited in 188 Serials

68 Journal of Computational and Applied Mathematics
57 Applied Mathematics and Computation
51 Insurance Mathematics & Economics
47 International Journal of Theoretical and Applied Finance
44 Computers & Mathematics with Applications
40 Quantitative Finance
39 European Journal of Operational Research
37 Applied Numerical Mathematics
36 International Journal of Computer Mathematics
35 Journal of Economic Dynamics & Control
31 Journal of Computational Physics
21 Applied Mathematical Finance
18 Computer Methods in Applied Mechanics and Engineering
18 Journal of Scientific Computing
16 SIAM Journal on Financial Mathematics
13 North American Actuarial Journal
12 Numerische Mathematik
11 Computers and Fluids
9 SIAM Journal on Scientific Computing
9 Mathematical Finance
9 ASTIN Bulletin
8 BIT
8 SIAM Journal on Numerical Analysis
8 Computational Geosciences
8 Journal of Industrial and Management Optimization
7 International Journal for Numerical Methods in Fluids
7 International Journal for Numerical Methods in Engineering
7 Finance and Stochastics
7 Mathematical Methods of Operations Research
7 Review of Derivatives Research
6 Applied Mathematics and Optimization
6 Mathematics and Computers in Simulation
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 Communications in Nonlinear Science and Numerical Simulation
6 The ANZIAM Journal
6 Decisions in Economics and Finance
6 Journal of Applied Mathematics
5 Journal of Mathematical Analysis and Applications
5 Journal of Optimization Theory and Applications
5 Mathematical and Computer Modelling
5 Journal of Global Optimization
5 Numerical Linear Algebra with Applications
5 Abstract and Applied Analysis
5 Scandinavian Actuarial Journal
5 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
5 European Actuarial Journal
4 Physica A
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 Applied Mathematical Modelling
4 Communications in Numerical Methods in Engineering
4 Computational and Applied Mathematics
4 Discrete Dynamics in Nature and Society
4 M2AN. Mathematical Modelling and Numerical Analysis. ESAIM, European Series in Applied and Industrial Mathematics
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 Asia-Pacific Financial Markets
3 Mathematics and Financial Economics
3 S\(\vec{\text{e}}\)MA Journal
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 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 Journal of Numerical Mathematics
2 Journal of Function Spaces and Applications
2 Advances in Difference Equations
2 Stochastics
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
1 International Journal of Heat and Mass Transfer
1 Journal of Mathematical Biology
1 Journal of the Mechanics and Physics of Solids
...and 88 more Serials

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