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ORCIDPeter A. Forsyth
Person information
- affiliation: University of Waterloo, Waterloo, ON, Canada
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2020 – today
- 2024
[j30]Pieter M. van Staden
, Peter A. Forsyth, Yuying Li:
Across-time risk-aware strategies for outperforming a benchmark. Eur. J. Oper. Res. 313(2): 776-800 (2024)- 2023
- [j29]Pieter M. van Staden, Peter A. Forsyth, Yuying Li:
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM J. Financial Math. 14(2): 407-451 (2023) - [i1]Chendi Ni, Yuying Li, Peter A. Forsyth:
Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. CoRR abs/2304.05297 (2023) - 2021
- [j28]Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth:
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. Eur. J. Oper. Res. 289(2): 774-792 (2021) - [j27]Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth:
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies. SIAM J. Financial Math. 12(2): 566-603 (2021) - 2020
- [j26]Peter A. Forsyth:
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? SIAM J. Financial Math. 11(2): 358-384 (2020)
2010 – 2019
- 2019
- [j25]Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth:
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? SIAM J. Financial Math. 10(3): 815-856 (2019) - 2016
- [j24]Duy-Minh Dang, Peter A. Forsyth:
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach. Eur. J. Oper. Res. 250(3): 827-841 (2016) - [j23]Duy-Minh Dang, Peter A. Forsyth, Yuying Li:
Convergence of the embedded mean-variance optimal points with discrete sampling. Numerische Mathematik 132(2): 271-302 (2016) - [j22]Parsiad Azimzadeh, Peter A. Forsyth:
Weakly Chained Matrices, Policy Iteration, and Impulse Control. SIAM J. Numer. Anal. 54(3): 1341-1364 (2016) - 2015
- [j21]Parsiad Azimzadeh, Peter A. Forsyth:
The Existence of Optimal Bang-Bang Controls for GMxB Contracts. SIAM J. Financial Math. 6(1): 117-139 (2015) - 2014
- [j20]H.-T. Hwang, Y.-J. Park, E. A. Sudicky, Peter A. Forsyth:
A parallel computational framework to solve flow and transport in integrated surface-subsurface hydrologic systems. Environ. Model. Softw. 61: 39-58 (2014) - [j19]Josh Babbin, Peter A. Forsyth, George Labahn:
A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching. J. Sci. Comput. 58(2): 409-430 (2014) - [j18]Shu Tong Tse, Peter A. Forsyth, Yuying Li:
Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization. SIAM J. Control. Optim. 52(3): 1527-1546 (2014) - 2012
- [j17]Y. Huang, Peter A. Forsyth, George Labahn:
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. Numerische Mathematik 122(1): 133-167 (2012) - [j16]Y. Huang, Peter A. Forsyth, George Labahn:
Combined Fixed Point and Policy Iteration for Hamilton-Jacobi-Bellman Equations in Finance. SIAM J. Numer. Anal. 50(4): 1861-1882 (2012) - 2011
- [j15]Jian Wang, Peter A. Forsyth:
Continuous time mean variance asset allocation: A time-consistent strategy. Eur. J. Oper. Res. 209(2): 184-201 (2011) - [j14]Y. Huang, Peter A. Forsyth, George Labahn:
Methods for Pricing American Options under Regime Switching. SIAM J. Sci. Comput. 33(5): 2144-2168 (2011)
2000 – 2009
- 2009
- [j13]J. S. Kennedy, Peter A. Forsyth, Kenneth R. Vetzal:
Dynamic Hedging Under Jump Diffusion with Transaction Costs. Oper. Res. 57(3): 541-559 (2009) - 2008
- [j12]Zhuliang Chen, Peter A. Forsyth:
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Numerische Mathematik 109(4): 535-569 (2008) - [j11]Jian Wang, Peter A. Forsyth:
Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance. SIAM J. Numer. Anal. 46(3): 1580-1601 (2008) - 2007
- [j10]Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal:
Wireless network capacity management: A real options approach. Eur. J. Oper. Res. 176(1): 584-609 (2007) - [j9]Zhuliang Chen, Peter A. Forsyth:
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation. SIAM J. Sci. Comput. 30(1): 339-368 (2007) - 2005
- [j8]Yann d'Halluin, Peter A. Forsyth, George Labahn:
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion. SIAM J. Sci. Comput. 27(1): 315-345 (2005) - 2004
- [j7]Yann d'Halluin, Peter A. Forsyth, George Labahn:
A penalty method for American options with jump diffusion processes. Numerische Mathematik 97(2): 321-352 (2004) - 2003
- [c2]David M. Pooley, Peter A. Forsyth, Kenneth R. Vetzal:
Two Factor Option Pricing with Uncertain Volatility. ICCSA (3) 2003: 158-167 - 2002
- [j6]Peter A. Forsyth, Kenneth R. Vetzal:
Quadratic Convergence for Valuing American Options Using a Penalty Method. SIAM J. Sci. Comput. 23(6): 2095-2122 (2002) - [j5]Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal:
Managing capacity for telecommunications networks under uncertainty. IEEE/ACM Trans. Netw. 10(4): 579-587 (2002) - 2000
- [c1]Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn:
Numerical methods for pricing callable bonds. CIFEr 2000: 78-81
1990 – 1999
- 1997
- [j4]Peter A. Forsyth, Mary Catherine A. Kropinski:
Monotonicity Considerations for Saturated-Unsaturated Subsurface Flow. SIAM J. Sci. Comput. 18(5): 1328-1354 (1997) - 1996
- [j3]Qing Fan, Peter A. Forsyth, John R. F. McMacken, Wei-Pai Tang:
Performance Issues for Iterative Solvers in Device Simulation. SIAM J. Sci. Comput. 17(1): 100-117 (1996) - 1992
- [j2]E. F. D'Azevedo, Peter A. Forsyth, Wei-Pai Tang:
Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems. SIAM J. Matrix Anal. Appl. 13(3): 944-961 (1992) - 1991
- [j1]Peter A. Forsyth:
A Control Volume Finite Element Approach to NAPL Groundwater Contamination. SIAM J. Sci. Comput. 12(5): 1029-1057 (1991)
Coauthor Index
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