Peter A. Forsyth

33 papers Journal 31Unranked 2
YearRankTypeTitle / Venue / Authors
2024 J jnl
Across-time risk-aware strategies for outperforming a benchmark.
Eur. J. Oper. Res.
Pieter M. van Staden, Peter A. Forsyth, Yuying Li
2023 J jnl
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach.
SIAM J. Financial Math.
Pieter M. van Staden, Peter A. Forsyth, Yuying Li
2023 J jnl
Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach.
CoRR
Chendi Ni, Yuying Li, Peter A. Forsyth
2021 J jnl
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies.
SIAM J. Financial Math.
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
2021 J jnl
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors.
Eur. J. Oper. Res.
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
2020 J jnl
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
SIAM J. Financial Math.
Peter A. Forsyth
2019 J jnl
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
SIAM J. Financial Math.
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
2016 J jnl
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach.
Eur. J. Oper. Res.
Duy-Minh Dang, Peter A. Forsyth
2016 J jnl
Convergence of the embedded mean-variance optimal points with discrete sampling.
Numerische Mathematik
Duy-Minh Dang, Peter A. Forsyth, Yuying Li
2016 J jnl
Weakly Chained Matrices, Policy Iteration, and Impulse Control.
SIAM J. Numer. Anal.
Parsiad Azimzadeh, Peter A. Forsyth
2015 J jnl
The Existence of Optimal Bang-Bang Controls for GMxB Contracts.
SIAM J. Financial Math.
Parsiad Azimzadeh, Peter A. Forsyth
2014 J jnl
A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.
J. Sci. Comput.
Josh Babbin, Peter A. Forsyth, George Labahn
2014 J jnl
A parallel computational framework to solve flow and transport in integrated surface-subsurface hydrologic systems.
Environ. Model. Softw.
H.-T. Hwang, Y.-J. Park, E. A. Sudicky, Peter A. Forsyth
2014 J jnl
Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization.
SIAM J. Control. Optim.
Shu Tong Tse, Peter A. Forsyth, Yuying Li
2012 J jnl
Combined Fixed Point and Policy Iteration for Hamilton-Jacobi-Bellman Equations in Finance.
SIAM J. Numer. Anal.
Yiqing Huang, Peter A. Forsyth, George Labahn
2012 J jnl
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.
Numerische Mathematik
Yiqing Huang, Peter A. Forsyth, George Labahn
2011 J jnl
Continuous time mean variance asset allocation: A time-consistent strategy.
Eur. J. Oper. Res.
Jian Wang, Peter A. Forsyth
2011 J jnl
Methods for Pricing American Options under Regime Switching.
SIAM J. Sci. Comput.
Yiqing Huang, Peter A. Forsyth, George Labahn
2009 J jnl
Dynamic Hedging Under Jump Diffusion with Transaction Costs.
Oper. Res.
J. S. Kennedy, Peter A. Forsyth, Kenneth R. Vetzal
2008 J jnl
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB).
Numerische Mathematik
Zhuliang Chen, Peter A. Forsyth
2008 J jnl
Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance.
SIAM J. Numer. Anal.
Jian Wang, Peter A. Forsyth
2007 J jnl
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation.
SIAM J. Sci. Comput.
Zhuliang Chen, Peter A. Forsyth
2007 J jnl
Wireless network capacity management: A real options approach.
Eur. J. Oper. Res.
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal
2005 J jnl
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion.
SIAM J. Sci. Comput.
Yann d'Halluin, Peter A. Forsyth, George Labahn
2004 J jnl
A penalty method for American options with jump diffusion processes.
Numerische Mathematik
Yann d'Halluin, Peter A. Forsyth, George Labahn
2003 — conf
Two Factor Option Pricing with Uncertain Volatility.
ICCSA (3)
David M. Pooley, Peter A. Forsyth, Kenneth R. Vetzal
2002 J jnl
Managing capacity for telecommunications networks under uncertainty.
IEEE/ACM Trans. Netw.
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal
2002 J jnl
Quadratic Convergence for Valuing American Options Using a Penalty Method.
SIAM J. Sci. Comput.
Peter A. Forsyth, Kenneth R. Vetzal
2000 — conf
Numerical methods for pricing callable bonds.
CIFEr
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn
1997 J jnl
Monotonicity Considerations for Saturated-Unsaturated Subsurface Flow.
SIAM J. Sci. Comput.
Peter A. Forsyth, Mary Catherine A. Kropinski
1996 J jnl
Performance Issues for Iterative Solvers in Device Simulation.
SIAM J. Sci. Comput.
Qing Fan, Peter A. Forsyth, John R. F. McMacken, Wei-Pai Tang
1992 J jnl
Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems.
SIAM J. Matrix Anal. Appl.
E. F. D'Azevedo, Peter A. Forsyth, Wei-Pai Tang
1991 J jnl
A Control Volume Finite Element Approach to NAPL Groundwater Contamination.
SIAM J. Sci. Comput.
Peter A. Forsyth