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Peter Forsyth
Peter Forsyth
Distinguished Professor Emeritus, Cheriton School of Computer Science, University of Waterloo
Email verificata su uwaterloo.ca - Home page
Titolo
Citata da
Citata da
Anno
Quadratic convergence for valuing American options using a penalty method
PA Forsyth, KR Vetzal
SIAM Journal on Scientific Computing 23 (6), 2095-2122, 2002
442*2002
Robust numerical methods for contingent claims under jump diffusion processes
Y d'Halluin, PA Forsyth, KR Vetzal
IMA Journal of Numerical Analysis 25 (1), 87-112, 2005
3492005
Robust numerical methods for PDE models of Asian options
R Zvan, PA Forsyth, KR Vetzal
Journal of Computational Finance 1, 39-78, 1998
3171998
Robust numerical methods for saturated-unsaturated flow with dry initial conditions in heterogeneous media
PA Forsyth, YS Wu, K Pruess
Advances in Water Resources 18 (1), 25-38, 1995
2961995
A control volume finite element approach to NAPL groundwater contamination
PA Forsyth
SIAM Journal on Scientific and Statistical Computing 12 (5), 1029-1057, 1991
2711991
PDE methods for pricing barrier options
R Zvan, KR Vetzal, PA Forsyth
Journal of Economic Dynamics and Control 24 (11-12), 1563-1590, 2000
2612000
A penalty method for American options with jump diffusion processes
Y d’Halluin, PA Forsyth, G Labahn
Numerische Mathematik 97, 321-352, 2004
2552004
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance
PA Forsyth, G Labahn
Journal of Computational Finance 11 (2), 1, 2007
2402007
Valuation of convertible bonds with credit risk
E Ayache, PA Forsyth, KR Vetzal
The Journal of Derivatives 11 (1), 9-29, 2003
2222003
Numerical convergence properties of option pricing PDEs with uncertain volatility
DM Pooley, PA Forsyth, KR Vetzal
IMA Journal of Numerical Analysis 23 (2), 241-267, 2003
2102003
Convergence remedies for non-smooth payoffs in option pricing
DM Pooley, KR Vetzal, PA Forsyth
Journal of Computational Finance 6 (4), 25-40, 2003
2042003
Optimal trade execution: a mean quadratic variation approach
PA Forsyth, JS Kennedy, ST Tse, H Windcliff
Journal of Economic dynamics and Control 36 (12), 1971-1991, 2012
1922012
A semi-Lagrangian approach for natural gas storage valuation and optimal operation
Z Chen, PA Forsyth
SIAM Journal on Scientific Computing 30 (1), 339-368, 2008
1902008
A semi-Lagrangian approach for American Asian options under jump diffusion
Y d'Halluin, PA Forsyth, G Labahn
SIAM Journal on Scientific Computing 27 (1), 315-345, 2005
1572005
Ordering methods for preconditioned conjugate gradient methods applied to unstructured grid problems
EF D’Azevedo, PA Forsyth, WP Tang
SIAM Journal on Matrix Analysis and Applications 13 (3), 944-961, 1992
1571992
The effect of modelling parameters on the value of GMWB guarantees
Z Chen, K Vetzal, PA Forsyth
Insurance: Mathematics and Economics 43 (1), 165-173, 2008
1482008
Incomplete factorization methods for fully implicit simulation of enhanced oil recovery
GA Behie, PA Forsyth, Jr
SIAM Journal on Scientific and Statistical Computing 5 (3), 543-561, 1984
1441984
Continuous time mean variance asset allocation: A time-consistent strategy
J Wang, PA Forsyth
European Journal of Operational Research 209 (2), 184-201, 2011
1412011
Maximal use of central differencing for Hamilton–Jacobi–Bellman PDEs in finance
J Wang, PA Forsyth
SIAM Journal on Numerical Analysis 46 (3), 1580-1601, 2008
1392008
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
Z Chen, PA Forsyth
Numerische Mathematik 109, 535-569, 2008
1372008
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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