Peter A. Forsyth - researchr alias

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Viewing Publication 1 - 25 from 25

2024

Across-time risk-aware strategies for outperforming a benchmarkPieter M. van Staden, Peter A. Forsyth, Yuying Li 0001. eor, 313(2):776-800, March 2024. [doi]

2023

Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical ApproachPieter M. van Staden, Peter A. Forsyth, Yuying Li. siamfm, 14(2):407-451, June 2023. [doi]

2021

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment StrategiesPieter M. van Staden, Duy Minh Dang, Peter A. Forsyth. siamfm, 12(2):566-603, 2021. [doi]

The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errorsPieter M. van Staden, Duy Minh Dang, Peter A. Forsyth. eor, 289(2):774-792, 2021. [doi]

2020

Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?Peter A. Forsyth. siamfm, 11(2):358-384, 2020. [doi]

2019

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?Pieter M. van Staden, Duy Minh Dang, Peter A. Forsyth. siamfm, 10(3):815-856, 2019. [doi]

2016

Convergence of the embedded mean-variance optimal points with discrete samplingDuy Minh Dang, Peter A. Forsyth, Yuying Li. nm, 132(2):271-302, 2016. [doi]

2014

A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime SwitchingJosh Babbin, Peter A. Forsyth, George Labahn. jscic, 58(2):409-430, 2014. [doi]

Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance OptimizationShu Tong Tse, Peter A. Forsyth, Yuying Li. siamco, 52(3):1527-1546, 2014. [doi]

2012

Combined Fixed Point and Policy Iteration for Hamilton-Jacobi-Bellman Equations in FinanceY. Huang, Peter A. Forsyth, George Labahn. siamnum, 50(4):1861-1882, 2012. [doi]

Iterative methods for the solution of a singular control formulation of a GMWB pricing problemY. Huang, Peter A. Forsyth, George Labahn. nm, 122(1):133-167, 2012. [doi]

2011

Methods for Pricing American Options under Regime SwitchingY. Huang, Peter A. Forsyth, George Labahn. siamsc, 33(5):2144-2168, 2011. [doi]

2009

Dynamic Hedging Under Jump Diffusion with Transaction CostsJ. S. Kennedy, Peter A. Forsyth, Kenneth R. Vetzal. ior, 57(3):541-559, 2009. [doi]

2008

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)Zhuliang Chen, Peter A. Forsyth. nm, 109(4):535-569, 2008. [doi]

2007

A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal OperationZhuliang Chen, Peter A. Forsyth. siamsc, 30(1):339-368, 2007. [doi]

Wireless network capacity management: A real options approachYann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal. eor, 176(1):584-609, 2007. [doi]

2005

A Semi-Lagrangian Approach for American Asian Options under Jump DiffusionYann d Halluin, Peter A. Forsyth, George Labahn. siamsc, 27(1):315-345, 2005. [doi]

2004

A penalty method for American options with jump diffusion processesYann d'Halluin, Peter A. Forsyth, George Labahn. nm, 97(2):321-352, 2004. [doi]

2003

Two Factor Option Pricing with Uncertain VolatilityDavid M. Pooley, Peter A. Forsyth, Kenneth R. Vetzal. iccsa 2003: 158-167 [doi]

2002

Managing capacity for telecommunications networks under uncertaintyYann d Halluin, Peter A. Forsyth, Kenneth R. Vetzal. ton, 10(4):579-587, 2002. [doi]

Quadratic Convergence for Valuing American Options Using a Penalty MethodPeter A. Forsyth, Kenneth R. Vetzal. siamsc, 23(6):2095-2122, 2002. [doi]

2000

Numerical methods for pricing callable bondsYann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn. cifer 2000: 78-81 [doi]

1997

Monotonicity Considerations for Saturated-Unsaturated Subsurface FlowPeter A. Forsyth, Mary Catherine A. Kropinski. siamsc, 18(5):1328-1354, 1997. [doi]

1992

Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid ProblemsE. F. D'Azevedo, Peter A. Forsyth, Wei-Pai Tang. siammax, 13(3):944-961, 1992. [doi]

1991

A Control Volume Finite Element Approach to NAPL Groundwater ContaminationPeter A. Forsyth. siamsc, 12(5):1029-1057, 1991. [doi]

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