Peter Forsyth
Peter Forsyth
Distinguished Professor Emeritus, Cheriton School of Computer Science, University of Waterloo
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Zitiert von
Zitiert von
Quadratic convergence for valuing American options using a penalty method
PA Forsyth, KR Vetzal
SIAM Journal on Scientific Computing 23 (6), 2095-2122, 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
Robust numerical methods for PDE models of Asian options
R Zvan, PA Forsyth, KR Vetzal
Journal of Computational Finance 1, 39-78, 1998
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
A control volume finite element approach to NAPL groundwater contamination
PA Forsyth
SIAM Journal on Scientific and Statistical Computing 12 (5), 1029-1057, 1991
A penalty method for American options with jump diffusion processes
Y d’Halluin, PA Forsyth, G Labahn
Numerische Mathematik 97, 321-352, 2004
PDE methods for pricing barrier options
R Zvan, KR Vetzal, PA Forsyth
Journal of Economic Dynamics and Control 24 (11-12), 1563-1590, 2000
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance
PA Forsyth, G Labahn
Journal of Computational Finance 11 (2), 1, 2007
Valuation of convertible bonds with credit risk
E Ayache, PA Forsyth, KR Vetzal
The Journal of Derivatives 11 (1), 9-29, 2003
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
Convergence remedies for non-smooth payoffs in option pricing
DM Pooley, KR Vetzal, PA Forsyth
Journal of Computational Finance 6 (4), 25-40, 2003
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
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
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
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
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
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
Continuous time mean variance asset allocation: A time-consistent strategy
J Wang, PA Forsyth
European Journal of Operational Research 209 (2), 184-201, 2011
Mechanisms controlling vacuum extraction coupled with air sparging for remediation of heterogeneous formations contaminated by dense nonaqueous phase liquids
AJA Unger, EA Sudicky, PA Forsyth
Water Resources Research 31 (8), 1913-1925, 1995
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
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