Peter Forsyth

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George LabahnProfessor of Computer Science, University of WaterlooVerified email at uwaterloo.ca
Duy-Minh DangUniverisity of QueenslandVerified email at uq.edu.au
Peter SammonComputer Modelling Group LtdVerified email at cmgl.ca
Yu-Shu WuProfessor in petroleum engineering, Colorado SchoolVerified email at mines.edu
Andre J.A. Unger, PEngUniversity of WaterlooVerified email at uwaterloo.ca
Yiqing HuangLab Instructor of Computer Engineering, University of WaterlooVerified email at uwaterloo.ca
Yuying LiProfessor Cheriton School of Computer Science, University of WaterlooVerified email at uwaterloo.ca
Barry NinhamEmeritus Professor of Physical Chemistry, Australian National UniversityVerified email at anu.edu.au
Parsiad AzimzadehVerified email at umich.edu
Justin WanUniversity of WaterlooVerified email at uwaterloo.ca
thomas colemanprofessor of combinatorics and optimization, university of waterlooVerified email at uwaterloo.ca
Stjepan MarčeljaHonorary Professor, Applied Mathematics, Australian National UniversityVerified email at anu.edu.au
Sorab PandayPrincipal Engineer, GSI EnvironmentalVerified email at gsi-net.com
Ronald W FaltaProfessor of Environmental Engineering and Earth Sciences, Clemson UniversityVerified email at clemson.edu
Mary Catherine KropinskiProfessor of Mathematics, Simon Fraser UniversityVerified email at math.sfu.ca
Hyoun-Tae HwangAquanty Inc. / University of WaterlooVerified email at uwaterloo.ca
Young-Jin ParkVerified email at uwaterloo.ca
Christoph ReisingerProfessor of Applied Mathematics, University of OxfordVerified email at maths.ox.ac.uk
Steven BergAdjunct Assistant Research Professor - University of Waterloo / President and CEO - Aquanty IncVerified email at aquanty.com
Jason DavisonCatholic University of America, Civil and Environmental EngineeringVerified email at cua.edu

Peter Forsyth

Distinguished Professor Emeritus of Computer Science University of Waterloo

Verified email at uwaterloo.ca - Homepage

Scientific Computing Computational Finance Numerical solution of PDEs


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Quadratic convergence for valuing American options using a penalty method PA Forsyth, KR Vetzal SIAM Journal on Scientific Computing 23 (6), 2095-2122, 2002	398*	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	334	2005
Robust numerical methods for PDE models of Asian options R Zvan, PA Forsyth, KR Vetzal Journal of Computational Finance 1, 39-78, 1998	302	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	274	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	251	1991
A penalty method for American options with jump diffusion processes Y d’Halluin, PA Forsyth, G Labahn Numerische Mathematik 97 (2), 321-352, 2004	244	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	238	2000
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance PA Forsyth, G Labahn Journal of Computational Finance 11 (2), 1, 2007	215	2007
Valuation of convertible bonds with credit risk E Ayache, PA Forsyth, KR Vetzal The Journal of Derivatives 11 (1), 9-29, 2003	211	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	203	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	196	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	174	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	162	2012
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	144	1992
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	141	2005
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	141	1984
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	137	2008
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	130	1995
Ordering in colloidal systems PA Forsyth Jr, S Marčelia, DJ Mitchell, BW Ninham Advances in Colloid and Interface Science 9 (1), 37-60, 1978	129	1978
Practical considerations for adaptive implicit methods in reservoir simulation PA Forsyth Jr, PH Sammon Journal of Computational Physics 62 (2), 265-281, 1986	127	1986

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