Peter Forsyth
Affiliations: | University of Waterloo, Waterloo, ON, Canada |
Area:
Computer ScienceGoogle:
"Peter Forsyth"Children
Sign in to add trainee| David Pooley | grad student | 2003 | University of Waterloo |
| Heath A. Windcliff | grad student | 2003 | University of Waterloo |
| Yann d'Halluin | grad student | 2004 | University of Waterloo |
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Publications
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| Forsyth P, Vetzal K. (2014) An optimal stochastic control framework for determining the cost of hedging of variable annuities Journal of Economic Dynamics and Control. 44: 29-53 |
| Wang I, Wan J, Forsyth P. (2007) Robust numerical valuation of European and American options under the CGMY process Journal of Computational Finance. 10: 31-69 |
| Forsyth P, Labahn G. (2007) Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance Journal of Computational Finance. 11: 1-43 |
| Windcliff H, Forsyth P, Vetzal K. (2004) Analysis of the stability of the linear boundary condition for the Black–Scholes equation Journal of Computational Finance. 8: 65-92 |
| Zvan R, Forsyth P, Vetzal K. (2003) Negative coefficients in two-factor option pricing models Journal of Computational Finance. 7: 37-73 |
| Windcliff H, Roux ML, Forsyth P, et al. (2002) Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature The North American Actuarial Journal. 6: 107-124 |
| Forsyth P. (1996) Robust numerical methods for saturated-unsaturated flow with dry initial conditions in heterogeneous media International Journal of Multiphase Flow. 22: 92 |