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Peter Forsyth - Publications

Affiliations: 
University of Waterloo, Waterloo, ON, Canada 
Area:
Computer Science
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7 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2014 Forsyth P, Vetzal K. An optimal stochastic control framework for determining the cost of hedging of variable annuities Journal of Economic Dynamics and Control. 44: 29-53. DOI: 10.1016/J.Jedc.2014.04.005  0.335
2007 Wang I, Wan J, Forsyth P. Robust numerical valuation of European and American options under the CGMY process Journal of Computational Finance. 10: 31-69. DOI: 10.21314/Jcf.2007.169  0.341
2007 Forsyth P, Labahn G. Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance Journal of Computational Finance. 11: 1-43. DOI: 10.21314/Jcf.2007.163  0.349
2004 Windcliff H, Forsyth P, Vetzal K. Analysis of the stability of the linear boundary condition for the Black–Scholes equation Journal of Computational Finance. 8: 65-92. DOI: 10.21314/Jcf.2004.116  0.599
2003 Zvan R, Forsyth P, Vetzal K. Negative coefficients in two-factor option pricing models Journal of Computational Finance. 7: 37-73. DOI: 10.21314/Jcf.2003.096  0.327
2002 Windcliff H, Roux ML, Forsyth P, Vetzal K. Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature The North American Actuarial Journal. 6: 107-124. DOI: 10.1080/10920277.2002.10596047  0.599
1996 Forsyth P. Robust numerical methods for saturated-unsaturated flow with dry initial conditions in heterogeneous media International Journal of Multiphase Flow. 22: 92. DOI: 10.1016/S0301-9322(97)88122-0  0.303
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