Peter Forsyth - Publications
Affiliations: | University of Waterloo, Waterloo, ON, Canada |
Area:
Computer ScienceYear | 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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