Peter A. Forsyth

Publication Activity (10 Years)

Years Active: 1991-2024
Publications (10 Years): 10

Top Topics

Policy Iteration

Portfolio Optimization

Hamilton Jacobi Bellman

Asset Allocation

Top Venues

SIAM J. Financial Math.

Eur. J. Oper. Res.

SIAM J. Numer. Anal.

Publications

Pieter M. van Staden, Peter A. Forsyth, Yuying Li
Across-time risk-aware strategies for outperforming a benchmark. Eur. J. Oper. Res. 313 (2) (2024)
Pieter M. van Staden, Peter A. Forsyth, Yuying Li
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM J. Financial Math. 14 (2) (2023)
Chendi Ni, Yuying Li, Peter A. Forsyth
Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. CoRR (2023)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies. SIAM J. Financial Math. 12 (2) (2021)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. Eur. J. Oper. Res. 289 (2) (2021)
Peter A. Forsyth
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? SIAM J. Financial Math. 11 (2) (2020)
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? SIAM J. Financial Math. 10 (3) (2019)
Duy-Minh Dang, Peter A. Forsyth, Yuying Li
Convergence of the embedded mean-variance optimal points with discrete sampling. Numerische Mathematik 132 (2) (2016)
Duy-Minh Dang, Peter A. Forsyth
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach. Eur. J. Oper. Res. 250 (3) (2016)
Parsiad Azimzadeh, Peter A. Forsyth
Weakly Chained Matrices, Policy Iteration, and Impulse Control. SIAM J. Numer. Anal. 54 (3) (2016)
Parsiad Azimzadeh, Peter A. Forsyth
The Existence of Optimal Bang-Bang Controls for GMxB Contracts. SIAM J. Financial Math. 6 (1) (2015)
Shu Tong Tse, Peter A. Forsyth, Yuying Li
Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization. SIAM J. Control. Optim. 52 (3) (2014)
H.-T. Hwang, Y.-J. Park, E. A. Sudicky, Peter A. Forsyth
A parallel computational framework to solve flow and transport in integrated surface-subsurface hydrologic systems. Environ. Model. Softw. 61 (2014)
Josh Babbin, Peter A. Forsyth, George Labahn
A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching. J. Sci. Comput. 58 (2) (2014)
Y. Huang, Peter A. Forsyth, George Labahn
Iterative methods for the solution of a singular control formulation of a GMWB pricing problem. Numerische Mathematik 122 (1) (2012)
Y. Huang, Peter A. Forsyth, George Labahn
Combined Fixed Point and Policy Iteration for Hamilton-Jacobi-Bellman Equations in Finance. SIAM J. Numer. Anal. 50 (4) (2012)
J. Wang, Peter A. Forsyth
Continuous time mean variance asset allocation: A time-consistent strategy. Eur. J. Oper. Res. 209 (2) (2011)
Y. Huang, Peter A. Forsyth, George Labahn
Methods for Pricing American Options under Regime Switching. SIAM J. Sci. Comput. 33 (5) (2011)
J. S. Kennedy, Peter A. Forsyth, Kenneth R. Vetzal
Dynamic Hedging Under Jump Diffusion with Transaction Costs. Oper. Res. 57 (3) (2009)
J. Wang, Peter A. Forsyth
Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance. SIAM J. Numer. Anal. 46 (3) (2008)
Zhuliang Chen, Peter A. Forsyth
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Numerische Mathematik 109 (4) (2008)
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal
Wireless network capacity management: A real options approach. Eur. J. Oper. Res. 176 (1) (2007)
Zhuliang Chen, Peter A. Forsyth
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation. SIAM J. Sci. Comput. 30 (1) (2007)
Yann d'Halluin, Peter A. Forsyth, George Labahn
A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion. SIAM J. Sci. Comput. 27 (1) (2005)
Yann d'Halluin, Peter A. Forsyth, George Labahn
A penalty method for American options with jump diffusion processes. Numerische Mathematik 97 (2) (2004)
David M. Pooley, Peter A. Forsyth, Kenneth R. Vetzal
Two Factor Option Pricing with Uncertain Volatility. ICCSA (3) (2003)
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal
Managing capacity for telecommunications networks under uncertainty. IEEE/ACM Trans. Netw. 10 (4) (2002)
Peter A. Forsyth, Kenneth R. Vetzal
Quadratic Convergence for Valuing American Options Using a Penalty Method. SIAM J. Sci. Comput. 23 (6) (2002)
Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn
Numerical methods for pricing callable bonds. CIFEr (2000)
Peter A. Forsyth, Mary Catherine A. Kropinski
Monotonicity Considerations for Saturated-Unsaturated Subsurface Flow. SIAM J. Sci. Comput. 18 (5) (1997)
Qing Fan, Peter A. Forsyth, John R. F. McMacken, Wei-Pai Tang
Performance Issues for Iterative Solvers in Device Simulation. SIAM J. Sci. Comput. 17 (1) (1996)
E. F. D'Azevedo, Peter A. Forsyth, Wei-Pai Tang
Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems. SIAM J. Matrix Anal. Appl. 13 (3) (1992)
Peter A. Forsyth
A Control Volume Finite Element Approach to NAPL Groundwater Contamination. SIAM J. Sci. Comput. 12 (5) (1991)