Forsyth, Peter A. - School of Computer Science, University of Waterloo

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Forsyth, Peter A. - School of Computer Science, University of Waterloo

Analysis of a Penalty Method for Guaranteed Minimum Withdrawal Benefits
Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
A Hamilton Jacobi Bellman Approach to Optimal Trade Execution Peter A. Forsyth
Simulations For Hedging Financial Contracts With Optimal Decisions: A Case Study
Valuation Of Segregated Funds: Shout Options With Maturity Extensions
Hedging Under Jump Diffusions Transaction Costs
An HJB Equation Approach to Optimal Trade Execution
Shout Options: A Framework For Pricing Contracts Which Can Be Modified By The Investor
Robust Numerical Methods for Contingent Claims under Jump Diffusion Processes
Numerical Methods for Controlled Hamilton-Jacobi-Bellman
Numerical Solution of the Hamilton-Jacobi-Bellman Formulation for Continuous Time Mean Variance Asset Allocation
Vol. 00, No. 0, Xxxxx 0000, pp. 000000 issn 0000-0000|eissn 0000-0000|00|0000|0001
Comparison of Mean Variance Like Strategies for Optimal Asset1 Allocation Problems
How to Get Rich When You Retire Jian Wang and Peter Forsyth
IMPLICIT SOLUTION OF UNCERTAIN VOLATILITY/TRANSACTION COST
Pricing Hydroelectric Power Plants with/without Operational Restrictions: a Stochastic Control Approach
Wireless Network Capacity Management: A Real Options Approach
COMBINED FIXED POINT AND POLICY ITERATION FOR HJB EQUATIONS IN FINANCE
Calibration and Hedging under Jump Diffusion J.S. Kennedy
Inexact Arithmetic Considerations for Direct Control and Penalty Methods: American Options under Jump Diffusion
METHODS FOR PRICING AMERICAN OPTIONS UNDER REGIME1 Y. HUANG , P.A. FORSYTH , AND G. LABAHN 3
Continuous Time Mean Variance Asset Allocation: A Time-consistent Strategy
A Numerical Scheme for the Impulse Control Formulation for Pricing Variable Annuities with a
The Effect of Modelling Parameters on the Value of GMWB Guarantees
Numerical Methods and Volatility Models for Valuing Cliquet Options
No-arbitrage Pricing of Guaranteed Lifelong Withdrawal Benefits (GLWB): A PDE Regime Switching Approach
CS 476/676 CM476: Numeric Computation for Financial Winter 2012
Optimal Trade Execution: Mean Variance or Mean Quadratic Variation?
Optimal Trade Execution: Mean Variance or Mean Quadratic Variation?
A COMPARISON OF ITERATED OPTIMAL STOPPING AND LOCAL POLICY ITERATION FOR AMERICAN OPTIONS UNDER