Peter Forsyth

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George LabahnProfessor Cheriton School of Computer Science, University of WaterlooEmail yang diverifikasi di uwaterloo.ca
Duy-Minh DangUniverisity of QueenslandEmail yang diverifikasi di uq.edu.au
Yuying LiProfessor Cheriton School of Computer Science, University of WaterlooEmail yang diverifikasi di uwaterloo.ca
Pieter van StadenUniversity of WaterlooEmail yang diverifikasi di uwaterloo.ca
Peter SammonComputer Modelling Group LtdEmail yang diverifikasi di cmgl.ca
Yu-Shu WuProfessor in petroleum engineering, Colorado SchoolEmail yang diverifikasi di mines.edu
Andre J.A. Unger, PEngUniversity of WaterlooEmail yang diverifikasi di uwaterloo.ca
Yiqing (Irene) HuangAssistant Professor, Teaching Stream, Computer Science, University of Toronto ScarboroughEmail yang diverifikasi di utoronto.ca
Barry NinhamEmeritus Professor of Physical Chemistry, Australian National UniversityEmail yang diverifikasi di anu.edu.au
Parsiad AzimzadehEmail yang diverifikasi di umich.edu
Stjepan MarčeljaHonorary Professor, Applied Mathematics, Australian National UniversityEmail yang diverifikasi di anu.edu.au
thomas colemanprofessor of combinatorics and optimization, university of waterlooEmail yang diverifikasi di uwaterloo.ca
Justin WanUniversity of WaterlooEmail yang diverifikasi di uwaterloo.ca
Kai MaUniversity Of WaterlooEmail yang diverifikasi di uwaterloo.ca
Sorab PandayPrincipal Engineer, GSI EnvironmentalEmail yang diverifikasi di gsi-net.com
Ronald W FaltaProfessor of Environmental Engineering and Earth Sciences, Clemson UniversityEmail yang diverifikasi di clemson.edu
Mary Catherine KropinskiProfessor of Mathematics, Simon Fraser UniversityEmail yang diverifikasi di math.sfu.ca
Hyoun-Tae HwangAquanty Inc. / University of WaterlooEmail yang diverifikasi di uwaterloo.ca
Young-Jin ParkEmail yang diverifikasi di uwaterloo.ca
Margaret InsleyProfessor Emerita, Department of Economics, University of WaterlooEmail yang diverifikasi di uwaterloo.ca

Ikuti

Peter Forsyth

Distinguished Professor Emeritus, Cheriton School of Computer Science, University of Waterloo

Email yang diverifikasi di uwaterloo.ca - Beranda

Scientific Computing Computational Finance Numerical solution of PDEs


Judul Urutkan menurut kutipan Urutkan menurut tahun Urutkan menurut judul	Dikutip oleh Dikutip oleh	Tahun
Quadratic convergence for valuing American options using a penalty method PA Forsyth, KR Vetzal SIAM Journal on Scientific Computing 23 (6), 2095-2122, 2002	456*	2002
Robust numerical methods for contingent claims under jump diffusion processes Y d'Halluin, PA Forsyth, KR Vetzal IMA Journal of Numerical Analysis 25 (1), 87-112, 2005	351	2005
Robust numerical methods for PDE models of Asian options R Zvan, PA Forsyth, KR Vetzal Journal of Computational Finance 1, 39-78, 1998	319	1998
Robust numerical methods for saturated-unsaturated flow with dry initial conditions in heterogeneous media PA Forsyth, YS Wu, K Pruess Advances in Water Resources 18 (1), 25-38, 1995	304	1995
A control volume finite element approach to NAPL groundwater contamination PA Forsyth SIAM Journal on Scientific and Statistical Computing 12 (5), 1029-1057, 1991	272	1991
PDE methods for pricing barrier options R Zvan, KR Vetzal, PA Forsyth Journal of Economic Dynamics and Control 24 (11-12), 1563-1590, 2000	267	2000
A penalty method for American options with jump diffusion processes Y d’Halluin, PA Forsyth, G Labahn Numerische Mathematik 97, 321-352, 2004	259	2004
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance PA Forsyth, G Labahn Journal of Computational Finance 11 (2), 1, 2007	251	2007
Valuation of convertible bonds with credit risk E Ayache, PA Forsyth, KR Vetzal The Journal of Derivatives 11 (1), 9-29, 2003	224	2003
Numerical convergence properties of option pricing PDEs with uncertain volatility DM Pooley, PA Forsyth, KR Vetzal IMA Journal of Numerical Analysis 23 (2), 241-267, 2003	215	2003
Convergence remedies for non-smooth payoffs in option pricing DM Pooley, KR Vetzal, PA Forsyth Journal of Computational Finance 6 (4), 25-40, 2003	207	2003
Optimal trade execution: a mean quadratic variation approach PA Forsyth, JS Kennedy, ST Tse, H Windcliff Journal of Economic dynamics and Control 36 (12), 1971-1991, 2012	196	2012
A semi-Lagrangian approach for natural gas storage valuation and optimal operation Z Chen, PA Forsyth SIAM Journal on Scientific Computing 30 (1), 339-368, 2008	196	2008
A semi-Lagrangian approach for American Asian options under jump diffusion Y d'Halluin, PA Forsyth, G Labahn SIAM Journal on Scientific Computing 27 (1), 315-345, 2005	159	2005
Ordering methods for preconditioned conjugate gradient methods applied to unstructured grid problems EF D’Azevedo, PA Forsyth, WP Tang SIAM Journal on Matrix Analysis and Applications 13 (3), 944-961, 1992	157	1992
The effect of modelling parameters on the value of GMWB guarantees Z Chen, K Vetzal, PA Forsyth Insurance: Mathematics and Economics 43 (1), 165-173, 2008	152	2008
Continuous time mean variance asset allocation: A time-consistent strategy J Wang, PA Forsyth European Journal of Operational Research 209 (2), 184-201, 2011	145	2011
Incomplete factorization methods for fully implicit simulation of enhanced oil recovery GA Behie, PA Forsyth, Jr SIAM Journal on Scientific and Statistical Computing 5 (3), 543-561, 1984	145	1984
Maximal use of central differencing for Hamilton–Jacobi–Bellman PDEs in finance J Wang, PA Forsyth SIAM Journal on Numerical Analysis 46 (3), 1580-1601, 2008	142	2008
Analysis of the stability of the linear boundary condition for the Black-Scholes equation H Windcliff, PA Forsyth, KR Vetzal Journal of Computational Finance 8, 65-92, 2004	140	2004

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