Recent Papers

Final pdf versions of these papers can be found at the journal websites.

To Appear

J. Wang and P.A. Forsyth ``Comparison of mean variance like strategies for optimal asset allocation problems,'' International Journal of Theoretical and Applied Finance
Y. Huang, P.A. Forsyth, G. Labahn ``Iterative methods for the solution of a singular control formulation of a GMWB pricing problem,'' Numerische Mathematik

2012

Y. Huang and P.A. Forsyth ``Analysis of a penalty method for pricing a Guaranteed Minimum Withdrawal Benefit (GMWB),'' IMA Journal of Numerical Analysis 32 (2012) 320-351.
P.A. Forsyth, K. Vetzal, ``Numerical methods for non-linear PDEs in finance,'' Chapter 22, pages 503-528, Handbook of Computational Finance (Springer), 2012, Edited by J.C. Duan, J. Gentle, W. Hardle.

2011

Y. Huang, P.A. Forsyth, G. Labahn ``Methods for American options under regime switching,'' SIAM Journal on Scientific Computing 33 (2011) 2144-2168.
P.A. Forsyth, ``A Hamilton Jacobi Bellman approach to optimal trade execution,'' Applied Numerical Mathematics 61 (2011) 241-265.
J. Wang, P.A. Forsyth, ``Continuous time mean variance asset allocation: a time consistent strategy,'' European Journal of Operational Research 209 (2011) 184-201.

2010

Z. Chen, P.A. Forsyth, "Implications of a regime-switching model on natural gas storage valuation and optimal operation," Quantitative Finance 10 (2010) 159-176.
J. Wang, P.A. Forsyth ``Numerical Solution of the Hamilton-Jacobi-Bellman Formulation for Continuous Time Mean Variance Asset Allocation,'' Journal of Economic Dynamics and Control 34 (2010) 207-230.

2009

Y. Huang, P.A. Forsyth, K.R. Vetzal, ``Valuing guarantees on spending funded by endowments,'' Canadian Applied Mathematics Quarterly 17 (2009) 661-702.
A. Belanger, P.A. Forsyth, G. Labahn, ``Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals,'' Applied Mathematical Finance 16 (2009) 451-496.
J.S. Kennedy, P.A. Forsyth, K.R. Vetzal, ``Dynamic hedging under jump diffusion with transaction costs,'' Operations Research 57 (2009) 541-559.

2008

Z. Chen, P.A. Forsyth, ``Pricing Hydroelectric Power Plants with/without Operational Restrictions: a Stochastic Control Approach,'' (in Nonlinear Models in Mathematical Finance, Edited by M. Ehrhardt, Nova Science Publishers, 2008, pages 253-281).
A. Belanger, P.A. Forsyth, ``Infinite reload options: pricing and analysis,'' J. Computational and Applied Mathematics 222 (2008) 54-81.
Z. Chen, K.R. Vetzal, P.A. Forsyth, ``The effect of Modelling Parameters on the Value of GMWB Guarantees,'' Insurance: Mathematics and Economics 43 (2008) 165-173.
Z. Chen, P.A. Forsyth, ``A Numerical scheme for the impulse control formulation for pricing variable annuities with a Guaranteed Minimum Withdrawal Benefit (GMWB),'' Numerische Mathematik 109 (2008) 535-569.
S.S. Clift and P.A. Forsyth, ``Numerical solution of two asset jump diffusion models,'' Applied Numerical Mathematics 58 (2008) 743-782.
J. Wang, P.A. Forsyth, ``Maximal use of central differencing for Hamilton-Jacobi-Bellman PDEs in Finance,'' SIAM J. Numerical Analysis 46 (2008) 1580-1601.

2007

P.A. Forsyth, G. Labahn, ``Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance,'' Journal of Computational Finance 11:2 (2007/2008: Winter) 1-44.
Z. Chen, P.A. Forsyth, ``A semi-Lagrangian approach for natural gas storage valuation and optimal operation,'' SIAM J. Scientific Computing 30 (2007) 339-368.
I.R. Wang, J.W.I. Wan, P.A. Forsyth, ``Robust numerical valuation of European and American options under the CGMY process,'' J. Computational Finance 10:4 (2007:Summer) 31-69.
H. Windcliff, J. Wang, P.A. Forsyth, K. Vetzal, ``Hedging with a correlated Asset: solution of a nonlinear pricing PDE,'' J. Computational and Applied Mathematics 200 (2007) 86-115.
Y. d'Halluin, P.A. Forsyth, K.R. Vetzal, ``Wireless network capacity investment,'' European J. Operational Research 176 (2007) 584-609.

2006

C. He, J.S. Kennedy, T. Coleman, P.A. Forsyth, Y. Li, K. Vetzal, ``Calibration and hedging under jump diffusion,'' Review of Derivatives Research 9 (2006) 1-35.
H. Windcliff, P.A. Forsyth, K.R. Vetzal, ``Numerical methods and volatility models for valuing cliquet options,'' Applied Mathematical Finance 13 (2006) 353-386.
H. Windcliff, P.A. Forsyth, K.R. Vetzal, ``Pricing methods and hedging strategies for volatility derivatives,'' Journal of Banking and Finance 30 (2006) 409-431.

2005

Y. d'Halluin, P.A. Forsyth, G. Labahn, ``A semi-Lagrangian approach for American Asian options under jump diffusion,'' SIAM Journal on Scientific Computing, 27 (2005) 315-345.
Y. d'Halluin, P.A. Forsyth, K.R. Vetzal, ``Robust numerical methods for contingent claims under jump diffusion processes,'' IMA Journal on Numerical Analysis, 25 (2005) 87-112.

2004

H. Windcliff, P.A. Forsyth, K.R. Vetzal, ``Analysis of the stability of the linear boundary condition for the Black-Scholes equation,'' J. Computational Finance, 8:1 (Fall, 2004) 65-92
Y. d'Halluin, P.A. Forsyth, G. Labahn, ``A penalty method for American options with jump diffusion processes,'' Numerische Mathematik 97 (2004) 321-352.

2003

P. Forsyth, K. Vetzal, H. Windcliff, ``Hedging Segregated Fund Guarantees,'' in The Pension Challenge: Risk Transfers and Retirement Income Security, Edited by Olivia Mitchell and Kent Smetters, Oxford University Press (2003).
R. Zvan, P.A. Forsyth, K.R. Vetzal, ``Negative coefficients in two factor option pricing models,'' J. Computational Finance, 7:1 (Fall, 2003) 37-73.
E. Ayache, P.A. Forsyth, K.R. Vetzal, ``The valuation of convertible bonds with credit risk,'' J. Derivatives, 11 (Fall, 2003) 9-29.
D.M. Pooley, K.R. Vetzal, P.A. Forsyth, ``Remedies for non-smooth payoffs in option pricing,'' J. Computational Finance, 6 (Summer, 2003) 25-40.
D.M. Pooley, P.A. Forsyth, K.R. Vetzal, ``Numerical convergence properties of option pricing PDEs with uncertain volatility,'' IMA Journal on Numerical Analysis, 23 (2003) 241-267.
H. Windcliff, K.R. Vetzal, P.A. Forsyth, A. Verma, T. Coleman, ``An object oriented framework for valuing shout options on high-performance architectures,'' J. Econ. Dyn. Con. 27 (2003) 1133-1161.

2002

E. Ayache, P.A. Forsyth, K.R. Vetzal, ``Next generation models for convertible bonds with credit risk,'' Wilmott Magazine December, 2002, 68-77.
P.A. Forsyth, K.R. Vetzal, R. Zvan, ``Convergence of Lattice and PDE methods for valuing path dependent options using interpolation,'' Review of Derivatives Research 5 (2002) 273-314.
Y. d'Halluin, P.A. Forsyth, K.R. Vetzal, ``Managing telecommunication networks under uncertainty,'' IEEE Trans. Networking 10 (2002) 579-588.
H. Windcliff, P.A. Forsyth, M.K. Le Roux, K.R. Vetzal, ``Understanding the behaviour and hedging of segregated funds offering the reset feature,'' North Amer. Act. J. 6 (2002) 107-125.
H. Windcliff, P.A. Forsyth, K.R. Vetzal, W.J. Morland, ``Simulations For Hedging Financial Contracts With Optimal Decisions: A Case Study,'' in Computational Methods in Decision-making, Economics and Finance, pages 269-294, Edited by E. Kontoghiorches, B. Rustem, S. Siokos, Kluwer Series in Applied Optimization, Kluwer, Amsterdam. (2002)
P.A. Forsyth, K.R. Vetzal, ``Quadratic convergence of a penalty method for valuing American options,'' SIAM J. Scientific Computing 23 (2002) 2096-2123.

2001

Y. d'Halluin, P.A. Forsyth, K.R. Vetzal, G. Labahn, ``A numerical PDE approach for pricing callable bonds,'' Appl. Math. Fin., 8 (2001) 49-77.
H.A. Windcliff, P.A. Forsyth, K.R. Vetzal, ``Valuation of segregated funds: shout options with maturity extensions,'' Insurance: Mathematics and Economics, 29 (2001) 1-21.
H. Windcliff, P.A. Forsyth, K.R. Vetzal, ``Shout options: a framework for pricing contracts which can be modified by the investor,'' J. Computational Applied Mathematics, 134 (2001) 213-241.
R. Zvan, P.A. Forsyth, K.R. Vetzal, ``A finite volume approach for contingent claims valuation,'' IMA J. Num. Anal., 21 (2001) 703-731.

P.A. Forsyth, K.R. Vetzal, ``Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers,'' Appl. Num. Math. , 36 (2001) 427-445.

2000

D. Pooley, P.A. Forsyth, K.R. Vetzal, R.B. Simpson, ``Unstructured meshing techniques for two asset barrier options,'' Appl. Math. Fin., 7 (2000) 33-60.
Zvan, K.R. Vetzal, P.A. Forsyth, ``PDE methods for pricing barrier options,'' J. Econ. Dyn. Con., 24 (2000) 1563-1590.

1999

R. Zvan, P.A. Forsyth, K.R. Vetzal, ``Discrete Asian barrier options,'' J. Comp. Fin., 3(Fall) (1999) 41-68.
K.R. Vetzal, P.A. Forsyth, ``Discrete Parisian and delayed barrier options: A general numerical approach,'' Adv. Futures Options Research, 10 (1999) 1-16.
P.A. Forsyth, K.R. Vetzal, R. Zvan, ``A finite element approach to the pricing of discrete lookbacks with stochastic volatility,'' Appl. Math. Finance, 6 (1999) 87-106.
E. Graham, P.A. Forsyth, ``Preconditioned conjugate gradient methods for very ill-conditioned three dimensional linear elasticity problems,'' Int. J. Num. Meth. Eng. 44 (1999) 77-99.

1998

R. Zvan, P.A. Forsyth, K.R. Vetzal, ``Penalty methods for American options with stochastic volatility,'' J. Comp. Appl. Math. 91 (1998) 199-218.
R. Zvan, P.A. Forsyth, ``Swing low, swing high,'' RISK 11:71-75 (1998), March, also, reprinted in Hedging with Trees, Edited by M. Broadie and P. Glasserman, Risk Books, New York, 1998.
R. Zvan, P.A. Forsyth, K.R. Vetzal, ``Robust numerical methods for PDE models of Asian options,'' J. Computational Finance, 1(Winter) (1998) 39-78.
A.J. Unger, P.A. Forsyth, ``Nonlinear iteration methods for nonequilibrium multiphase subsurface flow,'' Advances Water Resources, 21 (1998) 433-451.

1997

P.A. Forsyth, M.C.Kropinski, ``Monotonicity considerations for saturated-unsaturated subsurface flow,'' SIAM J. Sci. Comp., 18 (1997) 1328-1354.
P.A. Forsyth, H. Jiang, ``Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations,'' Computers & Fluids, 26 (1997) 249-268 .
P.A. Forsyth, H. Jiang, ``Robust numerical methods for Transonic flows,'' Int. J. Num. Meth. Fluids, 24 (1997) 457-476.