The following pages link to Peter A. I. Forsyth (Q659000):
Displaying 50 items.
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
- Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) (← links)
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching (Q461227) (← links)
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion (Q465077) (← links)
- A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
- Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
- Public goods games with reward in finite populations (Q659001) (← links)
- Instability in Runge-Kutta schemes for simulation of oil recovery (Q759470) (← links)
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441) (← links)
- (Q790593) (redirect page) (← links)
- Multi-grid solution of three-dimensional problems with discontinuous coefficients (Q790595) (← links)
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) (← links)
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) (← links)
- Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) (← links)
- An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) (← links)
- Infinite reload options: pricing and analysis (Q952078) (← links)
- Practical considerations for adaptive implicit methods in reservoir simulation (Q1083967) (← links)
- Comparison of the single-phase and two-phase numerical model formulation for saturated-unsaturated groundwater flow (Q1094993) (← links)
- Quadratic convergence for cell-centered grids (Q1106643) (← links)
- Towards a cost-effective ILU preconditioner with high level fill (Q1198973) (← links)
- Penalty methods for American options with stochastic volatility (Q1298615) (← links)
- Nonlinear iteration methods for high speed laminar compressible Navier-Stokes equations (Q1370112) (← links)
- Valuation of segregated funds: shout options with maturity extensions. (Q1413278) (← links)
- Convergence of numerical methods for valuing path-dependent options using interpolation (Q1415462) (← links)
- PDE methods for pricing barrier options (Q1583144) (← links)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505) (← links)
- A penalty method for American options with jump diffusion processes (Q1889909) (← links)
- Robust linear and nonlinear strategies for solution of the transonic Euler equations (Q1912885) (← links)
- An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570) (← links)
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065) (← links)
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans (Q2415977) (← links)
- Wireless network capacity management: a real options approach (Q2432936) (← links)
- Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
- Short term decumulation strategies for underspending retirees (Q2670108) (← links)
- A finite volume approach for contingent claims valuation (Q2748866) (← links)
- Quadratic Convergence for Valuing American Options Using a Penalty Method (Q2780619) (← links)
- Weakly Chained Matrices, Policy Iteration, and Impulse Control (Q2805130) (← links)
- COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (Q2882690) (← links)
- ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING (Q2986669) (← links)
- Dynamic Hedging Under Jump Diffusion with Transaction Costs (Q3100366) (← links)
- (Q3102958) (← links)
- Numerical Methods for Nonlinear PDEs in Finance (Q3112471) (← links)
- Methods for Pricing American Options under Regime Switching (Q3116428) (← links)
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (Q3117251) (← links)
- (Q3140854) (← links)
- Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance (Q3168502) (← links)
- Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization (Q3192132) (← links)
