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Optimal trade execution : a mean quadratic variation approach

Forsyth, Peter; Kennedy, J. S.; Tse, S. T.; Windcliff, H. - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1971-1991

Persistent link: https://www.econbiz.de/10009701897

Calibration and hedging under jump diffusion

He, Changhong; Kennedy, J. S.; Coleman, T. F.; Forsyth, … - In: Review of derivatives research 9 (2006) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10003441126

An object-oriented framework for valuing shout options on high-performance computer architectures

Windcliff, H.; Vetzal, Kenneth R.; Forsyth, Peter; Verma, A. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133-1161

Persistent link: https://www.econbiz.de/10001734585

PDE methods for pricing barrier options

Zvan, R.; Vetzal, Kenneth R.; Forsyth, Peter - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1563-1590

Persistent link: https://www.econbiz.de/10001508750

Discrete Asian barrier options

Zvan, R.; Forsyth, Peter; Vetzal, Kenneth R. - In: The journal of computational finance 3 (1999) 1, pp. 41-67

Persistent link: https://www.econbiz.de/10001517411

A finite element approach to the pricing of discrete lookbacks with stochasic volatility

Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106

Persistent link: https://www.econbiz.de/10001449242

Convergence remedies for non-smooth payoffs in option pricing

Pooley, David M.; Vetzal, Kenneth R.; Forsyth, Peter - In: The journal of computational finance 6 (2003) 4, pp. 25-40

Persistent link: https://www.econbiz.de/10001782172

Management of Portfolio Depletion Risk Through Optimal Life Cycle Asset Allocation

Forsyth, Peter - 2018

Members of defined contribution (DC) pension plans must take on additional responsibilities for their investments, compared to participants in defined benefit (DB) pension plans. The transition from DB to DC plans means that more employees are faced with these responsibilities. We explore the...

Persistent link: https://www.econbiz.de/10012919020

Robust numerical methods for PDE models of Asian options

Zvan, R.; Forsyth, Peter; Vetzal, Kenneth R. - In: The journal of computational finance 1 (1997/1998) 2, pp. 39-78

Persistent link: https://www.econbiz.de/10001633255

Valuing the guaranteed minimum death benefit clause with partial withdrawals

Bélanger, A. C.; Forsyth, Peter; Labahn, George - In: Applied mathematical finance 16 (2009) 5/6, pp. 451-496

Persistent link: https://www.econbiz.de/10003916654