## To appear

P.A. Forsyth, G. Labahn ``ε-Monotone Fourier methods for optimal stochastic control in finance,''

Journal of Computational FinanceP.A. Forsyth, K.R. Vetzal and G. Westmacott, ``Management of portfolio depletion risk through optimal life cycle asset allocation,''

North American Actuarial JournalP.A. Forsyth, K.R. Vetzal ``Optimal asset allocation for retirement savings: deterministic vs. time consistent adaptive strategies,''

Applied Mathematical Finance

## 2018

P. van Staden, D-M. Dang and P.A. Forsyth, ``Time-consistent mean-variance portfolio optimization: a numerical impulse control approach,''

Insurance: Mathematics and Economics 83 (2018) 9-28.K.L. Miller, S.J. Berg, J.H. Davison, E.A. Sudicky, P.A. Forsyth, ``Efficient uncertainty quantification in fully-integrated surface and subsurface hydrologic simulations,''

Advances in Water Resources 111 (2018) 381-394.

## 2017

P.A. Forsyth, K.R. Vetzal, ``Dynamic Mean Variance Asset Allocation: Tests for Robustness,''

International Journal of Financial Engineering 4:2 (2017) 1750021 (electronic)P.A. Forsyth, K.R. Vetzal, ``Robust asset allocation for long-term target-based investing,''

International Journal of Theoretical and Applied Finance 20:3 (2017) 1750017 (electronic)K. Ma, P.A. Forsyth, ``An unconditionally monotone numerical scheme for the two factor uncertain volatility model,''

IMA Journal of Numerical Analysis 37 (2017) 905-944.D.M. Dang, P.A. Forsyth, K.R. Vetzal, ``The 4% strategy revisited: A pre-commitment optimal mean-variance approach to wealth management,''

Quantitative Finance 17 (2017) 335-351.

## 2016

K. Ma, P.A. Forsyth, ``Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation under stochastic volatility,''

Journal of Computational Finance 20:1 (2016) 1-37.C. Reisinger, P.A. Forsyth, ``Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations,''

Applied Numerical Mathematics 103 (2016) 27-47.P. Azimzadeh, P.A. Forsyth ``Weakly chained matrices and impulse control,''

SIAM Journal on Numerical Analysis 54 (2016) 1341–1364.D.M. Dang, P.A. Forsyth, ``Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach,''

European Journal of Operational Research 250 (2016) 827-841.D.M. Dang, P.A. Forsyth, Y. Li, ``Convergence of the embedded mean-variance optimal points with discrete sampling,''

Numerische Mathematik 132 (2016) 271-302.

## 2015

P. Azimzadeh, P. A. Forsyth, ``The Existence of Optimal Bang-Bang Controls for GMxB Contracts,''

SIAM Journal on Financial Mathematics 6 (2015) 117-139.## 2014

P. Azimzadeh, P. A. Forsyth, K.R. Vetzal, ``Hedging costs for variable annuities under Regime Switching,''

Chapter 6, pages 133-166, Hidden Markov Models in Finance: Volume II, Springer International Series in Operations Research and Management. Edited by R. Mamon and R. Elliot, 2014.H.-T. Hwang, Y.-J. Park, E.A. Sudicky, P.A. Forsyth, ``A parallel computational framework to solve flow and transport in integrated surface-subsurface hydrologic systems,''

Environmental Modelling and Software 61 (2014) 39-58.S.T. Tse, P.A. Forsyth, Y. Li, ``Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization,''

SIAM Journal on Control and Optimization 52 (2014) 1527-1546.P.A. Forsyth, K.R. Vetzal, ``An optimal stochastic control framework for determining the cost of hedging of variable annuities,''

Journal of Economic Dynamics and Control 44 (2014) 29-53.D.M. Dang, P. A. Forsyth, ``Continuous time mean-variance optimal portfolio allocation under jump diffusion: a numerical impulse control approach,''

Numerical Methods for Partial Differential Equations 30 (2014) 664-698.J. Babbin, P.A. Forsyth, G. Labahn, ``A comparison of iterated optimal stopping and local policy iteration for American options under regime switching,''

Journal of Scientific Computing 58 (2014) 409-430.## 2013

S.T. Tse, P.A. Forsyth, J.S. Kennedy, H. Windcliff, ``Comparison between the mean variance optimal and mean quadratic variation optimal trading strategies,''

Applied Mathematical Finance 20 (2013) 415-449.Y. Huang, P.A. Forsyth, G. Labahn, ``Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion,''

Applied Numerical Mathematics 72 (2013) 33–51.## 2012

P.A. Forsyth, J.S. Kennedy, S.T. Tse, H. Windcliff, ``Optimal trade execution: a mean quadratic variation approach.''

Journal of Economic Dynamics and Control 36 (2012) 1971-1991.Y. Huang, P.A. Forsyth, G. Labahn, ``Combined fixed point and policy iteration for HJB equations in finance,''

SIAM Journal on Numerical Analysis 50 (2012) 1849-1860.Y. Huang, P.A. Forsyth, G. Labahn ``Iterative methods for the solution of a singular control formulation of a GMWB pricing problem,''

Numerische Mathematik 122 (2012) 133-157.J. Wang and P.A. Forsyth ``Comparison of mean variance like strategies for optimal asset allocation problems,''

International Journal of Theoretical and Applied Finance 15:2 (2012) (33 pages: DOI: 10.1142/S0219024912500148).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) 65-92Y. 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.

E. Ayache, P.A. Forsyth, K.R. Vetzal, ``Next generation models for convertible bonds with credit risk,''## 2002

Wilmott MagazineDecember, 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.

Y. d'Halluin, P.A. Forsyth, K.R. Vetzal, G. Labahn, ``A numerical PDE approach for pricing callable bonds,''## 2001

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.

D. Pooley, P.A. Forsyth, K.R. Vetzal, R.B. Simpson, ``Unstructured meshing techniques for two asset barrier options,''## 2000

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.

R. Zvan, P.A. Forsyth, K.R. Vetzal, ``Discrete Asian barrier options,''## 1999

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.

R. Zvan, P.A. Forsyth, K.R. Vetzal, ``Penalty methods for American options with stochastic volatility,''## 1998

J. Comp. Appl. Math. 91 (1998) 199-218.R. Zvan, P.A. Forsyth, ``Swing low, swing high,''

RISK11:71-75 (1998), March, also, reprinted inHedging 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.

P.A. Forsyth, M.C.Kropinski, ``Monotonicity considerations for saturated-unsaturated subsurface flow,''## 1997

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.

Shanghai Slides (July 4, 2008)

Linz Slides (November 19, 2008)

Vienna Slides June 22-23, 2012
Day 1
and
Day 2

Chicago minisymposium November 13, 2014