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

To appear

P.A. Forsyth, K.R. Vetzal, ``Dynamic Mean Variance Asset Allocation: Tests for Robustness,'' International Journal of Financial Engineering

2017

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) 65-92

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.

Shanghai Slides (July 4, 2008)

Toronto Slides (Aug 5, 2008)

Atlanta Slides (Oct 16, 2008)

Linz Slides (November 19, 2008)

CAIMS 2009

AM 2010

Fields March 24, 2010

Halifax, Oct 15, 2010

Leiden, April 18, 2011

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

Toronto, Oct 14, 2011

Oxford, Feb 24, 2012

Paris, July17, 2012

Amsterdam, April 18, 2013

Singapore, June 19-21, 2013

Waterloo, August 29, 2013

Minneapolis, October 7, 2013

Intro Lecture CS476 W14

Amsterdam, May 13, 2014

Hong Kong, July 8, 2014

Sanya, July 12, 2014

Guangzhou, July 28, 2014

Calgary November 4, 2014

Chicago minisymposium November 13, 2014

Chicago plenary November 13, 2014

Frankfurt March 24, 2015

GRI, Toronto, March 26, 2015

Leiden May 26, 2015

Leiden May 28, 2015

Coruna Lectures 1, 3-6

Coruna Lecture 2

Oxford 2016

Austin 2016

Delft 2016

Lisbon 2017

Scenario_data_files