Narrow search
Showing 1 - 7 of 7
Cover Image
E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
Cover Image
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Cover Image
Pricing hydroelectric power plants with/without operational restrictions : a stochastic control approach
Chen, Zhuliang; Forsyth, Peter A. - In: Nonlinear models in mathematical finance : new research …, (pp. 273-301). 2008
Persistent link: https://www.econbiz.de/10011954476
Cover Image
A finite element approach to the pricing of discrete lookbacks with stochasic volatility
Forsyth, Peter A.; Vetzal, Kenneth R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10001449242
Cover Image
Simulations for hedging financial contracts with optimal decisions
Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R.; … - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010
Persistent link: https://www.econbiz.de/10009153080
Cover Image
An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
Cover Image
Optimal asset allocation for outperforming a stochastic benchmark target
Ni, Chendi; Li, Yuying; Forsyth, Peter A.; Carroll, Ray - In: Quantitative finance 22 (2022) 9, pp. 1595-1626
Persistent link: https://www.econbiz.de/10013367937