Peter A. Forsyth

Eur. J. Oper. Res., March, 2024

2023

Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach.

[BibT_eX]

[DOI]

SIAM J. Financial Math., June, 2023

Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach.

[BibT_eX]

[DOI]

Chendi Ni

CoRR, 2023

2021

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2021

The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2021

2020

Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2020

2019

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2019

2016

Weakly Chained Matrices, Policy Iteration, and Impulse Control.

[BibT_eX]

[DOI]

Parsiad Azimzadeh

SIAM J. Numer. Anal., 2016

Convergence of the embedded mean-variance optimal points with discrete sampling.

[BibT_eX]

[DOI]

Numerische Mathematik, 2016

Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2016

2015

The Existence of Optimal Bang-Bang Controls for GMxB Contracts.

[BibT_eX]

[DOI]

Parsiad Azimzadeh

SIAM J. Financial Math., 2015

2014

Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization.

[BibT_eX]

[DOI]

Shu Tong Tse

SIAM J. Control. Optim., 2014

A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.

[BibT_eX]

[DOI]

Josh Babbin

J. Sci. Comput., 2014

A parallel computational framework to solve flow and transport in integrated surface-subsurface hydrologic systems.

[BibT_eX]

[DOI]

Environ. Model. Softw., 2014

2012

Combined Fixed Point and Policy Iteration for Hamilton-Jacobi-Bellman Equations in Finance.

[BibT_eX]

[DOI]

Y. Huang

SIAM J. Numer. Anal., 2012

Iterative methods for the solution of a singular control formulation of a GMWB pricing problem.

[BibT_eX]

[DOI]

Y. Huang

Numerische Mathematik, 2012

2011

Methods for Pricing American Options under Regime Switching.

[BibT_eX]

[DOI]

Y. Huang

SIAM J. Sci. Comput., 2011

Continuous time mean variance asset allocation: A time-consistent strategy.

[BibT_eX]

[DOI]

Jian Wang

Eur. J. Oper. Res., 2011

2009

Dynamic Hedging Under Jump Diffusion with Transaction Costs.

[BibT_eX]

[DOI]

J. S. Kennedy

Oper. Res., 2009

2008

Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance.

[BibT_eX]

[DOI]

Jian Wang

SIAM J. Numer. Anal., 2008

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB).

[BibT_eX]

[DOI]

Zhuliang Chen

Numerische Mathematik, 2008

2007

A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation.

[BibT_eX]

[DOI]

Zhuliang Chen

SIAM J. Sci. Comput., 2007

Wireless network capacity management: A real options approach.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2007

2005

A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion.

[BibT_eX]

[DOI]

SIAM J. Sci. Comput., 2005

2004

A penalty method for American options with jump diffusion processes.

[BibT_eX]

[DOI]

Numerische Mathematik, 2004

2003

Two Factor Option Pricing with Uncertain Volatility.

[BibT_eX]

[DOI]

David M. Pooley

Proceedings of the Computational Science and Its Applications, 2003

2002

Managing capacity for telecommunications networks under uncertainty.

[BibT_eX]

[DOI]

IEEE/ACM Trans. Netw., 2002

Quadratic Convergence for Valuing American Options Using a Penalty Method.

[BibT_eX]

[DOI]

SIAM J. Sci. Comput., 2002

2000

Numerical methods for pricing callable bonds.

[BibT_eX]

[DOI]

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, 2000

1997

Monotonicity Considerations for Saturated-Unsaturated Subsurface Flow.

[BibT_eX]

[DOI]

Mary Catherine A. Kropinski

SIAM J. Sci. Comput., 1997

1996

Performance Issues for Iterative Solvers in Device Simulation.

[BibT_eX]

[DOI]

SIAM J. Sci. Comput., 1996

1992

Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems.

[BibT_eX]

[DOI]

E. F. D'Azevedo

Wei-Pai Tang

SIAM J. Matrix Anal. Appl., 1992

1991

A Control Volume Finite Element Approach to NAPL Groundwater Contamination.

[BibT_eX]

[DOI]