Peter Forsyth
Professor
Cheriton School of Computer Science
University of Waterloo
Canada
Biography
Dr. Peter Forsyth is a Professor in the Cheriton School of Computer Science, University of Waterloo, University Avenue West, Waterloo, ON, Canada.
Research Interest
Financial derivative securities, such as options and futures, can be viewed as a form of insurance. These instruments are routinely used by large corporations to hedge currency fluctuations, uncertain energy costs and commodity price volatility. Many financial contracts contain embedded options. As a result, individual investors are often unaware that they frequently buy and sell options. Some examples of these embedded options include mortgage prepayment privileges, equity linked GICs, and fixed rate natural gas home heating contracts.
Publications
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P.A. Forsyth and 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.
