Peter A. Forsyth

After graduating in 1979, Peter was a Senior Simulation Scientist at the Computer Modelling Group (CMG) in Calgary, where he developed petroleum reservoir analytics. After leaving CMG, Peter was the founding President of software startup Dynamic Reservoir Systems (DRS), also in Calgary.
Peter joined the University of Waterloo in 1987, where he was a Professor in the Cheriton School of Computer Science. After 29 years, Peter officially retired from Waterloo on November 1, 2016, and is now a Professor Emeritus.

Peter's current research focuses on Computational Finance. He is a member of the Editorial Board of Applied Mathematical Finance and the Journal of Computational Finance. During the years 2008-2013, he was the Editor-in-chief of the Journal of Computational Finance.

Peter's research has been funded by such organizations as: the Royal Bank of Canada, Scotiabank, Credit Suisse, Tata Consultancy Services, Morgan Stanley, ITO33, Bell Canada, the Global Risk Institute and Neuberger Berman.

Articles by Peter A. Forsyth

Original research

Machine learning and a Hamilton–Jacobi–Bellman equation for optimal decumulation: a comparison study

This paper ascertains a decumulation strategy for the holder of a defined contribution pension plan with an approach based on neural network optimization.

10 Jul 2025

オリジナル・リサーチ

ε-monotone Fourier methods for optimal stochastic control in finance

In this paper, the authors give a preprocessing step for Fourier methods that involves projecting the Green’s function onto the set of linear basis functions.

25 Feb 2019

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