Journal of Computational Finance
ISSN:
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 29, Number 1 (June 2025)
Editor's Letter
Cornelis W. Oosterlee
Utrecht University
Christoph Reisinger
University of Oxford
It is with great pleasure that we present the first of two special issues of The Journal of Computational Finance on the occasion of Professor Peter Forsyth’s 70th birthday, celebrated during the ICCF24 Conference in Amsterdam, the Netherlands, in early April 2024. Peter’s birthday was marked on the afternoon of Wednesday, April 3rd, in the company of friends, colleagues and collaborators, and it coincided with his retirement from the University of Waterloo. It was a fitting moment to reflect on Peter’s substantial contributions to our field and his long-standing influence on the computational finance community.
Peter was editor of The Journal of Computational Finance from 2008 to 2013. We have selected the papers in these two issues, contributed by his friends and colleagues worldwide, to reflect both the breadth of topics and the high standards that Peter championed throughout his career. They represent contributions to machine learning in stochastic optimal control, partial differential equations in finance, option valuation and risk management, underpinned by careful discretization and robust numerical solution methods.
Peter’s own work has consistently demonstrated a fine balance between rigorous theoretical development, practical numerical implementation and a clear appreciation of the financial application in focus. It is a hallmark of his research style that has inspired many and has set a standard for computational finance research.
We thank the contributors for their thoughtful and innovative papers, which capture the spirit of Peter’s approach and his commitment to advancing computational methods in finance. We also extend our gratitude to the ICCF24 organizing committee for creating a welcoming and stimulating environment in Amsterdam, which allowed us to celebrate Peter and his career in the best possible setting.
We hope that readers will find this special issue both enjoyable and inspiring.
Papers in this issue
On deep portfolio optimization with stocks, bonds and options
The authors put forward a neural-network machine learning algorithm for time-inconsistent portfolio optimization.
Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads
The authors employ portfolio replication and dynamic hedging techniques to derive models for pricing financial derivatives in multicurrency markets and in the presence of counterparty credit risk.
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.
