Browsing University of Waterloo by Author "Wang, Jian"
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Hedging with a Correlated Asset: An Insurance Approach
Wang, Jian (University of Waterloo, 2005)Hedging a contingent claim with an asset which is not perfectly correlated with the underlying asset results in an imperfect hedge. The residual risk from hedging with a correlated asset is priced using an actuarial ... -
Numerical Methods for Continuous Time Mean Variance Type Asset Allocation
Wang, Jian (University of Waterloo, 2010-04-19)Many optimal stochastic control problems in finance can be formulated in the form of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs). In this thesis, a general framework for solutions of HJB PDEs in ...