Browsing Mathematics (Faculty of) by Author "Azimzadeh, Parsiad"
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Hedging Costs for Variable Annuities
Azimzadeh, Parsiad (University of Waterloo, 2013-09-03)A general methodology is described in which policyholder behaviour is decoupled from the pricing of a variable annuity based on the cost of hedging it, yielding two sequences of weakly coupled systems of partial differential ... -
Impulse Control in Finance: Numerical Methods and Viscosity Solutions
Azimzadeh, Parsiad (University of Waterloo, 2017-12-05)The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are ...