Now showing items 1-2 of 2

    • 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 ...


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