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Li, Yuying - School of Computer Science, University of Waterloo
Robustly Hedging Variable Annuities with Guarantees Under Jump and Volatility Risks
0 50 100 150 200 250 In-the-money put
NumberofSharesTradedinthePeriod True Optimal Execution Strategy
40 60 80 100 120 140 160 LocalVolatility
Hedging Guarantees in Variable Annuities Under Both Equity and Interest Rate Risks
Standard deviation Expectedreturn
Minimizing CVaR and VaR for a Portfolio of Derivatives
EXECUTION COSTS IN FINANCIAL MARKETS WITH SEVERAL INSTITUTIONAL INVESTORS
Minimizing Tracking Error While Restricting the Number of Assets
Calibration and Hedging under Jump Diffusion J.S. Kennedy
In an incomplete market it is usually impossible to eliminate the intrinsic risk of an option. In this case quadratic risk minimization is often used to determine
A NEWTON METHOD FOR AMERICAN OPTION PRICING THOMAS F. COLEMAN, YUYING LI, AND ARUN VERMA
Dynamic Hedging With a Deterministic Local Volatility Function Model
RECONSTRUCTING THE UNKNOWN LOCAL VOLATILITY FUNCTION THOMAS F. COLEMAN, YUYING LI, AND ARUN VERMA
The Profile of School No ,12 Middle School of Chengdu (or Middle School Affiliated to Sichuan
Hedging a Portfolio of Derivatives by Modeling Cost Katharyn A. Boyle
