Gu Wang

Department of Mathematical Sciences
Worcester Polytechnic Institute
100 Institute Road
Worcester, MA 01609

Office: Stratton Hall 305D
Phone: (508) 831-6137(Office)
Email: gwang2 at wpi dot edu

Employment | Education | Research | Teaching

My research interest focuses on stochastic analysis and mathematical finance. Here is my CV and ReserachGate profile.

Upcoming Trips


Employment


Education


Research

Publications
  • Exit problems as the generalized solutions of Dirichlet problems (with Yuecai Han and Qingshuo Song), SIAM Journal on Control and Optimization, to appear. [ArXiv]
  • Should Commodity Investors Follow Commodities' Prices? (with Paolo Guasoni and Antonella Tolomeo), SIAM Journal on Financial Mathematics, 10 (2019) No. 2, 466-490.[Article] [SSRN]
  • Consumption and Investment with Stochastic Interest Risk (with Paolo Guaosni), Journal of Mathematical Analysis and Applications, 476 (2019) No. 1, 215-239. [Article] [SSRN]
  • Quantile Hedging in a Semi-Static Market with Model Uncertainty (with Erhan Bayraktar), Mathematical Methods of Operations Research, 87 (2018) No. 2, 197-227. [Article] [SSRN]
  • Hedge and Mutual Funds' Fees and the Separation of Private Investments (with Paolo Guasoni), Finance and Stochastics, 19 (2015) No. 3, 473-507. [Article][SSRN].
Preprints
  • Sharing Profits in the Sharing Economy (with Paolo Guasoni) [SSRN]
  • High-water Mark Fees with Stochastic Benchmark. [SSRN]
  • Consumption in Incomplete Markets. (with Paolo Guasoni) [SSRN]
Ph.D. Thesis

Teaching

  • MA571 Financial Mathematics I, Fall 2015, Fall 2016, Fall 2017
  • MA572 Financial Mathematics II, Spring 2018, Spring 2020
  • MA574 Portfolio Valuation and Risk Management, Fall 2018
  • MA2631 Probability, A Term 2017, A Term 2018, D Term 2020
  • MA2621 Probability for Applications, E1 Term 2017
  • MA1022 Calculus II, A Term 2016
  • MA1023 Calculus III, E2 Term 2019
  • MA4237 Probabilistic Methods in Operations Research, B Term 2019