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.

Upcoming Trips

  • University of Colorado Boulder, October 26, 2017
  • JMM 2018, San Diego, Jan 11-12, 2018
  • SIAM Annual Meeting 2018, Portland, July 9-13, 2018


Employment


Education


Research

Publications
  • Quantile Hedging in a Semi-Static Market with Model Uncertainty (with Erhan Bayraktar), Mathematical Methods of Operations Research, forthcoming. [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
  • High-water Mark Fees with Stochastic Benchmark. [SSRN]
  • Consumption with Unhedgeable Interest Rate Risk. [SSRN]
  • Comsumption in Incomplete Markets (with Paolo Guasoni). [SSRN]
Ph.D. Thesis

Teaching

  • MA571 Financial Mathematics I, Fall 2015, Fall 2016, Fall 2017
  • MA2631 Probability, A Term 2017
  • MA2621 Probability for Applications, E1 Term 2017
  • MA1022 Calculus II, A Term 2016