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.

In Fall 2019, Financial Mathematics and Stochastic Analysis Seminar is scheduled on Tuesdays, 4-5 pm at Stratton Hall 203.

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, 57 (2019), No. 4, 2392-2414. [Article] [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