Cody Blaine Hyndman

Concordia University, Quebec - Department of Mathematics and Statistics

Associate Professor

Concordia University

1455 boulevard de Maisonneuve Ouest

Montreal, Quebec H3G 1M8

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

461

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk

Number of pages: 41 Posted: 31 Oct 2014 Last Revised: 07 Jul 2016
Cody Blaine Hyndman and Menachem Wenger
Concordia University, Quebec - Department of Mathematics and Statistics and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 111 (464,191)
Citation 6

Abstract:

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variable annuity, GMWB, optimal stopping, hedging, binomial models, mortality

2.

A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations

Forthcoming, Methodology and Computing in Applied Probability (2015)
Number of pages: 29 Posted: 09 Apr 2013 Last Revised: 24 Jun 2015
Cody Blaine Hyndman and Polynice Oyono Ngou
Concordia University, Quebec - Department of Mathematics and Statistics and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 101 (496,566)
Citation 1

Abstract:

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backward stochastic differential equations (BSDEs), reflected BSDEs, fast Fourier transform, parabolic PDE, numerical approximation, option valuation

3.

Valuation Perspectives and Decompositions for Variable Annuities with GMWB Riders

Insurance: Mathematics and Economics, Vol. 55, 2014
Number of pages: 18 Posted: 10 Jul 2013 Last Revised: 17 Jan 2015
Cody Blaine Hyndman and Menachem Wenger
Concordia University, Quebec - Department of Mathematics and Statistics and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 98 (506,713)
Citation 1

Abstract:

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variable annuity, GMWB, optimal stopping

4.

Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact

Number of pages: 33 Posted: 08 Oct 2016
Caroline Hillairet, Cody Blaine Hyndman, Ying Jiao and Renjie Wang
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Concordia University, Quebec - Department of Mathematics and Statistics, Universit ́e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 88 (542,732)

Abstract:

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disorderly liquidation, asymmetric information, market impact, portfolio optimization, optimal trading, Monte-Carlo method

5.

Explicit Solutions of Quadratic FBSDEs Arising from Quadratic Term Structure Models

Number of pages: 23 Posted: 09 Oct 2014 Last Revised: 17 Dec 2014
Cody Blaine Hyndman and Xinghua Zhou
Concordia University, Quebec - Department of Mathematics and Statistics and University of Western Ontario - Applied Mathematics Department
Downloads 63 (654,349)

Abstract:

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Quadratic term-structure models, forward-backward stochastic differential equations, zero coupon bond price, quadratic price model, futures price, forward price, Riccati equations