Ambagaspitiya, Rohana ShanthaWiredu, David2017-09-252017-09-2520172017http://hdl.handle.net/11023/4131We present a method for Delta-Hedging of variable annuity products under the Guaranteed Minimum withdrawal Benefit (GMWB) Rider based on Wiener Chaos expansion. We also discuss well-known Monte-Carlo methods for computing Delta for derivatives, particularly for variable annuities. A detailed discussion of Wiener Chaos expansion is then provided. A discussion on the Heath-Jarrow-Morton (HJM) framework in the context of constant and exponential volatility is given. Choosing a Geometric Brownian motion for the underlying in the variable annuity account and the Heath-Jarrow-Morton model for interest rates we present results of delta computed by the Wiener Chaos technique in MATLAB using the UQLab framework. Comparisons between this method and the Monte-Carlo benchmark are then presented.engUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.MathematicsDelta Hedging Variable Annuities under Wiener Chaos Expansionmaster thesis10.11575/PRISM/25545