Tai-ho Wang

Education

Ph.D., Mathematics, National Chiao Tung University Hsinchu Taiwan

M.S., Mathematics, National Chiao Tung University Taiwan

B.S., Mathematics, National Chiao Tung University Taiwan

Books

Radoicic, R., Stefanica, D., & Wang, T. (2013). 150 Most Frequently Asked Questions on Quant Interviews. (p. 224). New York, NY, USA, FE Press LLC.

Journal Articles

Wang, T., Mariani, F., Recchioni, M. C., & Roberto, G. (2023). Detecting market inefficiencies via trading volumes and the classical Merton optimal portfolio problem. In Progress.

Cheng, X., Guo, P., & Wang, T. (2023). Optimal order execution subject to reservation strategies. In Progress.

Wang, T., Li, Z., Sun, Z., & Wang, M. (2023). Relative entropy-regularized robust optimal order execution. In Progress.

(2022). Probability density of lognormal fractional SABR model. Risks, 10(8). In Progress.

Alos, E., Chatterjee, R., Tudor, S., & Wang, T. (2019). Target volatility option pricing in lognormal fractional SABR model. Quantitative Finance, 19(8). 1339~1356.

Alos, E., Mancino, M., & Wang, T. (2019). Volatility and volatility-linked derivatives: estimation, modeling, and pricing. Decisions in Economics and Finance, 42(2). 321~349.

Cheng, X., Di Giacinto, M., & Wang, T. (2019). Optimal execution with dynamic risk adjustment. Journal of the Operational Research Society, 70(10). 1662~1677.

Akahori, J., Song, X., & Wang, T. (2019). Bridge representation and modal-path approximation. Stochastic Processes and Their Applications, 129. 174~204.

Cheng, X., & Wang, T. (2018). Bessel bridge for heat kernel in hyperbolic space. Proceedings of the American Mathematical Society, 146(4). 1781~1792.

Arguin, L., Liu, N., & Wang, T. (2018). Most-likely-path in Asian option pricing under local volatility models. International Journal of Theoretical and Applied Finance, 21(5). 1850029.

Cheng, X., Di Giacinto, M., & Wang, T. (2017). Optimal Execution with Uncertain Order Fills in the Almgren-Chriss Framework. Quantitative Finance, 17(1). 55~69.

Wang, T. (2015). Book Review on Nonlinear Option Pricing. Quantitative Finance, 15(1). 19-21.

Gatheral, J., Laurence, P., Hsu, E., Ouyang, C., & Wang, T. (2012). Asymptotics of implied volatility in local volatility models. Mathematical Finance, 22(4). 591-620.

Gatheral, J., & Wang, T. (2012). The heat-kernel most-likely-path approximation. International Journal of Theoretical and Applied Finance, 15(1).

Gatheral, J., Hsu, E., Laurence, P., Ouyang, C., & Wang, T. (2012). Asymptotics of Implied Volatility in local volatility models. Mathematical Finance, 22(4). 591~620.

(2011). Sensitivity analysis of non-gaussianity by projection pursuit. Statistica Sinica, 21(4). 1713-1733.

(2010). Generalized uncorrelated SABR models with a high degree of symmetry. Quantitative Finance, 10(6). 663-679.

(2009). Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios. Insurance: Mathematics and Economics, 34(1). pp. 35-47.

(2008). Geometric properties of multivariate correlation in de Finetti's approach to insurance theory. Journal Electronique de L'histoire de la Probabilite et de la Statistique, 4(2).

(2008). Pair- perturbation influence functions of nongaussianity by projection pursuit. Computational Statistics and Data Analysis, 52(8). pp. 3971-3987.

(2008). Distribution free upper bounds for spread options and market implied comonotonicity cap. The European Journal of Finance, 14(8). pp. 717-734.

(2007). Pair-perturbation influence functions and local influence in PCA. Computational Statistics and Data Analysis, 51(12). pp. 5886-5899.

(2007). Influence functions and local influence in linear discriminant analysis. Computational Statistics and Data Analysis, 51(8). pp. 3844-3861.

(2007). Influence analysis of nongaussianity by applying projection pursuit. Statistics and Probability Letters , 77(14). pp. 1515-1521.

(2006). Generating Intergrable One Dimensional Driftless Diffusions. Comptes rendus Mathematique, Academie des Sciences, Paris, 343(6). pp 393-398.

(2005). Close Form Solutions for Quadratic and Inverse Quadratic term Structure Models. International Journal of Theoretical and Applied Finance , 8(8). 1059-1083.

(2005). Sharp Upper and Lower Bounds for Basket Options. Applied Math Finance , 12(3). pp 253-282.

(2005). Static-arbitrage Upper Bounds for the Prices of basket Options. Quantitative Finance , 5(4). pp 329-342.

(2005). Static-arbitrage Optimal Sub-replicating Strategies for Basket Options. Insurance: Mathematics and Economics , 37. pp 553-572.

(2004). What's a basket worth?. Risk Magazine, (N. Dunbar). pp 73-74.

(2002). Global Pinching Theorem for Surfaces of Constant Mean Curvature on Sn. Proceedings of American Mathematical Society, 130(1). pp 157-161.

(2001). Inequalities between Dirichlet and Neumann Eigenvalues for Domains on Spheres. Taiwanese J Math , 5(4). pp 755-766.

(2000). Graphs with Prescribed Mean Curvature on Sphere. Bulletin Institute of Mathematics, Academia Sinica , 28(4). 215-223.

Di Giacinto, M., Tebaldi, C., & Wang, T. Optimal order execution under price impact: A hybrid model . Annals of Operations Research,

Book Chapters

Wang, T., & Gatheral, J. (2015). Implied volatility from local volatility: A path integral approach. Large Deviations and Asymptotic Methods in Finance Springer Proceedings in Mathematics & Statistics.

Laurence , P., & Wang, T. (2009). What's a basket worth?. In Madan, D. (Ed.), Structured product: Groundbreaking technical papers introduced and explained by Dilip Madan (Chapter 16), Risk Books.

Laurence , P., & Wang, T. (2005). What's a basket worth?. In Dunbar, N. (Ed.), Dervatives Trading and Option Pricing (pp. pp. 59-76). Risk Books.

Presentations

Wang, T. (2024, January 9). Entropy-regularized robust optimal order execution. Mathematical Finance Seminar. Shiga, Japan: Ritsumeikan University.

Wang, T. (2024, April 9). Relative entropy-regularized robust optimal order execution. XXIV Quantitative Finance Workshop. Gaeta, Italy: University of Cassino.

Wang, T. (2024, March 25). Dynamic optimal execution under price impact with inventory cost:A heterogeneous characteristic time scale approach. The Financial Engineering Seminar Series. Online: Stevens Institute of Technology.

Wang, T. (2024, April 15). Dynamic optimal execution under price impact with inventory cost:A heterogeneous characteristic time scale approach. Mathematical Finance Seminar. Online: Ritsumeikan University.

Wang, T. (2018, July 12). Insider trading in asymmetric information, adverse selection, and inventory cost. Colloquia and Seminars. Beijing, China: Department of Mathematical Finance, Peking University.

Wang, T. (2018, July 9). Small time asymptotic for joint density of system driven by Gaussian process. The American Institute of Mathematical Sciences Conference Series. Taipei, Taiwan: National Taiwan University.

Wang, T. (2018, July 3). Target volatility option pricing in lognormal fractional SABR model. Workshop on Stochastic Analysis and Related Topics. Hong Kong: The University of Hong Kong.

Wang, T. (2018, June 30). Bridge representation and modal-path approximation. The 27th South Taiwan Statistics Conference. Tainan, Taiwan: National Cheng Kung University.

Wang, T. (2018, June 11). Probability Density and Derivative Pricing in Fractional SABR Model. Colloquia and Seminars. Beijing, China: Academy of Math and Systems Science, Chinese Academy of Sciences.

Wang, T. (2018, April 11). Probability Density and Derivative Pricing in Fractional SABR Model. Department Colloquium. Beijing, China: China Institute for Actuarial Science, Central University of Finance and Economics.

Wang, T. (2018, March 20). Derivative Pricing in Fractional SABR Model. Department Colloquium. Beijing, China: Department of Financial Engineering, University of International Business and Economics.

Wang, T. (2018, March 15). Target Volatility Option Pricing in Lognormal Fractional SABR Model. Workshop on Mathematical Finance and Related Issues. Osaka, Japan: Osaka University.

Wang, T. (2017, October 17). Implied Volatility and Its Related Financial Instruments: Modeling and Pricing. Finance Seminar Series. Florence, Italy: Dipartimento di Scienze per l'Economia e l'Impresa Universita degli Studi di Firenze.

Wang, T. (2017, December 22). Work in Progress Related to Quantitative Finance. Probability Seminar. Shiga, Japan: Department of Mathematics, Ristumeikan Univeristy.

Wang, T. (2017, September 28). Bridge Representation and Small Time Approximation of Transition Density. Mathematics Colloquium. Shiga, Japan: Department of Mathematics, Ritsumeikan University.

Wang, T. (2017, September 11). Bridge Representation and Small Time Approximation of Transition Density. Probability Seminar. Taipei, Taiwan: Institute of Mathematics, Academia Sinica.

Wang, T. (2017, September 8). Bridge Representation and Small Time Approximation of Transition Density. Math Department Colloquium. Tainan, Taiwan: National Cheng Kung University.

Wang, T. (2017, January 24). Probability density of lognormal fractional SABR model. IAQF/Thalesians Seminar Series. New York

Wang, T. (2017, April 13). Probability Density of Lognormal Fractional SABR Model. Quantitative Finance Seminar. Hoboken, New Jersey: Stevens Institute of Technology.

Wang, T. (2017, April 10). Probability Density of Lognormal Fractional SABR Model. Quantitative Finance Seminar. Brooklyn, New York: Tandon School of Engineering, New York University.

Wang, T. (2017, March 9). Bridge Representation and Small Time Approximation of Transition Density. Seminar on Stochastic Processes. Charlottesville, Virginia: University of Virginia.

Wang, T. (2017, February 28). Probability density of lognormal fractional SABR model. Mathematics of quantitative finance conference. Oberwolfach, Germany: Mathematisches Forschungsinstitut Oberwolfach.

Wang, T. (2017, June 29). Probability Density of Lognormal Fractional SABR Model. Probability Seminar. Taipei, Taiwan: Academia Sinica.

Wang, T. (2016, July 31). . Topics in Market Microstructure Models. Beijing, China: National School of Development, Peking University.

Wang, T. (2016, November 2). Bridge Representation and Small Time Approximation of Transition Density. Colloquia and Seminars. Beijing, China: Chinese Academy of Sciences.

Wang, T. (2016, June 27). Probability Density of Lognormal Fractional SABR Model. At the Frontiers of Quantitative Finance. Edinburgh, Scotland: International Center of Mathematical Science.

Wang, T. (2016, May 19). Bridge Representation and Small Time Approximation of Transition Density. Online PDE Seminar. Seattle, WA: University of Washington.

Wang, T. (2015, December 15). Most-likely-path in Asian Option Pricing under Local Volatility Models. International Conference on Computational Finance. London, UK: University of Greenwich.

Wang, T. (2015, October 28). Topics in option pricing. Guest lecture. Milan, Italy: Bocconi University.

Wang, T. (2015, June 25). Optimal execution with uncertain order fills. Fifth International IMS-FIPS Workshop. New Brunswick, NJ: Rutgers University.

Wang, T. (2015, April 9). Optimal execution with uncertain order fills. PDEs and Applied Mathematics Seminar. Philladelphia: Drexel University.

Wang, T. (2015, March 18). Optimal execution with uncertain order fills. Workshop on Mathematical Finance and Related Issues. Osaka, Japan: Osaka University.

Wang, T. (2015, March 14). Optimal execution with uncertain order fills. AMS Central Spring Sectional Meetings. East Lansing: Michigan State University.

Wang, T. (2015, January 12). Optimal execution with uncertain order fills. Probability Seminar. Taipei, Taiwan: Academia Sinica.

Wang, T. (2015, January 15). Optimal execution with uncertain order fills. Mathematics Colloquium. Chungli, Taiwan: National Central University.

Wang, T. (2014, November 3). Optimal execution with uncertain order fills in Almgren-Chriss framework. Mathematical Finance Seminar. Beijing, China: Peking University.

Wang, T. (2014, January 17). Implied volatility from local volatility: A path integral approach. Mathematical Finance Seminar. Osaka, Japan: Osaka University.

Wang, T. (2014, July 17). Implied volatility from local volatility: A path integral approach. Risk Quant Congress. New York: Incisive Media.

Wang, T. (2014, January 16). Implied volatility from local volatility: A path integral approach. Mathematics Colloquium. Shiga, Japan: Ritsumeikan University.

Wang, T. (2013, June 24). Implied volatility from local volatility: A path integral approach. Probability Seminar. Taipei, Taiwan: Academia Sinica.

Wang, T. (2013, July 5). Implied volatility from local volatility: A path integral approach. Probability Seminar. Berlin, Germany: Technische Universität Berlin.

Wang, T. (2012, June 30). Implied volatility from local volatility: A path integral approach. The 7th World Congress of Bachelier Finance Society. Sydney, Australia

Wang, T. (2011, February 9). Variational most-likely-path approximation in local volatility models. Risk Seminar. New York: Columbia University and Graduate Center CUNY.

Wang, T. (2011, November 15). Most-likely-path approximation and its extensions. Rutgers Mathematical Finance and Probability Seminar. Rutgers University

Wang, T. (2010, December 29). Small time asymptotics for implied volatilies. Math Colloquium. Chungli, Taiwan: National Central University.

Wang, T. (2010, December 30). Variational most-likely-path approximation in local volatility models. Probability Seminar. Hsinchu, Taiwan: National Chiao Tung University.

Wang, T. (2010, December 20). Variational most-likely-path approximation in local volatility models. Probability Seminar. Taipei, Taiwan: Academia Sinica.

Wang, T. (2010, June 30). Asymptotics of implies volatility in local volatility models. The 6th World Congress of Bachelier Finance Society. Toronto, Canada

Wang, T. (2010, December 22). Small time asymptotics for implied volatilies. Math Colloquium. Tainan, Taiwan: National Cheng Kung University.

Wang, T. (2010, December 16). Variational most-likely-path approximation to Asian option value under local volatility models. Quantitative Method in Finance Conference. Sydney, Australia: University of Technology, Sydney.

Wang, T. (2010, November 30). Most-likely-path approximation of option prices on the arithmetic aveage in local volatlity models. SIAM Conference on Financial Mathematics and Engineering. San Francisco, California

Wang, T. (2010, December 23). Variational most-likely-path approximation in local volatility models. Analysis Seminar. Tainan, Taiwan: National Center for Theoretical Sciences.

Wang, T. (2009, July 31). Distribution-free arbitrage bounds for spread options and market-implied monotonicity gap. The 15th INFORMS Applied Probability Society Conference. Invited Speaker. Cornell University, Ithaca, NY

Wang, T. (2006, April 6). Moment problem approach to financial optimization. Academia Sinica

Wang, T. (2006, April 11). Closed form solutions for quadratic for and inverse quadratic term models: speech. Tamkang University

Wang, T. (2006, May 3). Optimization approaches applied to mathematical finance. Nan Hua University

Wang, T. (2006, May 24). Lower and Upper bounds of pricing basket option. National Taichung University

Wang, T. (2006, June 5). Symmetry classifications of SABR-like models. Workshop on Probability with Applications. National Taiwan University, Taipei

Wang, T. (2006, July 31). Classification of Stochastic volatility model. The 5th Cross Strait Probability and Statistics Conference. Miao-Li: National Health Research Institute.

Wang, T. (2006, September 1). Symmetry classifications of SABR-like models:. Seminar. New York: Bloomberg, LP.

Wang, T. (2006, September 28). Symmetry classications of family of a mixed stochastic volatility models. Mathematical Finance Seminar. Courant Institute, New York University, New York

Wang, T. (2006, February 8). . Symmetries of Stochastic processes. University of Roma 1

Wang, T. (2006, January 25). Using Lie's symmetry method to generate solutions of parabolic PDE's. University of Roma 1

Wang, T. (2005, June 26). Closed form solutions for option pricing interest models on two assets. Probabilty and Statistics Conference. National Cheng Kung University

Wang, T. (2005, October 31). Symmetries of stochastic processes. Seminar. Academia Sinica, Taipei

Wang, T. (2005, November 23). Arbitrage pricing theory and its related topics. Fu Jen Catholic University

Wang, T. (2005, December 14). Probability session. TMS-AMS joint conference. Tung Hai University

Wang, T. (2005, March 3). Optimal static-arbitrage bounds for the prices of basket options:. National Sen Yet Sun University

Wang, T. (2004, November 13). Using copula to bound prices of options on multi-asset. Annual Statistics Conference. National Chung Cheng University

Wang, T. (2004, December 5). Optimal bounds for the prices of basket options and their replicating strategies. Annual Mathematics Conference. National Taiwan University

Wang, T. (2004, December 17). Static -arbitrage optinal sub-replicating strategies for basket options. Quantitative Method in Finance Conference. Sydney

Wang, T. (2004, December 30). Optimal bounds for the prices of basket options and their replicating strategies. Annual Mathematics Conference. National Changhua University of Education

Wang, T. (2004, July 19). Static-arbitrage upper bounds for the prices of basket options. Seminar. Taipei: National Center of Theoretical Sciences.

Wang, T. (2004, February 13). Arbitrage free bounds and optimal hedge ratios for basket options. Conference. Sun Moon Lake

Wang, T. (2004, March 3). Arbitrage free bounds and optimal hedge ratios for basket options. Conference. National Chung Cheng University

Wang, T. (2004, March 15). Applications of symmetry analysis in finance speech. National University of Kaohsiung

Wang, T. (2004, June 26). Static-arbitrage upper bounds for the prices of basket options. Southern Taiwan Statistics Conference. Agora Garden, Taipei

Wang, T. (2003, November 3). Sharp bounds and optimal hedge ratios for basket options. Probability Seminar. Academia Sinica, Taipei

Wang, T. (2003, March 3). Sharp upper and lower bounds for a basket option on two assets. Probability Seminar. Academia Sinicia, Taipei

Wang, T. (2003, July 25). Optimal investment and consumption with transaction cost. Providence University

Wang, T. (2002, December 4). Duality method to bounds on basket option price. National Chung Cheng University

Wang, T. (2002, December 31). Mathematical problems in finance with transaction cost. Probability Seminar. Academia Sinicia, Taipei

Wang, T. (2001, March 30). Optimal portfolios in stochastic environments. Soochow University

Wang, T. (1999, December 21). Graphs with prescribed mean curvature in the sphere. Seminar. National Center of Theoretical Sciences, Hsinchu

Wang, T. (1997, November 24). The harmonic map heat flow. Seminar. National Center of Theoretical Sciences, Hsinchu

Research Currently in Progess

Liu, Y., & Wang, T.(n.d.). Parameter estimation of multiplicative SDEs via discrete observation . In Progress.

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