NSD3

Phone: 646.312.4130
Email: tai-ho.wang@baruch.cuny.edu
Mailing address:
Department of Mathematics, Box B6-230
Baruch College, The City University of New York
One Bernard Baruch Way
New York, NY 10010, USA

Current Research Interests:

Volatility Modeling, Arbitrage Bounds on Options, and Symmetry Analysis

Education:

B.Sc. (1992): National Chiao Tung University, Applied Mathematics.

MSc. (1994): National Chiao Tung University, Applied Mathematics.

Ph.D. (2000): Department of Applied Mathematics, National Chiao Tung Univeristy,

Advisor: Professor Yi-Jung Hsu

Academic Experience:

2012/08 ~ present: Professor, Department of Mathematics, Baruch College, CUNY.

2024/09 ~ 2025/01: Visiting Professor, Department of Mathematical Sciences, Ritsumeikan University, Japan

2018/02 ~ 2018/07: Visiting Professor, National School of Development, Peking University, China

2017/09 ~ 2018/01: Visiting Professor, Department of Mathematical Sciences, Ritsumeikan University, Japan

2008/08 ~ 2012/07: Associate Professor, Department of Mathematics, Baruch College, CUNY.

2006/08 ~ 2007/02: Visiting Scholar, Courant Institute of Mathematical Sciences, New York University.

2006/08 ~ 2008/07: Associate Professor, Department of Mathematics, National Chung Cheng Univeristy.

2002/08 ~ 2006/07: Assistant Professor, Department of Mathematics, National Chung Cheng Univeristy.

2001/08 ~ 2002/07: Visiting Member, Courant Institute of Mathematical Sciences, New York University.

2000/08 ~ 2002/07: Postdoc, Institute of Mathematics, Academia Sinica, Taiwan.

Articles:

35. (with Shen-Ning Tung) A mathematical framework for modelling CLMM dynamics in continuous time
Preprint, available on arXiv, (2024)

34. (with Francesca Mariani, Maria Cristina Recchioni, and Roberto Giacalone) Can market volume reveal traders’ rationality and a new risk premium?
Preprint, available on arXiv, (2024)

33. (with Cheuk Yin Lee and Shen-Ning Tung) Growth rate of liquidity provider’s wealth in G3Ms.
Preprint, available on arXiv, (2024)

32. (with Marina Di Giacinto and Claudio Tebaldi) Optimal order execution under price impact: A hybrid model.
Annals of Operations Research, 336, 606-636, (2024)

31. (with Meng Wang) Relative entropy-regularized robust optimal order execution.
Preprint, available on arXiv, (2023)

30. (with Xue Cheng and Peng Guo) Optimal order execution subject to reservation strategies under execution risk.
Preprint, available on arXiv and SSRN, (2023)

29. (with Jiro Akahori and Xiaoming Song) Probability density of lognormal fractional SABR model.
Risks, Special Issue “Emerging Topics in Finance and Risk Engineering – In Memory of Peter Carr”, (2022)

28. (with Elisa Alos and Maria Elvira Mancino) Volatility and volatility-linked derivatives: estimation, modeling, and pricing.
Decisions in Economics and Finance, 42(2), 321-349, (2019)

27. (with Xue Cheng and Marina Di Giacinto) Optimal Execution with dynamic risk adjustment.
Journal of the Operational Research Society, 70(10), 1662-1677, (2019)

26. (with Elisa Alos, Rupak Chatterjee, and Sebastian Tudor) Target volatility option pricing in lognormal fractional SABR model.
Quantitative Finance, 19(8), 1339-1356, (2019)

25. (with Jiro Akahori and Xiaoming Song) Bridge representation and modal-path approximation.
Stochastic Processes and their Applications, 129, 174-204, (2019)

24. (with Louis-Pierre Arguin and Nien-Lin Liu) Most-likely-path in Asian option pricing under local volatility models.
International Journal of Theoretical and Applied Finance, 21(4), 1850029, (2018)

23. (with Xue Cheng) Bessel bridge representation for heat kernel in hyperbolic space.
Proceedings of the American Mathematical Society, 146(4), 1781-1792, (2018)

22.  (with Xue Cheng and Marina Di Giacinto) Optimal execution with uncertain order fills in Almgren-Chriss framework.
Quantitative Finance, 17(1), 55-69, (2017)

21.  (with Jim Gatheral) Implied Volatility from Local Volatility: A Path Integral Approach.
Springer Proceedings in Mathematics & Statistics, Vol. 110, Large Deviations and Asymptotic Methods in Finance, 247-271, (2015)

20. Book review on Nonlinear Option Pricing by J. Guyon and P. Henry-Labordère,
Quantitative Finance, 15(1), 19-21, (2015)

19. (with Jim Gatheral) The Heat-Kernel Most-Likely-Path Approximation.
International Journal of Theoretical and Applied Finance, 15(1), 1250001 (2012)

18. (with Jim Gatheral, Elton Hsu, Peter Laurence, and Cheng Ouyang) Asymptotics of Implied Volatility in Local Volatility Models. 
Mathematical Finance, 22(4), 591~620 (2012)

17. (with Yufen Huang and Ching-Ren Cheng) Sensitivity analysis of non-gaussianity by projection pursuit. 
Statistica Sinica, 21(4), 1713~1733 (2011)

16. (with Peter Laurence and Sheng-Li Wang) Generalized Uncorrelated SABR Models with a High Degree of Symmetry. 
Quantitative Finance, 10(6), 663-679 (2010)

15. (with Peter Laurence) Sharp Distribution Free Lower Bounds for Spread Options and the Corresponding Optimal Subreplicating Portfolios. 
Insurance: Mathematics and Economics, 34(1), 35-47 (2009)

14. (with Peter Laurence) Distribution Free Upper Bounds for Spread Options and Market Implied Comonotonicity Gap. 
The European Journal of Finance, 11(8), 717-734 (2008)

13. (with Yufen Huang and Ching-Ren Cheng) Pair-Perturbation Influence Functions of Non-gaussianity by Projection Pursuit. 
Computational Statistics and Data Analysis, 52(8), 3971-3987 (2008)

12. (with Yufen Huang and Ching-Ren Cheng) Influence Analysis of Nongaussianity by Applying Projection Pursuit. 
Statistics and Probability Letters, 77(14), 1515-1521 (2007)

11. (with Yufen Huang and Mei-Ling Kuo) Pair-Perturbation Influence Functions and Local Influence in PCA. 
Computational Statistics and Data Analysis, 51(12), 5886-5899 (2007)

10. (with Yufen Huang and Tzu-Ling Kao) Influence Functions and Local Influence in Linear Discriminant Analysis. 
Computational Statistics and Data Analysis, 51(8), 3844-3861 (2007)

9. (with Peter Carr and Peter Laurence) Generating Integrable One Dimensional Driftless Diffusions. 
Comptes Rendus Mathematique Academie des Sciences, Paris., 343(6), 393-398 (2006)

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

7. (with David Hobson and Peter Laurence) Static-arbitrage Optimal Sub-replicating Strategies for Basket Options. 
Insurance: Mathematics and Economics, 37, 553-572 (2005)

6. (with David Hobson and Peter Laurence) Static-arbitrage Upper Bounds for the Prices of Basket Options.
Quantitative Finance, 5(4), 329-342 (2005)

5. (with Peter Laurence) Sharp Upper and Lower Bounds for Basket Options. 
Applied Mathematical Finance, 12(3), 253-282 (2005)

4. (with Peter Laurence) What’s a basket worth? 
Risk Magazine, February, 73-74 (2004)

3. (with Yi-Jung Hsu) Global Pinching Theorem for Surfaces of Constant Mean Curvature on S³.
Proceedings of the American Mathematical Society, 130(1), 157-161 (2002)

2. (with Yi-Jung Hsu) Inequalities between Dirichlet and Neumann Eigenvalues for Domains on Spheres.
Taiwanese Journal of Mathematics, 5(4), 755-766 (2001)

1. (with Yi-Jung Hsu and Sheng-Jong Shiau) Graphs with Prescribed Mean Curvature in the Sphere. 
Bulletin of the Institute of Mathematics, Academia Sinica, 28(4), 215-223 (2000)

Book contributions:

• (with Peter Laurence) What’s a basket worth?

Structured product: Groundbreaking technical papers introduced and explained by Dilip Madan, Risk Books (2009).

• (with Peter Laurence) What’s a basket worth?

Derivatives Trading and Option Pricing, N. Dunbar (Ed.), Risk Books (2005).

Talk slides:

Course Materials: