Department of Mathematics
Baruch College, The City University of New York 1 Bernard Baruch Way, New York, NY10010
Tel: (646) 312-4130
Email: tai-ho.wang@baruch.cuny.edu
EDUCATION:
Degree Institute Field Dates
PhD National Chiao Tung University, Taiwan Mathematics 2000
MS National Chiao Tung University, Taiwan Mathematics 1994
BS National Chiao Tung University, Taiwan Mathematics 1992
FULL-TIME ACADEMIC EXPERIENCE:
Institution Rank Field Dates
Baruch College Professor Mathematics 9/12–present
Baruch College Associate Professor Mathematics 9/08–8/12
National Chung Cheng University Associate Professor Mathematics 8/06–7/08
National Chung Cheng University Assistant Professor Mathematics 8/02–7/06
NON ACADEMIC EXPERIENCE:
Place of Employment Title Dates
NSD, Peking University Visiting Professor 2/18–7/18
Ritsumeikan University, Japan Visiting Professor 9/17–1/18
Bocconi University, Italy Visiting Professor 10/15
Osaka University, Japan Visiting Professor 3/15
Ritsumeikan University, Japan Visiting Professor 1/14
University of Vienna, Austria Visiting Professor 8/08, 1/09
New York University Visiting Scholar 8/06–7/07
University of Rome “La Sapienza”, Italy Visiting Scholar 1-2/04, 05 & 06
New York University Postdoc 9/01–7/02
Academia Sinica, Taiwan Postdoc 8/00–7/02
PUBLICATIONS IN FIELD OF EXPERTISE:
A. Papers in Professional Journals:
Arguin, L.-P., Liu, N.-L., and Wang, T.-H., “Most-likely-path in Asian Option Pricing under Local Volatility Models”, International Journal of Theoretical and Applied Finance, accepted, 2018.
Akahori, J., Song, X., and Wang, T.-H., “Bridge Representation and Modal-Path Approximation”, Stochastic Processes and their Applications, forthcoming, 2018.
Cheng, X. and Wang, T.-H., “Bessel Bridge Representation for Heat Kernel in Hyperbolic Space”, Proceedings of the American Mathematical Society, Vol. 146, No. 4, pp.1781-1792, 2018.
Cheng, X., Di Giacinto, M., and Wang, T.-H., “Optimal Execution with Uncertain Order Fills in Almgren-Chriss Framework”, Quantitative Finance, Vol. 17, No. 1, pp.55-69, 2017.
Wang, T.-H. and Gatheral, J., “Implied Volatility from Local Volatility: A Path Integral Approach”, Springer Proceedings in Mathematics & Statistics, Vol. 110, Large Deviations and Asymptotic Methods in Finance, pp. 247-271, 2015.
Gatheral, J. and Wang, T.-H., “The Heat-Kernel Most-Likely-Path Approximation”, International Journal of Theoretical and Applied Finance, Vol. 15, No. 1, 1250001, 2012
Gatheral, J., Hsu, E., Laurence, P., Ouyang, C., and Wang, T.-H., “Asymptotics of implied volatility in local volatility models”, Mathematical Finance, Vol. 22, No. 4, pp. 591-620, 2012.
Huang, Y., Cheng, C.-R., and Wang, T.-H., “Sensitivity analysis of non-gaussianity by projection pursuit”, Statistica Sinica, Vol. 21, No. 4, pp. 1713-1733, 2011.
Wang, T.-H., Laurence, P. and, Wang, S.-L., “Generalized uncorrelated SABR models with a high degree of symmetry”, Quantitative Finance, Vol. 10, Issue 6, pp. 663-679, 2010.
Laurence, P., and Wang, T.-H., “Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios”, Insurance: Mathematics and Economics. Vol. 34, Issue 1, pp. 35-47, 2009.
Laurence, P., Wang, T.-H., and Barone, L., “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, Vol. 4, No. 2, December 2008.
Laurence, P., and Wang, T.-H., Distribution Free Upper Bounds for Spread Options and Market Implied Comonotonicity Gap, The European Journal of Finance, Vol. 14, Issue 8, pp. 717-734, 2008.
Huang, Y., Cheng, C., and Wang, T.-H., “Pair-Perturbation Influence Functions of Non-gaussianity by Projection Pursuit”. Computational Statistics and Data Analysis. Vol. 52, Issue 8, pp. 3971-3987, 2008.
Huang, Y., Cheng, C., and Wang, T.-H., “Influence Analysis of Nongaussianity by Applying Projection Pursuit”. Statistics and Probability Letters. Vol. 77, Issue 14, pp.1515-1521, 2007.
Huang, Y., Kuo, M., and Wang, T.-H., “Pair-Perturbation Influence Functions and Local Influence in PCA”. Computational Statistics and Data Analysis, Vol. 51, Issue 12, pp.5886-5899, 2007.
Huang, Y., Kao, T., and Wang, T.-H., “Influence Functions and Local Influence in Linear Discriminant Analysis”. Computational Statistics and Data Analysis. Vol. 51, Issue 8, pp.3844-3861, 2007.
Carr, P., Laurence, P., and Wang, T.-H., “Generating Integrable One Dimensional Driftless Diffusions”. Comptes Rendus Mathematique. Academie des Sciences, Paris. Vol. 343, No. 6, pp.393-398, 2006.
Laurence, P., and Wang, T.-H., “Close Form Solutions for Quadratic and Inverse Quadratic Term Structure Models”. International Journal of Theoretical and Applied Finance.
Vol. 8, No. 8, pp.1059-1083, 2005.
Hobson, D., Laurence, P., and Wang, T.-H., “Static-arbitrage Optimal Sub-replicating Strategies for Basket Options”. Insurance: Mathematics and Economics. Vol. 37, pp.553-572, 2005.
Laurence, P., and Wang, T.-H., “Sharp Upper and Lower Bounds for Basket Options”.
Applied Mathematical Finance. Vol. 12, No. 3, pp.253-282, 2005.
Hobson, D., Laurence, P., and Wang, T.-H., “Static-arbitrage Upper Bounds for the Prices of basket Options”. Quantitative Finance. Vol. 5, No. 4, pp.329-342, 2005.
Laurence, P., and Wang, T.-H., “What’s a basket worth?”. Risk Magazine, pp.73-74, February 2004. Hsu, Y., and Wang, T.-H., “Global Pinching Theorem for Surfaces of Constant Mean Curvature on S3”.
Proceedings of the American Mathematical Society, 130, No. 1, pp.157-161, 2002.
Hsu, Y., and Wang, T.-H., “Inequalities between Dirichlet and Neumann Eigenvalues for Domains on
Spheres”. Taiwanese Journal Mathematics, 5, No. 4, pp.755-766, 2001.
Hsu, Y., Shiau, S., and Wang, T.-H., “Graphs with Prescribed Mean Curvature on Sphere.” Bulletin
Institute of Mathematics, Academia Sinica. Vol. 28, No. 4, pp.215-223, 2000.
B. Chapters in Books:
Laurence, P., and Wang, T.-H., “What’s a basket worth?”, Derivatives Trading and Option Pricing, ed. by N. Dunbar, Risk Books, pp.59-76, 2005.
Laurence, P., and Wang, T.-H., “What’s a basket worth?”, Structured product: Groundbreaking technical papers introduced and explained by Dilip Madan (Chapter 16), ed. by D. Madan, Risk Books, 2009.
C. Preprints and Working Papers:
Akahori, J., Song, X., and Wang, T.-H., “Probability density of lognormal fractional SABR model”, Preprint, available on ArXiv, 2017.
Alos, E., Chatterjee, R., Tudor, S., and Wang, T.-H., “Target volatility option pricing in lognormal fractional SABR model”, Preprint, available on ArXiv, 2018.
Hata, H., Kohatsu-Higa, A, Sheu, S.-J., and Wang, T.-H., “An equilibrium model for insider trading in asymmetric information under adverse selection and inventory cost”, Working Paper, 2018.
Akahori, J., Yuki, G., and Wang, T.-H., “Approximate maximum likelihood estimator for fractional Brownian motion with drift”, Working Paper, 2018.
Costanzino, N. and Wang, T.-H., “Pricing and Hedging Derivatives on Dividend”, Working Paper, 2018. Cheng, X., Di Giacinto, M., and Wang, T.-H., “Optimal execution by dynamical risk measure characterized by g-expectation”, Working Paper, 2018.
PRESENTED PAPERS, LECTURES, AND EXHIBITIONS:
Probability Density and Derivative Pricing in Fractional SABR Model: China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, April 11, 2018.
Derivative Pricing in Fractional SABR Model: Department of Financial Engineering, University of International Business and Economics, Beijing, March 20, 2018.
Target Volatility Option Pricing in Lognormal Fractional SABR Model: Workshop on Mathematical Finance and Related Issues, Osaka University, Osaka, Japan, March 15, 2018.
Work in Progress Related to Quantitative Finance: Probability Seminar, Ritsumeikan University, Shiga, Japan, December 22, 2017.
Implied Volatility and Its Related Financial Instruments: Modeling and Pricing: Dipartimento di Discipline Matematiche, Finanza Matematica ed Econometria, Universita Cattolica del Sacro Cuore, Milan, Italy, October 19, 2017.
Implied Volatility and Its Related Financial Instruments: Modeling and Pricing: Dipartimento di Scienze per l'Economia e l'Impresa Universita degli Studi di Firenze, Florence, Italy, October 17, 2017.
Derivative Pricing in Fractional SABR Model: Conference in honor of Jim Gatheral’s 60th Birthday, Courant Institute of Mathematical Sciences, New York University, New York, October 13, 2017.
Bridge Representation and Small Time Approximation of Transition Density: Mathematics Colloquium, Ritsumeikan University, Shiga, Japan, September 28, 2017.
Bridge Representation and Small Time Approximation of Transition Density: Probability Seminar, Institute of Mathematics, Academia Sinica, September 11, 2017.
Bridge Representation and Small Time Approximation of Transition Density: Department of Mathematics, National Cheng Kung University, Tainan, September 8, 2017.
Topics in Market Microstructure Models: Summer Minicourse, National School of Development, Peking University, Beijing, China, July, 2017.
Probability Density of Lognormal Fractional SABR Model: Probability Seminar, Institute of Mathematics, Academia Sinica, Taipei, June 29, 2017.
Probability Density of Lognormal Fractional SABR Model: Stevens Financial Engineering Seminar Series, Stevens Institute of Technology, Hoboken, April 13, 2017.
Probability Density of Lognormal Fractional SABR Model: Tandon School of Engineering, New York University, Brooklyn, April 10, 2017.
Bridge Representation and Small Time Approximation of Transition Density: Seminar on Stochastic Processes, University of Virginia, Charlottesville, Virginia, March 9, 2017.
Probability Density of Lognormal Fractional SABR Model: Mathematics of Quantitative Finance Conference, Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach, Germany, February 28, 2017.
Probability Density of Lognormal Fractional SABR Model: IAQF/Thalesians Seminar Series, New York, January 24, 2017.
Bridge Representation and Small Time Approximation of Transition Density: Colloquia and Seminars, Academy of Math and Systems Science, Chinese Academy of Sciences, Beijing, China, November 2, 2016.
Topics in Market Microstructure Models: Summer Minicourse, National School of Development, Peking
University, Beijing, China, July, 2016.
Probability Density of Lognormal Fractional SABR Model: At the Frontiers of Quantitative Finance Conference, International Centre of Mathematical Science, Edinburgh, Scotland, June 27, 2016.
Bridge Representation and Small Time Approximation of Transition Density: Online PDE Seminar, Department of Applied Math, University of Washington, Seattle, May 19, 2016.
Most-likely-path in Asian Option Pricing under Local Volatility Models: International Conference on Computational Finance, University of Greenwich, London, UK, December 15, 2015.
Topics in Option Pricing: Guest lectures, Bocconi University, Milan, Italy, October 28, 2015.
Topics in Market Microstructure Models: Summer Minicourse, National School of Development, Peking University, Beijing, China, July, 2015.
Optimal execution with uncertain order fills: Fifth International IMS-FIPS Workshop, Rutgers University, New Brunswick, June 25, 2015.
Optimal execution with uncertain order fills: PDE and Applied Math Seminar, Drexel University, Philadelphia, April 9, 2015.
Optimal execution with uncertain order fills: Workshop on Mathematical Finance and Related Issues, Osaka University, Osaka, Japan, March 18, 2015.
Optimal execution with uncertain order fills: AMS Central Spring Regional Meeting, Michigan State University, East Lansing, March 14, 2015.
Optimal execution with uncertain order fills in Almgren-Chriss framework: Department of Mathematical Finance, Peking University, Beijing, China, November 3, 2014.
Implied volatility from local volatility: A path integral approach: Risk Quant Congress, New York, July 17, 2014.
Implied volatility from local volatility: A path integral approach: Osaka University, Osaka, Japan, January 17, 2014.
Implied volatility from local volatility: A path integral approach: Ritsumeikan University, Shiga, Japan, January 16, 2014.
Implied volatility from local volatility: A path integral approach: Technische Universität Berlin, Germany, July 5, 2013.
Implied volatility from local volatility: A path integral approach: Probability Seminar, Academia Sinica, Taipei, Taiwan, June 24, 2013.
Implied volatility from local volatility: A path integral approach: The 7th World Congress of Bachelier Finance Society, Sydney, Australia, June 21, 2012.
Implied volatility from local volatility: A path integral approach: Mathematical Finance, Probability, and PDE Seminar, Rutgers University, November 15, 2011.
Variational most-likely-path approximation in local volatility models: Risk Seminar, Columbia University and CUNY Graduate Center, New York, February 9, 2011.
Variational most-likely-path approximation in local volatility models: Department of Applied Mathematics, National Chiao Tung University, Hsinchu, Taiwan, December 30, 2010.
Small time asymptotics for implied volatilities: Department of Mathematics, National Central University, Taiwan, December 29, 2010.
Small time asymptotics for implied volatilities: Department of Mathematics, National Cheng Kung University, Tainan, Taiwan, December 22, 2010.
Most-likely-path approximation of option prices on the arithmetic average in local volatility models: SIAM Conference on Financial Mathematics and Engineering, San Francisco, California, November 19-20, 2010.
Asymptotics of implied volatility in local volatility models: The 6th World Congress of Bachelier Finance Society, Toronto, Canada, June 22-26, 2010.
Distribution-free arbitrage bounds for spread options and market-implied monotonicity gap: The 15th INFORMS Applied Probability Society Conference, Invited Speaker, Cornell University, Ithaca, New York, July 12-15, 2009.
Symmetry classifications of a family of mixed stochastic volatility models: Mathematical Finance Seminar, Courant Institute, New York University, September 28, 2006.
Symmetry classifications of SABR-like models: Seminar, Bloomberg LP, New York, Sept. 1, 2006.
Classification of a stochastic volatility model: The 5th Cross Strait Probability and Statistics Conference, Invited Speaker. National Health Research Institute, Miao-Li, July 29-30, 2006.
Symmetry classifications of SABR-like models: workshop on Probability with Applications, Invited Speaker. National Taiwan University, Taipei, June 5, 2006.
Lower and upper bounds of pricing basket option: speech. National Taichung Univ., May 24, 2006. Optimization approaches applied to mathematical finance: speech. Nan Hua Univ., May 3, 2006.
Closed form solutions for quadratic and inverse quadratic term structure models: speech. Tamkang University, April 11, 2006.
Moment problem approach to financial optimization: speech, Academia Sinica, April 6, 2006. Symmetries of stochastic processes: speech. University of Rome 1, February 8, 2006.
Using Lie’s symmetry method to generate solutions of parabolic PDEs. University of Rome 1, January 25, 2006.
Probability session: TMS-AMS joint conference, organizer. Tung Hai Univ., December 14, 2005.
Arbitrage pricing theory and its related topics: speech. Fu Jen Catholic Univ., November 23, 2005.
Symmetries of stochastic processes: seminar. Academia Sinica, Taipei, October 31, 2005.
Closed form solutions for option pricing and interest models on two assets: Probability and Statistics Conference, invited speaker. National Cheng Kung University, Tainan, June 26, 2005.
Optimal static-arbitrage bounds for the prices of basket options: speech, National Sun Yet Sen University, March 3, 2005.
Optimal bounds for the prices of basket options and their replicating strategies: speech, National Changhua University of Education, December 30, 2004.
Static-arbitrage optimal sub-replicating strategies for basket options: Quantitative Method in Finance Conference. Sydney, December 17, 2004.
Optimal bounds for the prices of basket options and their replicating strategies: Annual Mathematics Conference, invited speaker. National Taiwan University, December 5, 2004.
Using copula to bound prices of options on multi-asset: Annual Statistics Conference, invited speaker. National Chung Cheng University, November 13, 2004.
Static-arbitrage upper bounds for the prices of basket options: seminar. National Center of Theoretical Sciences, Taipei, July 19, 2004.
Static-arbitrage upper bounds for the prices of basket options: Southern Taiwan Statistics Conference, invited speaker. Agora Garden, Taipei, June 26, 2004.
Applications of symmetry analysis in finance: speech, National University of Kaohsiung, March 15, 2004.
Arbitrage free bounds and optimal hedge ratios for basket options: speech, National Chung Cheng University, March 3, 2004.
Arbitrage free bounds and optimal hedge ratios for basket options: Conference, invited speaker. Sun Moon Lake, February 13, 2004.
Sharp bounds and optimal hedge ratios for basket options: Probability seminar. Academia Sinica, Taipei, November 3, 2003.
Optimal investment and consumption with transaction cost: speech, Providence University, July 25, 2003.
Sharp upper and lower bounds for a basket option on two assets: Probability seminar. Academia Sinica, Taipei, March 3, 2003.
Duality method to bounds on basket option price: speech, National Chung Cheng University, December 4, 2002.
Mathematical problems in finance with transaction cost: Probability seminar, Academia Sinica, Taipei, 2002. Optimal portfolios in stochastic environments: speech, Soochow University, March 30, 2001.
Graphs with prescribed mean curvature in the sphere: seminar. National Center of Theoretical Sciences,
Hsinchu, December 21, 1999.
The harmonic map heat flow: seminar. National Center of Theoretical Sciences, Hsinchu, November 24, 1997.
