Tai-Ho Wang

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Person:817289

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zbMath Open wang.tai-hoMaRDI QIDQ817289

List of research outcomes

PublicationDate of PublicationType
Volatility and volatility-linked derivatives: estimation, modeling, and pricing2020-01-31Paper
Target volatility option pricing in the lognormal fractional SABR model2019-09-26Paper
Bridge representation and modal-path approximation2018-12-28Paper
Implied Volatility from Local Volatility: A Path Integral Approach2018-12-11Paper
Optimal execution with uncertain order fills in Almgren–Chriss framework2018-11-19Paper
MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS2018-09-04Paper
Bessel bridge representation for the heat kernel in hyperbolic space2018-01-30Paper
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS2013-05-14Paper
THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION2012-04-24Paper
Sensitivity analysis of nongaussianity by projection pursuit2011-11-10Paper
Generalized uncorrelated SABR models with a high degree of symmetry2010-08-05Paper
https://portal.mardi4nfdi.de/entity/Q53256482009-07-23Paper
Pair-perturbation influence functions of nongaussianity by projection pursuit2009-06-16Paper
Pair-perturbation influence functions and local influence in PCA2009-06-02Paper
Influence functions and local influence in linear discriminant analysis2009-05-29Paper
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios2009-03-04Paper
Influence analysis of non-Gaussianity by applying projection pursuit2008-01-21Paper
Generating integrable one dimensional driftless diffusions2006-12-14Paper
CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS2006-10-16Paper
Static-arbitrage optimal subreplicating strategies for basket options2006-03-08Paper
Static-arbitrage upper bounds for the prices of basket options2006-03-08Paper
Sharp Upper and Lower Bounds for Basket Options2005-10-27Paper
Inequalities between Dirichlet and Neumann eigenvalues for domains in spheres.2002-05-22Paper
https://portal.mardi4nfdi.de/entity/Q27168012002-05-13Paper
A global pinching theorem for surfaces with constant mean curvature in $S^3$2001-10-21Paper

Research outcomes over time


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