Tai-Ho Wang

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Optimal order execution under price impact: a hybrid model	2024-06-04	Paper
Volatility and volatility-linked derivatives: estimation, modeling, and pricing	2020-01-31	Paper
Target volatility option pricing in the lognormal fractional SABR model	2019-09-26	Paper
Bridge representation and modal-path approximation	2018-12-28	Paper
Implied Volatility from Local Volatility: A Path Integral Approach	2018-12-11	Paper
Optimal execution with uncertain order fills in Almgren–Chriss framework	2018-11-19	Paper
MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS	2018-09-04	Paper
Bessel bridge representation for the heat kernel in hyperbolic space	2018-01-30	Paper
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS	2013-05-14	Paper
THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION	2012-04-24	Paper
Sensitivity analysis of nongaussianity by projection pursuit	2011-11-10	Paper
Generalized uncorrelated SABR models with a high degree of symmetry	2010-08-05	Paper
https://portal.mardi4nfdi.de/entity/Q5325648	2009-07-23	Paper
Pair-perturbation influence functions of nongaussianity by projection pursuit	2009-06-16	Paper
Pair-perturbation influence functions and local influence in PCA	2009-06-02	Paper
Influence functions and local influence in linear discriminant analysis	2009-05-29	Paper
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios	2009-03-04	Paper
Influence analysis of non-Gaussianity by applying projection pursuit	2008-01-21	Paper
Generating integrable one dimensional driftless diffusions	2006-12-14	Paper
CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS	2006-10-16	Paper
Static-arbitrage upper bounds for the prices of basket options	2006-03-08	Paper
Static-arbitrage optimal subreplicating strategies for basket options	2006-03-08	Paper
Sharp Upper and Lower Bounds for Basket Options	2005-10-27	Paper
Inequalities between Dirichlet and Neumann eigenvalues for domains in spheres.	2002-05-22	Paper
Graphs with prescribed mean curvature in the sphere	2002-05-13	Paper
A global pinching theorem for surfaces with constant mean curvature in \(S^3\)	2001-10-21	Paper

Research outcomes over time

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