Tai-Ho Wang

Baruch College, CUNY

Professor

1 Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

4

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3,894

SSRN CITATIONS
Rank 27,840

SSRN RANKINGS

Top 27,840

in Total Papers Citations

4

CROSSREF CITATIONS

28

Scholarly Papers (4)

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Forthcoming
Number of pages: 39 Posted: 27 Jan 2010 Last Revised: 30 Jul 2010
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and Baruch College, CUNY
Downloads 1,589 (15,754)
Citation 1

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Implied volatility, local volatility, asymptotic expansion, heat kernels

2.

The Heat-Kernel Most-Likely-Path Approximation

International Journal of Theoretical and Applied Finance, Vol. 15, No. 1, 1250001, 2012
Number of pages: 19 Posted: 23 Aug 2010 Last Revised: 22 Jun 2014
Jim Gatheral and Tai-Ho Wang
CUNY Baruch College and Baruch College, CUNY
Downloads 1,154 (25,839)
Citation 2

Abstract:

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implied volatility, local volatility, approximation, heat-kernel expansion

3.

Implied Volatility from Local Volatility: A Path Integral Approach

Large Deviations and Asymptotic Methods in Finance, Peter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann eds., pp. 247-271, Springer, 2015
Number of pages: 25 Posted: 23 Jun 2014 Last Revised: 10 Jul 2015
Tai-Ho Wang and Jim Gatheral
Baruch College, CUNY and CUNY Baruch College
Downloads 934 (35,067)
Citation 2

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Small time asymptotic expansion, heat kernels expansion, implied volatility, local volatility model, most likely path, path integral

4.

Optimal Execution with Uncertain Order Fills in Almgren-Chriss Framework

Number of pages: 33 Posted: 18 Jul 2015 Last Revised: 17 Dec 2015
Xue Cheng, Marina Di Giacinto and Tai-Ho Wang
Peking University - School of Mathematical Sciences, University of Cassino and Baruch College, CUNY
Downloads 217 (193,947)
Citation 1

Abstract:

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Hamilton-Jacobi-Bellman equation, optimal execution, order fill uncertainty, price impact, stochastic control, utility maximization