Tai-Ho Wang

Baruch College, CUNY

Professor

1 Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 13,317

SSRN RANKINGS

Top 13,317

in Total Papers Downloads

3,512

CITATIONS
Rank 22,846

SSRN RANKINGS

Top 22,846

in Total Papers Citations

12

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 1,521 (10,891)
Citation 25

Abstract:

Loading...

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 1,053 (19,607)
Citation 5

Abstract:

Loading...

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 783 (30,099)
Citation 3

Abstract:

Loading...

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 - Faculty of Economics and Baruch College, CUNY
Downloads 155 (187,044)
Citation 5

Abstract:

Loading...

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