Geng Deng

Wells Fargo

Vice President

1753 Pinnacle Dr

7th Floor

Mc Lean, VA Virginia 22102

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 20,699

SSRN RANKINGS

Top 20,699

in Total Papers Downloads

2,234

CITATIONS
Rank 39,996

SSRN RANKINGS

Top 39,996

in Total Papers Citations

4

Scholarly Papers (20)

1.

Modeling Autocallable Structured Products

Journal of Derivatives & Hedge Funds, Vol. 17, pp. 326-340, 2011
Number of pages: 20 Posted: 08 Jan 2012 Last Revised: 01 Aug 2013
Wells Fargo, Securities Litigation and Consulting Group and Securities and Exchange Commission (SEC)
Downloads 458 (60,289)
Citation 2

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Structured products, autocallable

2.

Robust Portfolio Optimization with Value-At-Risk Adjusted Sharpe Ratio

Journal of Asset Management, 14(5):293-305, 2013
Number of pages: 22 Posted: 13 Sep 2012 Last Revised: 18 Jan 2014
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation & Consulting Group
Downloads 335 (87,191)

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Sharpe Ratio, Robust Portfolio Optimization, Value-at-Risk

3.

Structured Certificates of Deposit: Introduction and Valuation

Financial Services Review, Vol. 23, No. 3, 219-237, 2014
Number of pages: 22 Posted: 01 Aug 2013 Last Revised: 06 Nov 2016
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 182 (161,715)

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Market-linked CDs, Certificate of Deposit, Equity-linked CDs, Derivatives, Structured Products, Valuation, Contingent Interest CDs, FDIC Insurance, Securities

4.

Structured Product Based Variable Annuities

The Journal of Retirement (Winter 2014) Vol. 1, No. 3, pp. 97-111 DOI: 10.3905/jor.2014.1.3.097
Number of pages: 21 Posted: 01 May 2012 Last Revised: 01 Feb 2014
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 179 (164,133)

Abstract:

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annuity, variable annuity, structured product, hybrid annuity, retirement,

5.

Crooked Volatility Smiles: Evidence from Leveraged and Inverse ETF Options

Journal of Derivatives and Hedge Funds, 19, 278-294, 2014
Number of pages: 23 Posted: 18 Dec 2012 Last Revised: 29 Apr 2017
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 167 (174,559)

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Volatility Smile, Volatility Skew, Leveraged ETF, Inverse ETF, Options

6.

Optimizing Portfolio Liquidation Under Risk-Based Margin Requirements

Journal of Finance and Investment Analysis, 2013, Vol 2, No 1, 121-153
Number of pages: 27 Posted: 07 Apr 2012 Last Revised: 01 Aug 2013
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 137 (205,616)

Abstract:

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Portfolio Margin, Liquidation

7.

The Anatomy of Principal Protected Absolute Return Notes

Journal of Derivatives, Vol. 19, No. 2, pp. 61-70, 2011
Number of pages: 16 Posted: 08 Jan 2012 Last Revised: 26 Dec 2012
Wells Fargo, Bates White, LLC, Securities Litigation and Consulting Group and Securities and Exchange Commission (SEC)
Downloads 131 (213,158)

Abstract:

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Structured Products, Barrier Option, Absolute Return Barrier Notes, Principal Protected

8.

Isolating the Effect of Day-Count Conventions on the Market Value of Interest Rate Swaps

Number of pages: 12 Posted: 01 May 2012 Last Revised: 26 Dec 2012
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 127 (218,318)

Abstract:

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Day-Count Convention, Interest Rate Swaps

9.

Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series

Journal of Computational Finance, 21(2), 1-27, September 2017
Number of pages: 24 Posted: 16 Feb 2014 Last Revised: 25 Mar 2019
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 110 (242,686)

Abstract:

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EIA, Lévy process, Fourier Method

10.

Using EMMA to Access Municipal Bond Markups

PIABA Bar Journal, Vol. 20, No. 1, 99-122, 2013
Number of pages: 19 Posted: 08 Jun 2013 Last Revised: 06 Nov 2016
Geng Deng and Craig J. McCann
Wells Fargo and Securities Litigation and Consulting Group
Downloads 98 (262,780)

Abstract:

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Municipal Bond, MSRB, Trading, Markups

11.

Valuation of Reverse Convertibles in the Variance Gamma Economy

Journal of Derivatives and Hedge Funds, 19, 244-258, 2014
Number of pages: 20 Posted: 01 Mar 2012 Last Revised: 22 Feb 2014
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 92 (273,693)
Citation 1

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Stochastic Volatility, Reverse Convertibles, Structured Products, Variance Gamma Model

Modeling a Risk-Based Criterion for a Portfolio with Options

Journal of Risk, 16(6), 77-100, 2014
Number of pages: 23 Posted: 17 Dec 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 79 (303,402)

Abstract:

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Portfolio Margin, Optioned Portfolio, Portfolio Selection

Modeling a Risk-Based Criterion for a Portfolio with Options

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 24 Posted: 09 Jun 2016
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
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risk-based criterion, options, expected loss

13.

Dual Directional Structured Products

Journal of Derivatives & Hedge Funds, Vol. 20, 99-112, 2014
Number of pages: 17 Posted: 11 May 2012 Last Revised: 06 Nov 2016
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 75 (309,755)

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Structured Products, Straddle, Dual Directional, Valuation

14.

Valuing Partial Interests in Trusts and Assessing the Prudent Investor Standard

Number of pages: 21 Posted: 01 May 2012
Geng Deng, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 64 (337,622)

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trust, partial interest, Monte Carlo simulation, prudent investor

15.

Leveraged Municipal Bond Arbitrage: What Went Wrong?

Journal of Alternative Investments, Vol. 14, No. 4, 2012, https://doi.org/10.3905/jai.2012.14.4.069
Posted: 22 May 2019
Geng Deng and Craig J. McCann
Wells Fargo and Securities Litigation and Consulting Group

Abstract:

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Leveraged municipal, Hedge fund

16.

Valuation of Structured Products

Journal of Alternative Investments, Vol. 16, No. 4, 2014, https://doi.org/10.3905/jai.2014.16.4.071
Posted: 21 May 2019
Geng Deng, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group

Abstract:

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structured products, valuation, structured notes, simulation, credit risk

17.

What Does a Mutual Fund’s Average Credit Quality Tell Investors?

Journal of Investing, Vol. 19, No. 4, pp. 58-65, 2010, https://doi.org/10.3905/joi.2010.19.4.058
Posted: 21 May 2019
Geng Deng, Craig J. McCann and Eddie O'Neal
Wells Fargo, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group

Abstract:

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mutual funds, credit risk, average credit quality, credit ratings

18.

What Does a Mutual Fund’s Term Tell Investors?

Journal of Investing, Vol. 20, No. 2, pp. 50-57, 2011, https://doi.org/10.3905/joi.2011.20.2.050
Posted: 21 May 2019
Geng Deng, Craig J. McCann and Eddie O'Neal
Wells Fargo, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 0 (650,420)

Abstract:

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mutual funds, credit risk

19.

Are VIX Futures ETPs Effective Hedges?

The Journal of Index Investing, Winter 2012, Vol. 3, No. 3, pp. 35-48, https://doi.org/10.3905/jii.2012.3.3.035
Posted: 21 May 2019
Geng Deng, Craig J. McCann and Olivia Wang
Wells Fargo, Securities Litigation and Consulting Group and Securities Litigation & Consulting Group

Abstract:

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VIX, ETFs, VIX Futures ETPs, Hedge

20.

Ex-Post Structured Product Returns: Index Methodology and Analysis

Journal of Investing, Vol. 24, No. 2, 2015, https://doi.org/10.3905/joi.2015.24.2.045
Posted: 21 May 2019
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 0 (650,420)

Abstract:

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structured products, index, valuation, finance, mispricing