Tan Wang

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

SCHOLARLY PAPERS

4

DOWNLOADS

804

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?

Number of pages: 28 Posted: 08 Nov 2019
Samuel Drapeau, Tan Wang and Tao Wang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 354 (161,719)
Citation 2

Abstract:

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Fixed Exchange Rate, Hong Kong Dollar

2.

Volatility Ambiguity, Portfolio Decisions, and Equilibrium Asset Pricing

Number of pages: 45 Posted: 08 Feb 2020 Last Revised: 25 Aug 2022
Yu Liu, Hao Wang, Tan Wang and Lihong Zhang
Tsinghua University, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Tsinghua University - School of Economics & Management
Downloads 179 (316,620)

Abstract:

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Maxmin expected utility, variance-covariance ambiguity, prior equivalence, ambiguous stochastic process, Lucas model.

3.

Financial Network and Systemic Risk -- A Dynamic Model

Production and Operations Management, Forthcoming
Number of pages: 40 Posted: 18 Feb 2021
Hong Chen, Tan Wang and David Yao
Shanghai Advanced Institute in Finance, Shanghai Jiao Tong University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Columbia University
Downloads 145 (378,585)

Abstract:

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systemic risk, network, dynamic model

4.

Option Pricing with Economic Regime Shifts

Number of pages: 38 Posted: 03 Apr 2020
Tan Wang and Yonggan Zhao
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Dalhousie University - Rowe School of Business
Downloads 126 (422,240)

Abstract:

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Option Pricing; Economic Indicators; Bayesian Information Criterion; Hidden Markov Model; Equivalent Martingale Measure; Risk Neutral Valuation; Implied Volatility