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

5

DOWNLOADS

431

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

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
China Academy of Financial Research (SAIF) and School of Mathematical Sciences, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 202 (204,474)
Citation 2

Abstract:

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Fixed Exchange Rate, Hong Kong Dollar

2.

Volatility Ambiguity, Consumption and Asset Prices

Number of pages: 48 Posted: 08 Feb 2020
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 91 (375,830)

Abstract:

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Volatility ambiguity, ambiguity aversion, ambiguity index, ambiguity measure, ambiguity penalty

3.

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 65 (454,042)

Abstract:

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

4.

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 55 (491,729)

Abstract:

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systemic risk, network, dynamic model

5.

Mind the Violation of Covered Interest Rate Parity, an Emerging Market Perspective

Number of pages: 34 Posted: 06 Apr 2022 Last Revised: 09 Apr 2022
Nan He and Tan Wang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 18 (706,806)

Abstract:

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Covered interest rate parity; Emerging market currecnies; Safe asset demand