Weiguan Wang

Shanghai University

Shanghai

China

  • Shanghai University

SCHOLARLY PAPERS

3

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51

CROSSREF CITATIONS

7

Scholarly Papers (3)

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1.

Neural Networks for Option Pricing and Hedging: A Literature Review

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Citation 19

Neural Networks for Option Pricing and Hedging: A Literature Review

Journal of Computational Finance
Number of pages: 32 Posted: 25 Nov 2019 Last Revised: 11 May 2020
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
Downloads 1,327 (23,126)
Citation 13

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Neural network, Option pricing, Option hedging, Survey

Neural Networks for Option Pricing and Hedging: A Literature Review

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 46 Posted: 19 Jan 2021
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
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benchmarking, calibration, data leakage, partial differential equations (PDEs), regularization, survey

Neural Networks for Option Pricing and Hedging: A Literature Review

Journal of Computational Finance, Forthcoming
Number of pages: 46 Posted: 14 Aug 2020
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
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Citation 8
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benchmarking, calibration, data leakage, partial differential equations (PDEs), regularization, survey

2.

Hedging with Linear Regressions and Neural Networks

Forthcoming in Journal of Business and Economic Statistics
Number of pages: 29 Posted: 14 May 2020 Last Revised: 18 Nov 2021
Johannes Ruf and Weiguan Wang
London School of Economics & Political Science (LSE) - London School of Economics and Shanghai University
Downloads 949 (38,183)
Citation 6

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Benchmarking; Black-Scholes; Information Leakage; Hedging error; Leverage effect; Statistical hedging

3.

Information Leakage in Backtesting

Number of pages: 12 Posted: 04 May 2021 Last Revised: 24 Jun 2022
Weiguan Wang and Johannes Ruf
Shanghai University and London School of Economics & Political Science (LSE) - London School of Economics
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Citation 1

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Data snooping; Hedging; Information leakage; Overfitting; Pseudo real-time; Time series