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Tai-Ho Wang
Associate Professor
Phone: 646.312.3997

Email:  tai-ho.wang@baruch.cuny.edu

Mailing address:
Department of Mathematics, Box B6-230
Baruch College, The City University of New York
One Bernard Baruch Way
New York, NY 10010
USA


Current Research Interests:

Volatility Modeling, Arbitrage Bounds on Options, and Symmetry Analysis

Education:

B.Sc. (1992): National Chiao Tung University, Applied Mathematics.
MSc. (1994): National Chiao Tung University, Applied Mathematics.
Ph.D. (2000): Department of Applied Mathematics, National Chiao Tung Univeristy, Advisor: Professor Yi-Jung Hsu


Academic Experience:

2008/08 ~ present: Associate Professor, Department of Mathematics, Baruch College, CUNY.
2006/08 ~ 2007/02: Visiting Scholar, Courant Institute of Mathematical Sciences, New York University.
2006/08 ~ 2008/07: Associate Professor, Department of Mathematics, National Chung Cheng Univeristy.
2002/08 ~ 2006/07: Assistant Professor, Department of Mathematics, National Chung Cheng Univeristy.
2001/08 ~ 2002/07: Visiting Member, Courant Institute of Mathematical Sciences, New York University.
2000/08 ~ 2002/07: Postdoc, Institute of Mathematics, Academia Sinica, Taiwan.


Articles:

  1. (with Jim Gatheral) The Heat-Kernel Most-Likely-Path Approximation.
      Preprint (2010)

  2. (with Peter Carr and Roger Lee) Properties of Implied Volatility by Delta.
      Preprint (2009)

  3. (with Jim Gatheral, Elton Hsu, Peter Laurence, and Cheng Ouyang) Asymptotics of Implied Volatility in Local Volatility Models.
       To appear in Mathematical Finance.

  4. (with Yufen Huang and Ching-Ren Cheng) Sensitivity analysis of non-gaussianity by projection pursuit.
       To appear in Statistica Sinica.

  5. (with Peter Laurence and Sheng-Li Wang) Generalized Uncorrelated SABR Models with a High Degree of Symmetry.
       Quantitative Finance, 10(6), 663-679 (2010).

  6. (with Peter Laurence) Sharp Distribution Free Lower Bounds for Spread Options and the Corresponding Optimal Subreplicating Portfolios.
       Insurance: Mathematics and Economics, 34(1), 35-47 (2009).

  7. (with Peter Laurence) Distribution Free Upper Bounds for Spread Options and Market Implied Comonotonicity Gap.
       The European Journal of Finance, 11(8), 717-734 (2008).

  8. (with Yufen Huang and Ching-Ren Cheng) Pair-Perturbation Influence Functions of Non-gaussianity by Projection Pursuit.
       Computational Statistics and Data Analysis, 52(8), 3971-3987 (2008).

  9. (with Yufen Huang and Ching-Ren Cheng) Influence Analysis of Nongaussianity by Applying Projection Pursuit.
       Statistics and Probability Letters, 77(14), 1515-1521 (2007).

  10. (with Yufen Huang and Mei-Ling Kuo) Pair-Perturbation Influence Functions and Local Influence in PCA.
       Computational Statistics and Data Analysis, 51(12), 5886-5899 (2007).

  11. (with Yufen Huang and Tzu-Ling Kao) Influence Functions and Local Influence in Linear Discriminant Analysis.
       Computational Statistics and Data Analysis, 51(8), 3844-3861 (2007).

  12. (with Peter Carr and Peter Laurence) Generating Integrable One Dimensional Driftless Diffusions.
       Comptes Rendus Mathematique. Academie des Sciences, Paris., 343(6), 393-398 (2006).

  13. (with Peter Laurence) Close Form Solutions for Quadratic and Inverse Quadratic Term Structure Models.
       International Journal of Theoretical and Applied Finance, 8(8), 1059-1083 (2005).

  14. (with David Hobson and Peter Laurence) Static-arbitrage Optimal Sub-replicating Strategies for Basket Options.
       Insurance: Mathematics and Economics, 37, 553-572 (2005).

  15. (with David Hobson and Peter Laurence) Static-arbitrage Upper Bounds for the Prices of Basket Options.
       Quantitative Finance, 5(4), 329-342 (2005).

  16. (with Peter Laurence) Sharp Upper and Lower Bounds for Basket Options.
       Applied Mathematical Finance, 12(3), 253-282 (2005).

  17. (with Peter Laurence) What's a basket worth?.
       Risk Magazine, February, 73-74 (2004).

  18. (with Yi-Jung Hsu) Global Pinching Theorem for Surfaces of Constant Mean Curvature on Sł.
       Proceedings of the American Mathematical Society, 130(1), 157-161 (2002).

  19. (with Yi-Jung Hsu) Inequalities between Dirichlet and Neumann Eigenvalues for Domains on Spheres.
       Taiwanese Journal of Mathematics, 5(4), 755-766 (2001).

  20. (with Yi-Jung Hsu and Sheng-Jong Shiau) Graphs with Prescribed Mean Curvature in the Sphere.
       Bulletin of the Institute of Mathematics, Academia Sinica, 28(4), 215-223 (2000).


Book contributions:

• (with Peter Laurence) What's a basket worth?
   Structured product: Groundbreaking technical papers introduced and explained by Dilip Madan , D. Madan (Ed.), Risk Books (2009).

• (with Peter Laurence) What's a basket worth?
   Derivatives Trading and Option Pricing, N. Dunbar (Ed.), Risk Books (2005).


Some local financial mathematics seminars:

The New York Quantitative Finance Seminar, Blackrock offices, 52nd Street.

Courant Institute Mathematical Finance Seminar, Warren Weaver Hall, Room 102.

Cornell Financial Engineering Seminar, 55 Broad Street.


Last updated: 09/2010