6 citations · 10 across the 6 of their papers we have counts for
7 papers
Optimal order execution under price impact: A hybrid model
Marina Di Giacinto, Claudio Tebaldi, Tai-Ho Wang
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We der…
Optimal execution with dynamic risk adjustment
Xue Cheng, Marina Di Giacinto, Tai-Ho Wang
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price…
Target volatility option pricing in lognormal fractional SABR model
Elisa Alos, Rupak Chatterjee, Sebastian Tudor +1
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicati…
Most-likely-path in Asian option pricing under local volatility models
Louis-Pierre Arguin, Nien-Lin Liu, Tai-Ho Wang
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored…
Probability density of lognormal fractional SABR model
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed n…
Bessel bridge representation for heat kernel in hyperbolic space
Xue Cheng, Tai-Ho Wang
This article shows a Bessel bridge representation for the transition density of Brownian motion on the Poincare space. This transition density is also referred to as the heat kerne…
Bridge representation and modal-path approximation
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional…