Sheng Wang
Status:
Postgraduate Student
+44 1865 273539
Research groups:
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
- Statistical inference of multivariate diffusion process
- Market models, calibration and simulation
- Financial derivatives data cleansing and parametrisation
- Central clearing and quantitative risk management
- Macroeconomics and econometrics
Teaching:
- HT 2020: Tutor for B8.3 Mathematical Models of Financial Derivatives
- HT 2019: TA for MScMCF Asset Pricing and Inefficient Market
- HT 2019: TA for MScMCF Machine Learning
- MT 2018: Tutor for MScMCF Statistics and Financial Data Analysis
- MT 2018: TA for B8.1 Probability, Measure and Martingale
Prizes, awards, and scholarships:
- Oxford-Radcliffe Scholarship (2017-2021)
- EPSRC InFoMM CDT Scholarship (2017-2021)
Major / recent publications:
Detecting and repairing arbitrage in traded option prices, Applied Mathematical Finance (accepted in October, 2020)
Cohen, S; Reisinger, C; Wang, S
https://github.com/vicaws/arbitragerepair