Sheng Wang
Status
Postgraduate Student
Research groups
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Prizes, awards, and scholarships
- Oxford-Radcliffe Scholarship (2017-2021)
- EPSRC InFoMM CDT Scholarship (2017-2021)
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
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
Major / recent publications
Detecting and repairing arbitrage in traded option prices, Applied Mathematical Finance, 2021, 27(5):345-373 (Github code)
Arbitrage-free neural-SDE market models, preprint, 2021 (Github code)
Estimating risks of option books using neural-SDE market models, preprint, 2022 (Github code)
Hedging option books using neural-SDE market models, preprint, 2022