wangs2

Sheng Wang

Status:

Postgraduate Student

Contact form

+44 1865 273539

Research groups:

Address

Mathematical Institute
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, 2021, 27(5):345-373

Cohen, S; Reisinger, C; Wang, S

Arbitrage-free neural-SDE market models, preprint

Cohen, S; Reisinger, C; Wang, S