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Sheng (Victor) Wang

Sheng Wang

Status
Postgraduate Student
Contact form
+44 1865 273539
Research groups
  • Data Science
  • Mathematical and Computational Finance

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

 

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