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Department of Mathematics

 

 

 

  Tao Pang, PhD, CFA, FRM
   Professor and Director  

   Financial Mathematics Program

   Department of Mathematics

   North Carolina State University  


  

   

 

 

Phone:   (919) 513-2110   

Fax:       (919) 513-7336  

Email:    tpang at ncsu dot edu

Selected Publications and Preprints:

§  2021

·      Z. Pan, T. Pang and Y. Zhao (2021), A Simple and Robust Approach for Expected Shortfall Estimation, Journal of Computational Finance, Vol. 25, No. 1. DOI: 10.21314/JCF.2021.003

·      D. Luo, T. Pang and J. Xu (2021), Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters, Economic Modeling, Vol. 94, 340-350.

·      L. Shi, T. Pang and H. Peng (2021), Optimal Strategies of Contract Farming Supply Chain under the Cooperative of Bank Insurance: Loan Guarantee Insurance vs. Yield Insurance, International Transactions in Operational Research. DOI: 10.1111/itor.13051

§  2020

·      J. Cong, T. Pang and H. Peng (2020), Optimal strategies for capital constrained low-carbon supply chains under yield uncertainty, Journal of Cleaner Production, Vol. 256, 120339

·      H. Peng and T. Pang (2020), Financing Strategies for a Capital-Constrained Supplier under Yield Uncertainty, Journal of Industrial and Management Optimization, Vol. 16, No. 2, 887-909.

·      Y. Fu, S. Cao and T. Pang (2020), A Sustainable Quantitative Stock Selection Strategy Based on Dynamic Factor Adjustment, Sustainability,  Vol. 12,  No. 10, 3978.

·      H. Peng and T. Pang (2020), Supply Chain Coordination under Financial Constraints and Yield Uncertainty, European Journal of Industrial Engineering, Vol. 14, No. 6, 782-812.

·      Z. Wang, Q. Zhao, M. Zhu and T. Pang, Jump Aggregation, Volatility Prediction and Nonlinear Estimation of Banks’ Sustainability Risk, Sustainability,  Vol. 12,  No. 21, 8849.

§  2019

·      T. Pang and K. Varga (2019), Portfolio Optimization for Assets with Stochastic Dividends and Stochastic Volatility, Journal of Optimization Theory and Application, Vol. 182, No. 2, 691-729.

·      T. Pang and Y. Yong (2019), A New Stochastic Model for Stock Price with Delay Effects, 2019 Proceedings of the Conference on Control and its Applications, 110-117.

·      H. Peng and T. Pang (2019), Optimal Strategies for A Three-level Contract-Farming Supply Chain with Subsidy, International Journal of Production Economics,  Vol. 216, 274-286.

·      H. Peng and T. Pang (2019), A Mutual-Aid Mechanism of Capital Constrained Supply Chains, International Journal of Management Science and Engineering Management, Vol. 14, No. 4, 304-312.

§  2018

·      T. Pang and C. Karan (2018), A Closed-Form Solution of the Black-Litterman Model with Conditional Value at Risk. Operations Research Letters, Vol. 46, No. 1, 103-108.

·      H. Peng and T. Pang and J. Cong (2018), Coordination Contracts for A Supply Chain with Yield Uncertainty and Low-Carbon Preference, Journal of Cleaner Production, Vol. 205, 291-302.

·      H. Peng, T. Pang, F. Cao and J. Zhao (2018),  A Mutual Subsidy Mechanism for a Seasonal Supply Chain Channel under Double Price Regulation, Asia-Pacific Journal of Operational Research, Vol. 35, No. 06, 1850047.

§  2017

·      T. Pang and A.  Hussain (2017), A Stochastic Portfolio Optimization Model with Complete Memory. Stochastic Analysis and Applications, Vol. 35, No. 4, 742-766.

·      T. Pang, W. Chen and L. Li (2017), On the Correlation Approach and Parametric Approach for CVA Calculation. Journal of Risk Model Validation, Vol. 11, No. 3, 49-67.

§  2016

·      T. Pang and A.  Hussain (2016), An Infinite Time Horizon Portfolio Optimization Model with Delays. Mathematical Control and Related Fields, Vol. 6, No. 4, 629-651.

·      Z. Liu and T. Pang (2016), An Efficient Grid Lattice Algorithm for Pricing American-style Options, International Journal of Financial Markets and Derivatives, Vol. 5, No. 1, 36-55.

·      P. Wu, Y. Yao and T. Pang (2016), An Empirical Analysis of the Impact of the Internet Finance on Money Market, Contemporary Economic Management, Vol. 38, No. 7, 84-93.

§  2015 and before

·      T. Pang, W. Chen and L. Li (2015), CVA Wrong Way Risk Multiplier Decomposition and Efficient CVA Curve, Journal of Risk Management in Financial Institutions, Vol. 8, No. 4, 390-404.

·      T. Pang and A.  Hussain (2015), An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory, Proceedings of SIAM Conference on Control and Its Applications, Paris, France, July 8-10, 2015, page 159-166.

·      T. Pang, Y. Yang and D. Zhao (2015), Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities, International Journal of Financial Studies, Vol. 3, No. 2. 136-150.

·      M.-H. Chang, T. Pang and Moustapha Pemy (2012), Viscosity Solutions of Optimal Stopping Problem for Stochastic Systems with Delays, Stochastic Analysis and Applications, Vol. 30 (6), 1102-1305.

·      M.-H. Chang, T. Pang and Y. Yang (2011), A stochastic portfolio optimization model with bounded memory, Mathematics of Operations Research, Vol. 36 (4), 604-619.

·      M.-H. Chang, T. Pang and Moustapha Pemy (2010), An Approximation Scheme for Black-Scholes Equations with DelaysJournal of Systems Science and Complexity , Vol. 23, No. 3, 438-455.

·      M.-H. Chang, T. Pang and J. Yong (2009), Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients, SIAM Journal on Control and Optimization Vol. 48, No. 2, 941-971.

·      M.-H. Chang, T. Pang and Moustapha Pemy (2008a), Optimal control of stochastic functional differential equations with a bounded memory, Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 80, No. 1, 69-96.

·      M.-H. Chang, T. Pang and Moustapha Pemy (2008b), Finite difference approximations for stochastic control  systems with delayStochastic Analysis and Applications Vol. 26, No. 3, 451-470.

·      M.-H. Chang, T. Pang and Moustapha Pemy (2008c), Finite difference approximation for stochastic optimal stopping problems with delays, Journal of Industrial and Management Optimization, Vol. 4, No. 2, 227-246.

·      T. Pang (2006), Stochastic portfolio optimization with log utilityInternational Journal of Theoretical and Applied Finance, Vol. 9, No. 6, 869-887.

·      M.-H. Chang, T. Pang and Moustapha Pemy (2006), Stochastic optimal control problems with a bounded memory, Operations Research and Its Applications, Lecture Notes in Operations Research 6, 82-94.

·      W. Fleming and T. Pang (2005), A stochastic control model of investment, production and consumption, Quarterly of Applied Mathematics, Vol. 63, 71-87.

·      W. Fleming and T. Pang (2004), An application of stochastic control theory to financial economics, SIAM Journal on Control and Optimization, Vol. 43, No.2, 502-531.

·      T. Pang (2004), Portfolio optimization models on infinite time horizonJournal of Optimization Theory and ApplicationsVol. 122, No 3, 573-597.

·      T. Pang (1999), Global smooth solutions and large time behavior of the one-dimensional Navier-Stokes equations, Journal of Mathematical Analysis and Applications 235, 395-417.

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