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Tao
Pang, PhD, CFA, FRM Financial Mathematics Graduate
Program Department of
Mathematics North
Carolina State University
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Phone: (919) 513-2110 Fax: (919) 513-7336 Email: tpang at ncsu dot edu |
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Selected Publications and Preprints: §
2024 · T. Pang, D. Tian and W. Tian (2024),
Optimal Portfolio Choice with Comfortable Consumption. Submitted. Available
at SSRN: https://ssrn.com/abstract=4965211 · W. Hu and T. Pang
(2024), Risk Management of Guaranteed Minimum Benefits under Regime-Switching
Jump-Diffusion Model. To appear on Numerical Algebra, Control and
Optimization. DOI: 10.3934/naco.2024032 · L. Shi, T. Pang,
H. Peng and X. Feng (2024), Green Technology
Outsourcing for Agricultural Supply Chains with government subsidies, Journal of
Cleaner Production, Vol. 436, Article 140674 (10 pages). DOI:10.1016/j.jclepro.2024.140674 · J. Cong, T. Pang
and H. Peng (2024), Optimal Strategies for Green Supply Chains with
Competition between Green and Traditional Suppliers. RAIRO-Operations Research, Vol. 58, No. 1,
511-534. DOI: 10.1051/ro/2023141 · W. Sun, T. Pang,
H. Peng, and X. Feng (2024), Impacts of e-commerce platform and consumers'
supporting preferences for poor areas in a supply chain. To appear on RAIRO-Operations Research, · Y. Ma, T. Pang,
H. Peng, X. Feng and G. Yang (2024), Live Streaming Strategy and Mode
Selection for Agricultural Product Supply Chains. Submitted. · W. Sun, T. Pang,
H. Peng, X. Feng and
G. Yang (2024), A Supply Chain of Poverty Alleviation Agricultural Products
with Blockchain Adoption. Submitted. · X. Xu, T. Pang,
H. Peng and W. Sun (2024), Can Forestry Carbon Sinks Pledge Financing Improve
the Quality of Forest Management? Submitted. §
2023 · W. Lv, T. Pang, X. Xia and J. Yan (2023). Dynamic
portfolio choice with uncertain rare-events risk in stock and cryptocurrency
markets. Financial
Innovation, Vol. 9, Article No. 73 (28 pages). DOI: 10.1186/s40854-023-00472-8 · J. Cong, T. Pang
and H. Peng (2023), Optimal Strategies for Green Supply Chain Considering
Social Responsibility and Environmental Responsibility. Journal
of Industrial and Management Optimization,Vol. 19, No. 12, 8483-8504. DOI:10.3934/jimo.2023048 · L. Shi, T. Pang
and H. Peng (2023), Production and green technology investment strategy for contract-farming
supply chain under yield insurance, Journal of the Operational
Research Society, Viol. 74, No. 1, 225-238. DOI: 10.1080/01605682.2022.2033141 · H. Peng, W. Sun and T. Pang (2023),
Optimal Strategies for A Dual-Channel Farming Supply Chain with Horizontal
Competition and Cooperation, Asia Pacific Journal
of Operational Research, Vol. 40, No. 02, 2250015. DOI: 10.1142/S0217595922500154
· L. Shi, T. Pang
and H. Peng (2023), Optimal Strategies of Contract Farming Supply Chain under
the Cooperative of Bank Insurance: Loan Guarantee Insurance vs. Yield
Insurance. International Transactions in Operational Research. Vol. 30, Issue 5,
2335-2358. DOI: 10.1111/itor.13051 §
2022 · L. Shi, T. Pang
and H. Peng (2022), Green Production Strategy of Contract-Farming Supply
Chain: Agricultural Insurance Subsidy vs. Green Investment Subsidy.
Submitted. §
2021 · Z. Pan, T. Pang and Y. Zhao (2021), A Simple and Robust Approach for Expected Shortfall
Estimation, Journal of Computational Finance. Vol. 25 (1), 77-107. 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 for a Capital Constrained Contract
Farming Supply Chain with Yield Insurance, RAIRO-Operations Research, Vol. 55,
No. 2, 521-544. DOI: 10.1051/ro/2021006 §
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 (2020), 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
Delays, Journal 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 delay, Stochastic 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 utility, International 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 horizon, Journal
of Optimization Theory and Applications, Vol. 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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