Dr. Tao Pang
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:
· 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.
(Published Version, valid until 01/22/2018)
· H. Peng and T. Pang (2018), Financing Strategies for a Capital-Constrained Supplier under Yield Uncertainty, to appear on Journal of Industrial and Management Optimization.
· H. Peng and T. Pang and J. Cong (2018), Coordination Contracts for A Supply Chain with Yield Uncertainty and Low-Carbon Preference, to appear on Journal of Cleaner Production.
· Z. Pan, T. Pang and Y. Zhao (2018), A Simple and Robust Approach for Expected Shortfall Estimation. Submitted.
· T. Pang and K. Varga (2018), Portfolio Optimization for Assets with Stochastic Dividends and Stochastic Volatility. Submitted.
· 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.
· H. Peng and T. Pang (2017), Supply Chain Coordination under Financial Constraints and Yield Uncertainty. Submitted.
· H. Peng and T. Pang (2017), A Mutual-Aid Mechanism of Capital Constrained Supply Chains, Submitted.
· 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.
· H. Peng, T. Pang, F. Cao and J. Zhao (2016), A Mutual Incentive Mechanism for a Supply Chain Channel of Seasonal Products under Double Price Regulation. Submitted.
· 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.
· 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 and K. Varga (2015), Optimal Investment and Consumption for Portfolios with Stochastic Dividends. Journal of Finance and Management Research, Vol. 1, No. 2, 1-22.
· T. Pang and S. Yang (2015), GARCH Models for Credit Risk and Market Risk of Relative Returns, Journal of Finance and Management Research, Vol. 1, No. 1, 19-38.
· 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.
· T. Pang (2014), A Stochastic Investment Model on Finite Time Horizon, Research on Finance and Management, Vol. 2, No. 1, 1-26.
· 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 (208b), 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.