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Department of Mathematics

 College of Physical and Mathematical Sciences

 

 

 

   Dr. Tao Pang
   Associate Professor  

   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:

  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.

      T. Pang and C. Karan (2017), A Closed-Form Solution of the Black-Litterman Model with Conditional Value at Risk. To appear on Operations Research Letters.

      H. Peng and T. Pang (2017), Supply Chain Coordination under Financial Constraints and Yield Uncertainty. Submitted.

      T. Pang and K. Varga (2017), Portfolio Optimization for Assets with Stochastic Dividends and Stochastic Volatility. Submitted.

  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.

      H. Peng, T. Pang, and F. Cao (2016), Financing Strategies for a Capital-Constrained Supplier under Yield Uncertainty, Submitted.

      H. Peng, T. Pang, and F. Cao (2016), Mutual-Aid Mechanism of Capital Constrained Supply Chains, Submitted.

      H. Peng, T. Pang, F. Cao and J. Zhao (2016), Mutual Incentive Mechanism for a Supply Chain Channel of Seasonal Products under Double Price Regulation. Submitted.

  2015

      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.

  2014

      T. Pang (2014), A Stochastic Investment Model on Finite Time Horizon, Research on Finance and Management, Vol. 2, No. 1, 1-26.

  2012

      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.

  2011

      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.

  2010

      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.

  2009

      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.

  2008

      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 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.

  2006

      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.

  2005

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

  2004

      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.

  1999

      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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