Department of Finance, Associate Professor
电子邮箱：guanying.wang@tju.edu.cn
研究方向：asset pricing
Wang Guanying is faculty in the Department of Finance at Tianjin University. He obtained a PhD degree in Finance from Nankai University in 2014. His research area includes financial engineering and asset pricing. His research has been published in European Journal of Finance, Journal of Futures Markets, Transportation Research Part B: Methodological, European Journal of Operational Research and Economic Modelling.
Prof. Wang has involvement in many project such as the key and regular project of Natural Science Foundation of China (NSFC) and Ministry of Education, Humanities and Social Sciences project. Prof. Wang is a visiting scholar in HKUST. He is the peer reviewer of many journals such as European Journal of Finance, Economic Modelling and so on. He is the member of INFORMS.
[1] Wang, G., Wang, X.*, Shao, X. (2020). The valuation of vulnerable European options with risky collateral, European Journal of Finance, 26, 1315-1331. (ABS3)
[2] Song, S., Wang, G.*, Wang Y. (2020). Pricing European options under a diffusion model with psychological barriers and leverage effect, European Journal of Finance, 26, 1184-1206. (ABS3)
[3] Tian, J., Zhu, C., Chen, D., Jiang, R.*, Wang, G.*, Gao, Z. (2021). Car following behavioral stochasticity analysis and modeling: Perspective from wave travel time, Transportation Research Part B: Methodological, 143, 160-176. (ABS4)
[4] Wang, G., Wang, X.* (2021). Valuing vulnerable options with bond collateral, Applied Economics Letters, 28, 115-118.
[5] Wang, Y., Wang, G.* (2021). IPO underpricing and long-term performance in China: the perspective of price limit policy, Managerial Finance, DOI:10.1108/MF-08-2020-0428.
[6] Liu, Z., Hua, S.*, Wang, G. (2021). Coordinating vulnerable supply chain with option contract, Asia-Pacific Journal of Operational Research, https://doi.org/10.1142/S0217595920500530.
[7] Zhang, Y., Wang, G.* (2020). Compensation for illiquidity in China: Evidence from an alternative measure, North American Journal of Economics and Finance, 53, 101187.
[8] Zhang, H., Wang, G.* (2020). Chinese IPO returns: effects of ten-minute call auction, Asia-pacific Journal of Accounting and Economics, 27, 352-363.
[9] Wang, G., Wang, X.* (2019). Catastrophe option pricing with auto-correlated and catastrophe dependent intensity. Physica A: Statistical Mechanics and its Applications, 526, 120809.
[10] Liu, Z., Liu, J., Zhai, X., Wang, G. (2019). Police staffing and workload assignment in law enforcement using multi-server queueing models. European Journal of Operational Research, 276, 614-625. (ABS4)
[11] Bi, H., Wang, G., Wang, X.* (2019). Valuation of catastrophe equity put options with correlated default risk and jump risk, Finance Research Letters, 29, 323-329.
[12] Wang, G., Wang, X.*, Zhou, K. (2018). Long time behavior for stochastic Burgers equations with jump noises. Statistics & Probability Letters, 141, 41-49.
[13] Zhang, W., Wang, G.*, Wang, X., Xiong, X., Lei, X. (2018). Profitability of reversal strategies: A modified version of Carhart model in China. Economic Modelling, 69, 26-37.
[14] Wang, G., Wang, X.*, Zhou, K. (2017). Pricing vulnerable options with stochastic volatility. Physica A: Statistical Mechanics and its Applications, 485, 91-103.
[15] Wang, G., Wang, X.*, Xu, G. (2017). Long time stability of nonlocal stochastic Kuramoto–Sivashinsky equations with jump noises. Statistics & Probability Letters, 127, 23-32.
[16] Wang, G., Wang, X., Liu, Z. (2017). Pricing vulnerable American put options under jump-diffusion processes. Probability in the Engineering and Informational Sciences, 31, 121-138.
[17] Wang, X., Fu, J., Wang, G.*, Wang, Y. (2015). Quadratic hedging strategies for volatility swaps. Finance Research Letters, 15, 125-132.
[18] Tian, L., Wang, G., Wang, X.*, Wang, Y. (2014). Pricing vulnerable options with correlated credit risk under jump‐diffusion processes. Journal of Futures Markets, 34, 957-979. (ABS3)
[19] Wang, G., Wang, X.*, Wang, Y. (2014). Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations. Statistics & Probability Letters, 87, 54-60.
[20] Wang, G., Wang, X.*, Wang, Y. (2014). Rare shock, two-factor stochastic volatility and currency option pricing. Applied Mathematical Finance, 21, 32-50.
[1] National Natural Science Foundation of China：Stock pricing under the interaction of funding liquidity and stock liquidity (71701145), 2018.1-2020.12.
[2] Ministry of Education, Humanities and Social Sciences project：The forecasting of liquidity crisis in Chinese stock market under the perspective of liquidity spirals (17YJC790146), 2017.7-2020.6.
