Haoran Wang


Contact
The University of Texas at Austin                  
Mathematics Dept. RLM 8.100                   
2515 Speedway Stop C1200                       
Austin, Texas 78712-1202.
Email: hwang@math.utexas.edu


About me

I am a fifth year Ph.D. student in the math department at the University of Texas at Austin. My advisor is Prof. Zariphopoulou.

My research is focused on forward performance criteria with applications to optimal execution/high frequency trading, asset allocation, real option indifference valuation, and reinforcement learning.

Here is my CV.

Research interests

Mathematical Finance, Stochastic Optimization, Reinforcement Learning.

Research projects in preparation

  1. Reinforcement learning for mean-variance investment in binomial model.
  1. Forward optimal liquidation with market parameter shift: the quadratic case. (with S. Nadtochiy and T. Zariphopoulou)
  1. Forward optimal liquidation with market parameter shift: the general case. (with S. Nadtochiy and T. Zariphopoulou)
  1. Real-time model adaptation and investment behaviors. (with T. Zariphopoulou)
  1. Forward relative indifference valuation of dynamically incoming real options. (with T. Zariphopoulou)

Research presentations