PUBLICATIONS

Published and forthcoming papers in peer-reviewed journals

  1. A note on spurious model selection (with Johannes Ruf). [code]. Forthcoming in the Quantitative Finance. A full version of this paper is available under the title, Information leakage in backtesting, available at SSRN 3836631

    Presented by Weiguan at: 7th International Young Finance Scholars’ Conference

  2. Hedging with linear regressions and neural networks, available at SSRN 3580132. (with Johannes Ruf). [code]. Journal of Business & Economic Statistics, 2022.

    Presented by Johannes Ruf at: Thalesian Seminar, London, Dec. 2020; Mathematical Finance Seminar, Ritsumeikan University, Nov. 2020; DIIIO Seminar, Chile, Nov. 2020; LSE Combinatorics, Games and Optimisation, London, Nov. 2020; Frontiers in Quantitative Finance, Oxford/London, Apr. 2020; ETH Seminar, Mar. 2020; Probability/Math Finance Seminar, CMU, Feb. 2020; XXI Workshop in Quantitative Finance, Naples, Jan. 2020; QMF, Sydney, Dec. 2019; Financial Risk Hub, London, Oct. 2019; ICIAM, Spain, Jul. 2019;

    Presented by Weiguan Wang at: LSE Financial Mathematics Reading Group, London, Apr. 2019. A layman introduction of this paper can be found in Maths at LSE Blog.

  3. Neural networks for option pricing and hedging: A literature review, Journal of Computational Finance, 2020, volume 24, number 1, pages 1–45. (with Johannes Ruf)

Papers submitted to peer-reviewed journals

  1. Risk premium principal components for the Chines stock market
  2. 基于线性回归和神经网络的期权对冲方法：以上证50ETF期权为例

Working papers

  1. Statistical hedging in multi-period with neural networks.
  2. Benchmarking deep hedging.
  3. Deep hedging with signature for non-Markovian setting.

Theses

  1. Statistical Hedging with Neural Networks. Thesis for the Ph.D. in Mathematics, LSE, 2021.
  2. Optimal Execution Under Nonlinear Transient Market Impact Model. Thesis for the MSc. in Financial Mathematics, UCL, 2015.