Zhe Wang

CNRS@CREATE

Zhe Wang received the B.Eng degree in electrical engineering from Wuhan University, Wuhan, China, in 2013, the M.Sc. degree in power engineering, and the Ph.D. degree in mathematical physics from Nanyang Technological University, Singapore, in 2014 and 2019, respectively. His research interests include AI-enhanced modeling and solving for differential equations, fluid dynamics, and dynamical systems.

Articles by Zhe Wang

Original research

Deep self-consistent learning of local volatility

This paper offers an algorithm for calibrating local volatility from market option prices using deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks.

16 Oct 2025