Faculty
WONG, Hoi Ying
Name WONG, Hoi Ying王海嬰
Title Director, MSc Risk Management Science Program
Position Professor
Email hywong [at] cuhk.edu.hk
Phone Number 3943 8520
Fax Number 2603 5188
Address LSB G20
Detail Image
Academic Background
PhD, MPhil (HKUST)
BSc (HKBU)
Research Interest
Derivatives Pricing
Interest Rate Modeling
Financial Risk Analysis
Selected Publications

Book / Book Chapter:

Simulation Techniques in Financial Risk Management  Handbook of Financial Risk Management: Simulations and Case Studies 

 

[1] N.H. Chan and H.Y. Wong (2013). Handbook of Financial Risk Management: Simulations and Case Studies, Wiley, New York. Online materials.

[2] N.H. Chan and H.Y. Wong (2006). Simulation Techniques in Financial Risk Management, Wiley, New York. Book Review of JASA (2007) pp758-759.

[3] H.Y. Wong (2008). "Structural Models of Corporate Credit Risk", Encyclopedia of Quantitative Risk Assessment and Analysis, Melnick, E. and Everitt, B. (eds). John Wiley & Sons Ltd, Chichester, UK, 1707-1711.

[4] Y.K. Kwok, K.S. Leung and H.Y. Wong  (2012). "Efficient Options Pricing Using the Fast Fourier Transform", Handbook of Computational Finance, J.C. Duan et al. (eds). Springer Handbooks of Computational Statistics (DOI 10.1007/978-3-642-17254-0_21), 579-604.

Journal Articles (partial):

  • S.F. Chung and H.Y. Wong. Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps. Journal of Banking and Finance 44, 130-140, 2014.
  • M.C.Chiu and H.Y. Wong. Optimal investment for insurers with the extended CIR interest rate model. Abstract and Applied Analysis (2014) Article ID 129474, 12 pages, http://dx.doi.org/10.1155/2014/129474, 2014.
  • T.W. Wong, M.C. Chiu and H.Y. Wong. Time-consistent mean-variance hedging of longevity risk: Effect of cointegration. Insurance: Mathematics and Economics 56, 56-67, 2014.
  • M.C. Chiu and H.Y. Wong. Mean-variance portfolio selection with correlation risk. Journal of Computational and Applied Mathematics 263, 432-444, 2014.
  • K.S. Leung, H.Y. Ng and H.Y. Wong. (2013). Stochastic skew in the interest rate cap market. Accepted by Journal of Futures Markets.
  • T.W. Wong and H.Y. Wong. Valuation of stock loans using exponential phase-type Levy models. Applied Mathematics and Computation 222(1), 275-289, 2013. (Detailed proofs are contained in the first draft, including the solution of hyperexponential jump-diffusion model.)
  • C.S. Pun and H.Y. Wong. CEV asymptotics of American options. Journal of Mathematical Analysis and Applications 403(2), 451-463, 2013.
  • H.Y. Wong and M.C. Chiu. Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility. Abstract and Applied Analysis (2013), Article ID 682524, 5 pages, http://dx.doi.org/10.1155/2013/682524, 2013.
  • M.C. Chiu and H.Y. Wong. Optimal investment for an insurer with cointegrated assets: CRRA utility. Insurance: Mathematics and Economics 52(1), 52-64, 2013.
  • M.C. Chiu and H.Y. Wong. Mean-variance principle of managing cointegrated risky assets and random liabilities. Operations Research Letters 41(1), 98-106, 2013.
  • K.S. Leung, H.Y. Wong and H.Y. Ng. Currency option pricing with Wishart process. Journal of Computational and Applied Mathematics 238, 156-170, 2013.
  • M.C. Chiu, H.Y. Wong and D. Li. Roy's safety-first portfolio principle in financial risk management of disastrous events. Risk Analysis 32(11), 1856-1872, 2012.
  • M.C. Chiu and H.Y. Wong. Mean-variance asset-liability management: Cointegrated assets and insurance liabilities. European Journal of Operational Research 223(3), 785-793, 2012.
  • T.W. Wong and H.Y. Wong. Stochastic volatility asymtotics of stock loan: Valuation and optimal stopping. Journal of Mathematical Analysis and Applications 394(1), 337-346, 2012.
  • J. Zhao and H.Y. Wong. A closed-form solution to American options under general diffusions. Quantitative Finance 12(5), 725-737, 2012.
  • N.H. Chan, H.Y. Wong and J. Zhao. Structural model of credit migration. Computational Statistics and Data Analysis, 56(11), 3477-3491, 2012.
  • H.Y. Wong, E.K.H. Cheung, and S.F. Wong. Levy betas: Static hedging with index futures. Journal of Futures Markets, 32(11), 1034-1059, 2012.
  • H.Y. Wong and J. Zhao. Optimal dividends and bankruptcy procedures: Analysis of Ornstein-Uhlenbeck processes. Journal of Computational and Applied Mathematics 236(2), 150-166, 2011.
  • M.C. Chiu, Y.W. Lo and H.Y. Wong. Asymptotic expansion for pricing options on mean-reverting assets with multiscale stochastic volatility. Operations Research Letters 39(4), 289-295, 2011.
  • M.C. Chiu and H.Y. Wong. Mean-variance portfolio selection of cointegrated assets. Journal of Economic Dynamics and Control 35(8), 1369-1385, 2011.
  • H.Y. Wong and J. Zhao. An artificial boundary method for the Hull-White model of American interest rate derivatives. Applied Mathematics and Computation 217(9), 4627-4643, 2011.
  • H.Y. Wong and P. Guan. An FFT network for Levy option pricing. Journal of Banking and Finance 35(4), 988-999, 2011.
  • H.Y. Wong and J. Zhao. Valuing American options under the CEV model by Laplace-Carson transforms. Operations Research Letters 38(5), 474-481, 2010.
  • H.Y. Wong and J. Zhao. Currency option pricing: Mean reversion and multi-scale stochastic volatility.  Journal of Futures Markets 30(10), 938-956, 2010.
  • H.Y. Wong and K.W. Lam. Valuation of discrete dynamic fund protection under Levy processes. North American Actuarial Journal 13(2), 202-216, 2009.
  • H.Y. Wong and Y.W. Lo. Option pricing with mean reversion and stochastic volatility. European Journal of Operational Research 197, 179-187, 2009.
  • H.Y. Wong and T.W. Choi. Estimating default barriers from market information. Quantitative Finance 9(2), 187-196, 2009.
  • H.Y. Wong and C.M. Chan. Turbo warrants under stochastic volatility. Quantitative Finance 8(7), 739-751, 2008.
  • H.Y. Wong and J. Zhao. An artificial boundary method for American option pricing under the CEV model. SIAM Journal on Numerical Analysis 46(4), 2183-2209, 2008.
  • K.L. Li and H.Y. Wong. Structural models of corporate bond pricing with maximum likelihood estimation. Journal of Empirical Finance 15(4), 751-777, 2008. (The first draft)
  • H.Y. Wong and K.Y. Lau. Analytical valuation of turbo warrants under double exponential jump diffusion. Journal of Derivatives, Summer, 61-73,  2008.
  • H.Y. Wong and K.Y. Lau. Path-dependent currency options with mean reversion, The Journal of Futures Markets 28(3), 275-293, 2008.
  • H.Y. Wong and T.L. Wong. Reduced-form models with regime switching: An empirical analysis for corporate bonds, Asia-Pacific Financial Markets 14(3), 229-253, 2007.
  • H.Y. Wong and C.M. Chan. Lookback options and dynamic fund protection under multiscale stochastic volatility, Insurance: Mathematics and Economics 40(3), 357-385, 2007.
  • N.H. Chan and H.Y. Wong. Data mining of resilience indicators, IIE Transactions 39(6), 617-627, 2007.
  • H.Y. Wong and Y.L. Cheung, Geometric Asian options: Valuation and calibration with stochastic volatility, Quantitative Finance 4(3), 301-314, 2004.
  • M. Dai, H.Y Wong and Y.K. Kwok, Quanto lookback options, Mathematical Finance 14(3), 445-467, 2004.
  • H.Y. Wong and Y.K. Kwok, Multi-asset Barrier Options and Occupation Time Derivatives, Applied Mathematical Finance 10 (3), 245-266, 2003.

Refereed Proceeding Articles (partial): 

  • H.Y. Wong and K.Y. Lau. "Quanto Pre-washing for Jump Diffusion Models", Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering, edited by M. Kijima, K. Tanaka, Y. Muromachi & M. Egami., 2009.
  • J. Zhao and H.Y. Wong. A Numerical Method for American Option Pricing under CEV. Proceeding of IASTED conference on Financial Engineering and Applications, MIT, USA: ACTA Press, 2006.
  • H.Y. Wong and K. L. Li. On Bias of Testing Merton's Model, Proceeding of IASTED conference on Financial Engineering and Applications 9 pgs.  Alberta, Canada: ACTA Press, 2004.


Professional Services
  • Associate Editor, International Journal of Theoretical and Applied Finance
  • International Program Committee, IASTED International Conference on Financial Engineering and Applications, 2003, 2004, 2006 and 2007
  • Reviewer for Mathematical Reviews of the American Mathematical Society
  • Steering Committee, Hong Kong Consortium of Quantitative Finance

Teaching

(Fall 2013)

  • RMSC4007: Risk Management with Derivatives Concepts
  • GECC4130: Senior Seminar

(Spring 2014)

  • RMSC4001: Simulation Techniques to Risk Management and Finance
  • RMSC4101: Special Topics in Risk Management III
  • RMSC5003: Risk Measures (MSc course)

My Graduate Students

PhD Student in Statistics

  • Miss. Dong, Fangyuan (in progress)
  • Mr. Pun, Chi Seng (in progress)
  • Miss. Wang, Ying (in progress)
  • Dr. Wong, Tat Wing (2014)
    • Thesis: Longevity Risk Management with Continuous-Time Cointegration Models. Preliminary results were presented in the 17th Congress on Insurance Mathematics and Economic, Copenhagen, Denmark, 2013; the 16th Congress on Insurance Mathematics and Economic, Hong Kong, 2012; the 7th World Congress of Bachelier Finance Society, Sydney, Australia, 2012; Quantitative Finance Day, Hong Kong Consortium of Quantitative Finance,  (Invited talk), Hong Kong, 2012.
    • Professional qualifications upon graduation: FRM; Associate of the Society of Actuaries.
    • Publication upon graduation:
      •  T.W. Wong, M.C. Chiu and H.Y. Wong, Managing mortality risk with longevity bonds when mortality rates are cointegrated. (2013). Submitted and under the second round revision.
      • T.W. Wong, M.C. Chiu and H.Y. Wong, A time-consistent hedging strategy of insurance mortality risk under mortality cointegration. Insurance: Mathematics and Economics 56, 56-67, 2014.
      • T.W. Wong and H.Y. Wong. Valuation of stock loans using exponential phase-type Levy models. Applied Mathematics and Computation 222, 275-289, 2013.
      • T.W. Wong and H.Y. Wong. Stochastic volatility asymptotics of stock loan: Valuation and optimal stopping. Journal of Mathematical Analysis and Applications 394(1), 337-346, 2012.
  • First job after graduation: Lecturer of Finance (will promote to Assistant Professor after the first year service), Division of Business and Management, BNU-HKBU United International College, Zuhai, China
  • Dr. Zhao, Jing (2010)
    Thesis: General Diffusions: Financial Applications, Analysis and Extension. Preliminary results were presented in Quantitative Methods in Finance Conference 2007, Sydney, Australia, and Second Annual Risk Management Conference, Risk Management Institute, National University of Singapore, 30th June 2008 - 2nd July 2008, Singapore.
    • Publication upon graduation:
        H.Y. Wong and J. Zhao. Valuing American Options under the CEV model by Laplace-Carson Transforms. Operations Research Letters. 38(5), 474-481, 2010.
        J. Zhao and H.Y. Wong. A Closed-Form Solution to American Options under General Diffusions. Quantitative Finance 12(5), 725-737, 2012.
        H.Y. Wong and J. Zhao. Currency Option Pricing: Mean Reversion and Multi-Scale Stochastic Volatility. Journal of Futures Markets 30(10), 938-956, 2010.
        H.Y. Wong and J. Zhao. An Artificial Boundary Method for American Option Pricing under the CEV model. SIAM Journal on Numerical Analysis 46(4), 2183-2209, 2008.
        J. Zhao and H.Y. Wong. A Numerical Method for American Option Pricing under CEV. Proceeding of IASTED conference on Financial Engineering and Applications, ACTA Press, 2006.
    • First job after graduation: Lecturer (equivalent to Assistant Professor in US), Department of Finance, La Trobe Business School, La Trobe University, Australia.

M. Phil Student

  • Miss. Liang, Wanyang (Risk Management, in progress)
  • Miss. Liang, Wanyang (Risk Management, in progress)
  • Miss. Chi, Zeyu (Risk Management, 2014)       
    • Thesis: Derivatives Pricing with Threshold Mean-Reverting Process. Preliminary result was presented in Quantitative Methods in Finance Conference 2013 at Sydney, Australia.
    Department of Risk Management, DBS Hong Kong
  • Mr. Leung, Man Hau (Risk Management, 2014)
    • Thesis: Option Pricing on Multiple Assets with Uncertain Correlation. Preliminary result was presented in Quantitative Methods in Finance Conference 2013 at Sydney, Australia.
    Quant, Numeric
  • Mr. Chan, Sau Lung (Risk Management, 2013)
    • Thesis: Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises and Jump Diffusion. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
         OTC market clearing, Hong Kong Exchanges and Clearing Limited (HKEx)
  • Mr. Chung, Shing Fung (Risk Management, 2013)
    • Thesis: An Analytical Solution for Arithmetic Asian Options under a Mean Reverting Jump Diffusion Model.  Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
    • Publication:
    S.F. Chung and H.Y. Wong. Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps. Accepted by Journal of Banking and Finance. 44, 130-140, 2014.
    Research Manager of Census and Statistics Department, HKSAR
  • Mr. Pun, Chi Seng (Risk Management, 2013)
    • Thesis: CEV Astmptotics of American Options. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
    • Publication:
        C.S. Pun and H.Y. Wong. CEV Astmptotics of American Options. Journal of Mathematical Analysis and Applications 403(2), 451-463, 2013.
        PhD student under my supervision.
  •  Miss. Wang, Weiyin (Risk Management, 2013)
    • Thesis: FFT-network for Bivariate Levy Option Pricing. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
         Department of Risk Management, DBS Hong Kong
  • Mr. Chi, Chengzhan (Risk Management, 2013)
    • Thesis: Barrier Option Pricing with Nonparametric ACE Methods. Preliminary result was presented in Quantitative Methods in Finance Conference 2011 at Sydney, Australia.
        Ernst &  Young
  • Miss. Xu, Zhuolu (Risk Management, 2012)
    • Thesis: FFT Network for An Interest Rate Model under Levy Processes. Preliminary result was presented in Quantitative Methods in Finance Conference 2011 at Sydney, Australia.
        Quant, Numerix
  • Miss. Gao, Fei (Risk Management, 2011)
    • Thesis: Esscher Transformation of Option Pricing on a Mean-reverting Asset with GARCH. Preliminary result was presented in Quantitative Methods in Finance Conference 2010 at Sydney, Australia.
        PhD student in Finance @ SMU, Singapore after working in Aon
  • Mr. Wong, Tat Wing (Risk Management, 2011)
    • Thesis: Valuation of Stock Loans under Exponential Phase-type Levy Models. Preliminary result was presented in Quantitative Methods in Finance Conference 2010 at Sydney, Australia.
    • Publication:
         T.W. Wong and H.Y. Wong. Stochastic Volatility Asymptotics of Stock Loan: Valuation and Optimal Stopping. Journal of Mathematical Analysis and Applications 394(1), 337-346, 2012.
         T.W. Wong and H.Y. Wong. Valuation of Stock Loans Using Exponential Phase-type Levy Models. Applied Mathematics and Computation 222(1), 275-289, 2013.
         Completed his PhD under my supervision.
  • Miss. Zheng, Fangbing (Risk Management, 2010)
    • Thesis: Option Pricing on Cointegrated Assets with Stochastic Volatilities
         Analyst, Risk Management Department at New China Insurance Co. Beijing.
  • Mr. Cheung, Kwan Hung, Edwin (Risk Management 2010)
    • Thesis: The Levy Beta: Static Hedging with Index Futures. Preliminary result was presented in Quantitative Methods in Finance Conference 2009 at Sydney, Australia.
    • Publication:
         H.Y. Wong, E.K.H. Cheung and S.F. Wong. Levy Betas: Static Hedging with Index Futures. Journal of Futures Markets, 32(11), 1034-1059, 2012 Senior Officer, Market Risk, Citic Bank International.
  • Mr. Lam, Ho Man (Risk Management 2010)
    •  Thesis: Martingale Estimation of Levy Processes and Its Extension to Structural Credit Risk Models. Preliminary result was presented in Quantitative Methods in Finance Conference 2009 at Sydney, Australia.
          Wing Lung Asset Management Limited
  •  Mr. Wong, Shiu Fung (Risk Management 2010)
    •  Thesis: An Efficient Valuation of Participating Life Insurance Contracts under Levy Process. Preliminary result was presented in Quantitative Methods in  Finance Conference 2009 at Sydney, Australia.
    • Publication:
         H.Y. Wong, E.K.H. Cheung and S.F. Wong. Levy Betas: Static Hedging with Index Futures. Journal of Futures Markets, 32(11), 1034-1059, 2012.
         Completed his PhD @ Faculty of Business and Economics, Macquarie University, Sydney, Australia.
  • Miss. Guan, Pei Qiu (Risk Management 2009)
    • Thesis: An FFT Network for Levy Option Pricing Models. Preliminary result was presented in Hawaii International Conference on Statistics, Mathematics and Related Fields 2009, Honolulu, Hawaii, USA.
    • Publication:
         H.Y. Wong and P. Guan. An FFT Network for Levy Option Pricing. Journal of Banking and Finance 35(4), 988-999, 2011.
         PhD student @ Department of Industrial and System Engineering, SUNY at Buffalo, USA, after working as Quantitative Analyst at New World Insurance for a year
  • Mr. Lam, Yu Fung (Risk Management 2009)
    • Thesis: Exchange Rate in A Target Zone: Estimation of Diffusion with Boundary Conditions.
         Assistant Vice President, Market Risk, Citic Bank International.
  • Miss. Chow, Chui Ngan (Risk Management 2008)
    • Thesis: Interest Rate Market Models and Their Uses in Insurance Products. Preliminary result was presented in IME Congress 2007, University of Piraeus, Athens, Greece.
    • Risk Management Manager, Department of Risk Management, Haitong International Securities Group Limite
    • Mr. Lam, Ka Wai (Risk Management 2008)
    •  Thesis: Valuation of Discrete Dynamic Fund Protection under Levy Processes. Preliminary result was presented in IME Congress 2007, University of Piraeus, Athens, Greece.
    •    Publication:
         H.Y. Wong and K.W. Lam. Valuation of Discrete Dynamic Fund Protection under Levy Processes. North American Actuarial Journal, 13(2), 202-216, 2009.
            Market Risk Manager, BEA.
    •     Mr. Lo, Yu Wai (Risk Management 2008)
            Thesis: Mean-reverting Assets with Mean-reverting Volatility. Preliminary result was presented in Hawaii International Conference on Statistics, Mathematics and Related Fields 2008, Honolulu, Hawaii, USA.
            Publication:
                H.Y. Wong and Y.W. Lo. Option Pricing with Mean Reversion and Stochastic Volatility. European Journal of Operational Research, 197, 179-187, 2009.
                M.C. Chiu, Y.W. Lo and H.Y. Wong. Asymptotic Expansion for Pricing Options on Mean-Reverting Assets with Multiscale Stochastic Volatility. Operations Research Letters 39(4), 289-295, 2011.
            Assistant Manager, Department of Risk Management and Compliance, Hong Kong Monetary Authority.
    • Mr. Lau, Ka Yung (Risk Management 2007)
            Thesis: Quanto Options under Double Exponential Jump Diffusion. Preliminary result was presented in Quantitative Methods in Finance Conference 2006 at Sydney, Australia.
            Publication:
                H.Y. Wong and K.Y. Lau. "Quanto Pre-washing for Jump Diffusion Models", Recent Advances in Financial Engineering: Proceedings of the 2008 Daiwa International Workshop on Financial Engineering, edited by M. Kijima, K. Tanaka, Y. Muromachi & M. Egami., 2009.
                H.Y. Wong and K.Y. Lau. Path-Dependent Currency Options with Mean Reversion. The Journal of Futures Markets, 28(3), 275-293, 2008.
                H.Y. Wong and K.Y. Lau. Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion. Journal of Derivatives. Summer 61-73, 2008.
            Manager, Department of Risk Management, BOCHK
    • Mr. Wong, Tsz Lim (Risk Management 2007)
            Thesis: Reduced-Form Models With Regime Switching: An Empirical Analysis for Corporate Bonds.
            Publication:
                H.Y. Wong and T.L. Wong. Reduced-Form Models with Regime Switching: An Empirical Analysis for Corporate Bonds,  Asia-Pacific Financial Markets, 14(3), 228-253, 2007.
            Statistician of Economic Statistics Division, Census and Statistics Department, HKSAR.
    • Miss. Zhao, Jing (Statistics 2007)
            Thesis: Numerical Methods for American Option Pricing under CEV.  Preliminary result was presented in IASTED conference in financial engineering and application at MIT, USA, 2006.
            Publication:
                J. Zhao and H.Y. Wong. A Numerical Method for American Option Pricing under CEV. Proceeding of IASTED conference on Financial Engineering and Applications, ACTA Press, 2006.
                H.Y. Wong and J. Zhao. An Artificial Boundary Method for American Option Pricing under the CEV model. SIAM Journal on Numerical Analysis (4), 2183-2209, 2008.
            Completed her PhD under my supervision.
    • Miss. Leong, U Man (Risk Management 2006)
            Thesis: Trading Noise in Equity Price and Corporate Bond Pricing Models. The paper was presented in IME Congress 2006 at Katholieke Universiteit Leuven, Leuven, Belgium.
            Senior Treasury Analyst, Hong Kong Jockey Club.
    • Mr. Li, Chin Pang (Risk Management 2006)
            Thesis: Estimating Jumps for Structural Models of Credit Risk. The paper was presented in Quantitative Methods in Finance Conference 2005 at Sydney, Australia.
            Senior Investment Advisor, Investment Products and Advisory Department, BEA.
    • Mr. Chan, Chun Man Joseph (Statistics 2005)
            Thesis: Pricing Lookback Options under Multi-scale Stochastic Volatility. This work was presented in IME Congress 2005 at University Laval, Quebec, Canada.
            Publication:
                H.Y. Wong and C.M. Chan. Lookback Options and Dynamic Fund Protection under Multiscale Stochastic Volatility, Insurance: Mathematics and Economics, 40(3), pp357-385, 2007.
                H.Y. Wong and C.M. Chan. Turbo Warrants under Stochastic Volatility.  Quantitative Finance 8(7), 739-751. 2008.
            Assistant Vice President, Market Risk, Citic Bank International.
    • Mr. Li, Ka Leung (Risk Management 2005)
            Thesis: On Testing Structural Models of Credit Risk. Preliminary result was presented in IASTED conference in financial engineering and application at MIT 2004.
            Publication:
                H.Y. Wong and K. L. Li . On Bias of Testing Merton's Model, Proceeding of IASTED conference on Financial Engineering and Applications 9 pgs.  Alberta, Canada: ACTA Press, 2004.
                K.L. Li and H.Y. Wong. Structural Models of Corporate Bond Pricing with Maximum Likelihood Estimation.  Journal of Empirical Finance, 15(4), 751-777, 2008. (The first draft)
            Managing Consultant, IBM China/Hong Kong Limited.
    •     Mr. Choi, Tsz Wang (Risk Management 2004)
            Thesis: The Impact of Default Barrier on Corporate Assets. This work was presented in Bernoulli Society EAPR Conference 2003, Hong Kong.
            Publication:
                H.Y. Wong and T.W. Choi. Estimating Default Barriers from Market Information. Quantitative Finance 9(2), 187-196, 2009.
            Vice President, Risk Management - Market & Liquidity Risk, DBS Hong Kong.
    •  Mr. Cheung, Ying Lok (Risk Management 2004)
            Thesis: Geometric Asian Option Under Stochastic Volatility. This work was presented in Bernoulli Society EAPR Conference 2003, Hong Kong.
            Publication:
                H.Y. Wong and Y.L. Cheung. Geometric Asian Options: Valuation and Calibration With Stochastic Volatility, Quantitative Finance 4(3), pp301-314, 2004.
            Proprietary Trading, Bank SinoPac

Research Grants
  • 2011-2014: Application and Theories of Cointegration Dynamics for Financial Mathematics. General Research Fund (GRF), Research Grant Council of Hong Kong. Amount: HK$893,228 + 20,000 (top-up from CUHK) (PI).
  • 2010-2012: FFT Network for Interest Rate Derivatives under Levy Processes, Direct Grant of Research of CUHK. Amount: HK$50,000 (PI).
  • 2009-2011: Optimal Target Return Funds Strategies, Direct Grant of Research of CUHK. Amount: HK$60,000 (PI).
  • 2008-2011: American Option Pricing under CEV, General Research Fund (formerly Competitive Earmarked Research Grant), Research Grant Council of Hong Kong. Amount: HK$293,700 + 20,000 (top-up from CUHK) (PI).
  • 2006-2009: Embedded Options in Insurance Contracts with Stochastic Interest Rate and Volatility, Competitive Earmarked Research Grant, Research Grant Council of Hong Kong. Amount: HK$250,000 (PI).
  • 2004-2005: Valuing General American Style Options with Sub-replication and Replenishing Premium Approach, Direct Grant of Research of CUHK. Amount: HK$100,000 (PI).
  • 2003-2006: A Structural Model of Credit Migrations, Competitive Earmarked Research Grant, Research Grant Council of Hong Kong. Amount: HK$300,000 (PI).
  • 2002-2003: Resilience Indicators -- Measures of an Economy's Ability to Withstand Financial Shocks, The Hong Kong Monetary Authority. Amount: HK$400,000. (CI). The PI is Prof. Chan, Ngai Hang.
  • 2002-2003:  A Model of Credit Migration, Direct Grant of Research of CUHK. Amount: HK$148, 000. (PI)

Invited Talks

Invited Conference Presentations:

  • International Symposium on Differential Equations and Stochastic Analysis in Mathematical Finance, Tsinghua Sanya International Mathematics Forum, Sanya, China, July 2014. (Invited speaker)
  • The Second Hong Kong -- Shanghai Workshop on Quantitative Finance and Risk Management, Hong Kong University of Science and Technology, Hong Kong, May, 2013. (Invited speaker)
  • The First Asian Quantitative Finance Conference, National University of Singapore, Singapore, Janunary 2013. (Invited Speaker)
  • The First Hong Kong -- Shanghai Workshop on Quantitative Finance and Risk Management, Shanghai Jiao Tong University and East China Normal University, Shanghai, China, September 2012. (Invited speaker)
  • International Conference on Quantitative Finance and Risk Management, Jilin University, Changchun, China, July 2012. (Organizing committee, session organizer and invited speaker)
  • Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section  of the IASC, Academia Sinica, Taipei, Taiwan, December 2011. (Invited Speaker of Bernoulli Society Invited Session on Mathematical Finance)
  • HKU-HKUST-Stanford Conference in Quantitative Finance, HKUST, Hong Kong, December 2011. (Invited Speaker)
  • 2011 International Conference on Applied Statistics, Tamkang University, Tamsui, Taiwan, March 2011. (Invited Speaker)
  • International Congress of Mathematicians 2010 Satellite Conference on Probability and Stochastic Processes , Indian Statistical Institute, Bangalore Centre, India, August 2010 (Invited Speaker of Mathematical Finance Session)
  • International Symposium on Financial Engineering and Risk Management 2010, National Taiwan University, Taipei, Taiwan, June 2010 (Invited Speaker)
  • The Workshop & Spring School on Stochastic Calculus and Applications, Institute of Mathematics, Academia Sinica, Taipei, Taiwan, April 2010 (Invited Speaker of a 50-min presentation and Invited Discussant of a Panel Session)
  • The 3rd International Conference on Computational and Financial Econometrics, Grand Resort Hotel, Limassol, Cyprus, October 2009. (Invited Speaker)
    Conference on Financial Modeling and Related Topics, University of Hong Kong, Hong Kong, January 2009. (Invited Speaker)
  • The 2008 Daiwa International Workshop on Financial Engineering, Kyoto University and Tokyo Metropolitan University, Otemachi Sankei Plaza, Tokyo, August 2008. (Invited Speaker)
  • Second Annual Risk Management Conference: The Challenges of Risk Management in Volatile Financial Markets, Risk Management Institute, National University of Singapore, Grand Hyatt Hotel, Singapore, July 2008. (Invited Discussant)
  • Joint Faculty Research Day 2008, Chinese University of Hong Kong, Hong Kong, June 2008. (Invited Speaker)
  • Workshop on Mathematics and Statistics of Quantitative Risk Management, Oberwolfach, Germany, March 2008. (Invited Speaker)
  • GARP's 2nd Annual Risk Management Convention, Hong Kong, 25 - 28 October, 2005. (Invited Speaker)
  • Workshop on Financial Engineering and Risk Management, Shanghai China, July 2005. (Invited Speaker)
  • 2004 Probability Workshop, the Statistical Research Center for Complex System (SRCCS) at Seoul National University, Seoul, Korea, November 2004. (Invited Speaker)
  • Resilience Indicator Workshop, Hong Kong Monetary Authority, Hong Kong, January 2003. (Invited Speaker)
     

 Invited Seminar Talks:

  • Department of Statistics and Applied Probability, University of California Santa Barbara, Santa Barbara, California, USA, October, 2012.
  • School of Finance, Shanghai University of Finance and Economics, Shanghai, China, September 2012.
  • Discipline of Business Analytics, Business School, University of Sydney, Sydney, NSW, Australia, June 2012.
  • Department of Finance, La Trobe University, Melbourne, VIC, Australia, June 2012.
  • Department of Applied Mathematics, National Sun Yat-Sen University, Kaohsiung, Taiwan, December 2011.
  • Institute of Statistics, National University of Kaohsiung, Kaohsiung, Taiwan, December 2011.
  • Joint Seminar of Department of IELM and Department of Math., Hong Kong University of Science and Technology, Hong Kong, March 2011.
  • Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Kuala Lumpur, Malaysia, December 2010.
  • Monthly Workshops, Risk Management Institute, National University of Singapore, Singapore, December 2010.
  • Risk Management Institute and Department of Statistics and Applied Probability, National University of Singapore, January 16, 2008.
  • Department of Mathematics, University of Hong Kong, Hong Kong, 6th September, 2006.
  • Department of Mathematics, HKUST, Hong Kong, October 2005.
  • Department of Mathematics, HKUST, Hong Kong, April 2005.


 


Awards
  • Exemplary Teaching Awards, Faculty of Science, CUHK: 2005-2006, 2008-2009, 2010-2011.
  • Outstanding Services Award, Department of Math, HKUST.
  • The Best Teaching Assistant Awards (twice), Department of Math, HKUST.
  • Sir Edward Youde Memorial Fellowships (twice).
  • Scholastic Award, HKBU.

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