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| Dr. Wong, Hoi Ying |
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Title
Associate Professor
Academic Background
PhD, MPhil
(HKUST)
BSc(HKBU)
Research Interest
Derivatives Pricing,
Interest Rate Modeling,
Financial Risk Analysis
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Selected Publications
Book/ Book Chapter:
Journal Articles (partial):
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H.Y. Wong and K.W. Lam (2009).
"Valuation of Discrete Dynamic Fund
Protection under Levy Processes". Accepted for publication by
North American Actuarial Journal.
- 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.
(In press)
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.
Submitted Working Papers (partial):
Professional Service
- 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
Teaching
(Fall 2008)
- RMS2001: Introduction to risk management
- RMS4007: Risk Management with Derivatives
Concepts
- RMS6001: Interest rate and fixed income risk
management (MSc
course)
- CUHK-HKIB
course in Risk Management
(Spring 2009)
- RMS4001: Simulation Techniques to Risk
Management and Finance
- RMS4101: Special Topics in Risk Management
III
- RMS5003: Risk Measures (MSc
course)
- CUHK-HKIB
course in Risk Management
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My Graduate
Students
Research Grants
Invited Talks
Awards
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Exemplary Teaching Award, Faculty of Science, CUHK, 2005-2006.
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Outstanding Services Award, Department of Math, HKUST, 2000-2001.
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The Best Teaching Assistant Award, Department of Math, HKUST, 1997-1998,
1999-2000.
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Sir Edward Youde Memorial Fellowships,
1998-1999, 2000-2001.
Useful Links
All
About Value at Risk
Default
Risk Modeling
Financial
Mathematics
Finance and Stochastics
Hong
Kong Monetary Authority
Insurance: Mathematics and Economics
International
Journal of Theoretical and Applied Finance
Journal of Economic Dynamics and Control
Journal of Empirical Finance
Journal
of Finance
Journal
of Financial Economics
Mathematical
Finance
Quant Code
Quantitative
Finance
Review
of Derivatives Research
Review
of Financial Studies
Contact Information
Address: Department of Statistics
Room G20, G/F., Lady Shaw Building
The Chinese University of Hong Kong
Shatin, New Territories, HONG KONG
Phone: (852)-2609 8520
Fax: (852)-2603 5188
Email: hywong@cuhk.edu.hk
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