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Wong, Hoi Ying

Title and Position

Professor
Director of MSc in Risk Management Science

Academic Background

PhD, MPhil (HKUST) 
BSc(HKBU) 

Research Interest

Derivatives Pricing,

Interest Rate Modeling,

Financial Risk Analysis  

Selected Publications

Book/ Book Chapter:

          

[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):

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 ModelProceeding of IASTED conference on Financial Engineering and Applications 9 pgs.  Alberta, Canada: ACTA Press, 2004.

Submitted Working Papers (partial):

  • H.Y. Wong and C.P. Li. (2009). "Estimating Jump Diffusion Structural Models of Credit Risk".
  • M.C. Chiu, H.Y. Wong and J. Zhao (2012). "Option Pricing with Cointegration and Stochastic Correlations".
  • M.C. Chiu and H.Y. Wong (2011). "Dynamic Cointegrated Pairs Trading: Mean-Variance Time-Consistent Strategies".

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
  • 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

Research Grants

Invited Talks

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.

  Useful Links

All About Value at Risk

Default Risk Modeling

European Journal of Operational Research

Financial Mathematics

Finance and Stochastics

Hong Kong Monetary Authority

Insurance: Mathematics and Economics

International Journal of Theoretical and Applied Finance

Journal of Banking and 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

Risk Analysis: An International Journal

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)-3943 8520

Fax: (852)-2603 5188

Email:

 


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