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Wong, Hoi Ying

Title and Position

Associate Professor

Co-Director, Interdisciplinary Major in Quantitative Finance and Risk Management Science (IQR)

Academic Background

PhD, MPhil (HKUST) 
BSc(HKBU) 

Research Interest

Derivatives Pricing,

Interest Rate Modeling,

Financial Risk Analysis  
   

Selected Publications

Book/ Book Chapter:

Journal Articles (partial):

  • J. Zhao and H.Y. Wong (2009) "A Closed-form Solution to American Options under General Diffusions". Accepted for publication by Quantitative Finance.
  • H.Y. Wong and J. Zhao (2009) "Currency Option Pricing: Mean Reversion and Multi-Scale Stochastic Volatility". Accepted for publication by Journal of Futures Markets.
  • 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.

Submitted Working Papers (partial):
  • H.Y. Wong and C.P. Li. (2009) "Estimating Jump Diffusion Structural Models of Credit Risk".
  • H.Y. Wong, K.Y. Lau and N.H. Chan (2009) "Quanto Options under Double Exponential Jump Diffusion".
  • M.C. Chiu, H.Y. Wong and D. Li (2008) "The Essence of Roy's Safety-first Principle and Asset-liability Management".
  • H.Y. Wong and J. Zhao (2009) "Optimal Dividends with Bankruptcy Procedures: Analysis of Ornstein-Uhlenbeck Processes".

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 2009)

  • STA0401:  Statistics Project
  • RMS4007: Risk Management with Derivatives Concepts
  • RMS6001: Interest rate and fixed income risk management (MSc course)
  • CUHK-HKIB course in Risk Management

(Spring 2010)

  • 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

 

My Graduate Students

Research Grants

Invited Talks

Awards

  • Exemplary Teaching Award, Faculty of Science, CUHK, 2005-2006.
  • Outstanding Services Award, Department of Math, HKUST.
  • The Best Teaching Assistant Award, Department of Math, HKUST.
  • Sir Edward Youde Memorial Fellowships.
  • Scholastic Award, HKBU.

  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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