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Dr. Wong, Hoi Ying   Title          Associate Professor Academic Background PhD, MPhil (HKUST)  BSc(HKBU)  Research Interest          Derivatives Pricing, Interest Rate Modeling,          Financial Risk Analysis   Selected Publications Book/ Book Chapter: N.H. Chan and H.Y. Wong (2006). Simulation Techniques in Financial Risk Management, Wiley, New York. Book Review of JASA (2007) pp758-759. 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. Journal Articles (partial): H.Y. Wong and Y.W. Lo (2008) "Option Pricing with Mean Reversion and Stochastic Volatility". Accepted for publication by European Journal of Operational Research. H.Y. Wong and T.W. Choi. (2008) "Estimating Default Barriers from Market Information". Accepted for publication by Quantitative Finance. (This paper is previously circulated as "The Impact of Default Barriers on Market Value of Firm's Assets" ) . H.Y. Wong and C.M. Chan (2008) "Turbo Warrants under Stochastic Volatility". Accepted for publication by Quantitative Finance. 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. Submitted Working Papers (partial): H.Y. Wong and C.P. Li. (2006) "Estimating Jump Diffusion Structural Models of Credit Risk". H.Y. Wong, K.Y. Lau and N.H. Chan (2007) "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 (2008) "Optimal Dividends with Bankruptcy Procedures: Analysis of Ornstein-Uhlenbeck Processes". J. Zhao and H.Y. Wong (2008) "A Closed-form Solution to American Options under General Diffusions". 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   My Graduate Students Research Grants Invited Talks Awards Exemplary Teaching Award, Faculty of Science, CUHK, 2005-2006. Outstanding Services Award, Department of Math, HKUST, 2000-2001. The Best Teaching Assistant Award, Department of Math, HKUST, 1997-1998, 1999-2000. 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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