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Wong, Hoi Ying Title and Position Associate Professor Co-Director, Interdisciplinary Major in Quantitative Finance and Risk Management Science (QFRM) 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. K.S. Leung, H.Y. Wong and Y.K. Kwok (2010). "Efficient Options Pricing Using the Fast Fourier Transform", To appear in Handbook of Computational Finance. Journal Articles (partial): T.W. Wong and H.Y. Wong (2012). "Stochastic Volatility Asymtotics of Stock Loan: Valuation and Optimal Stopping". Accepted by Journal of Mathematical Analysis and Applications. M.C. Chiu, H.Y. Wong and D. Li (2012). "Roy's Safety-First Portfolio Principle in Financial Risk Management of Disastrous Events". Risk Analysis, forthcoming, (doi:10.1111/j.1539-6924.2011.01751.x). H.Y. Wong, E.K.H. Cheung, and S.F. Wong (2011). "Levy Betas: Static Hedging with Index Futures". Journal of Futures Markets, forthcoming, (doi:10.1002/fut.20548). 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 9(1), 4627-4643, 2011. N.H. Chan, H.Y. Wong and J. Zhao (2010). "Structural Model of Credit Migration". Computational Statistics and Data Analysis, forthcoming, (doi:10.1016/j.csda.2010.10.015). H.Y. Wong and P. Guan. An FFT Network for Levy Option Pricing. Journal of Banking and Finance 35(4), 988-999, 2011. J. Zhao and H.Y. Wong (2010). "A Closed-form Solution to American Options under General Diffusions". Quantitative Finance, forthcoming. 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. Submitted Working Papers (partial): H.Y. Wong and C.P. Li. (2009). "Estimating Jump Diffusion Structural Models of Credit Risk". M.C. Chiu and H.Y. Wong (2011). "Mean-Variance Asset-Liability Management: Cointegrated Assets and Insurance Liabilities". Accepted with minor revision by European Journal of Operational Research. M.C. Chiu, H.Y. Wong and J. Zhao (2011). "Option Valuation with Cointegration and Multivariate Stochastic Volatilities". M.C. Chiu and H.Y. Wong (2011). "Dynamic Cointegrated Pairs Trading: Mean-Variance Time-Consistent Strategies". M.C. Chiu and H.Y. Wong (2011). "Mean-Variance Principle of Managing Cointegrated Risky Assets and Random Liabilities". 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 2011) RMS4007: Risk Management with Derivatives Concepts RMS6001: Interest rate and fixed income risk management (MSc course) (Spring 2012) RMS4001: Simulation Techniques to Risk Management and Finance RMS4101: Special Topics in Risk Management III RMS5003: 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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