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Graduate Students

  PhD Student in Statistics
  • Miss. Zhao, Jing (in progress)
    • Conference

    1. Second Annual Risk Management Conference, Risk Management Institute, National University of Singapore, 30th June 2008 - 2nd July 2008, Singapore.

    2. Selected Student Poster Presentation, Joint Faculty Research Day 2008, The Chinese University of Hong Kong, 13th June 2008, Hong Kong.

    3. Quantitative Methods in Finance Conference 2007, Sydney, Australia.

    • Publication:

  1. J. Zhao and H.Y. Wong (2009). A Closed-Form Solution to American Options under General Diffusions. Accepted by Quantitative Finance. (A part of PhD thesis)

  2. H.Y. Wong and J. Zhao. An Artificial Boundary Method for American Option Pricing under the CEV model. SIAM Journal on Numerical Analysis (4), 2183-2209, 2008. (MPhil thesis)

  3. J. Zhao and H.Y. Wong. A Numerical Method for American Option Pricing under CEV. Proceeding of IASTED conference on Financial Engineering and Applications, ACTA Press, 2006. (MPhil thesis)

M. Phil Student

  • Miss. Gao Fei (Risk Management, in progress)
  • Mr. Wong Tat Wing (Risk Management, in progress)
  • Mr. Cheung Kwan Hung (Risk Management, in progress)
  • Mr. Lam Ho Man (Risk Management, in progress)
  • Mr. Wong Shiu Fung (Risk Management, in progress)
  • Miss. Zheng Fangbing (Risk Management, in progess)
  • Miss. Guan, Pei Qiu (Risk Management, 2009)
  • Mr. Lam, Yu Fung (Risk Management, 2009)
    • Thesis: Exchange Rate in A Target Zone: Estimation of Diffusion with Boundary Conditions.
    • Assistant Market Risk Manager, Citic Ka Wah Bank .
  • Miss. Chow, Chui Ngan (Risk Management, 2008)
    • Thesis: Interest Rate Market Models and Their Uses in Insurance Products. Preliminary result was presented in IME Congress 2007, University of Piraeus, Athens, Greece.
    • MSCI Barra.
  • Mr. Lam, Ka Wai (Risk Management, 2008)
    • Thesis: Valuation of Discrete Dynamic Fund Protection under Levy Processes. Preliminary result was presented in IME Congress 2007, University of Piraeus, Athens, Greece.
    • Publication:
      1. 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.
    • Analyst, Department of Risk Management , Dah Sing Bank.
  • Mr. Lo, Yu Wai (Risk Management, 2008)
  • Mr. Lau, Ka Yung (Risk Management 2007)
    • Thesis: Quanto Options under Double Exponential Jump Diffusion. Preliminary result was presented in Quantitative Methods in Finance Conference 2006 at Sydney, Australia.
    • Publication:
      1. 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.
      2. H.Y. Wong and K.Y. Lau. Path-Dependent Currency Options with Mean Reversion. The Journal of Futures Markets, 28(3), 275-293, 2008.
      3. H.Y. Wong and K.Y. Lau. Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion. Journal of Derivatives. Summer 61-73, 2008.
    • Assistant Manager, Department of Treasury Risk, Fubon Bank, Hong Kong.
  • Mr. Wong, Tsz Lim (Risk Management 2007)
    • Thesis: Reduced-Form Models With Regime Switching: An Empirical Analysis for Corporate Bonds.
    • Publication:
      1. 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), 228-253, 2007.
    • Statistician of Economic Statistics Division, Census and Statistics Department, HKSAR.
  • Miss. Zhao, Jing (Statistics 2007)
    • Thesis: Numerical Methods for American Option Pricing under CEV.  Preliminary result was presented in IASTED conference in financial engineering and application at MIT, USA, 2006.
    • Publication:
      1. J. Zhao and H.Y. Wong. A Numerical Method for American Option Pricing under CEV. Proceeding of IASTED conference on Financial Engineering and Applications, ACTA Press, 2006.
      2. H.Y. Wong and J. Zhao. An Artificial Boundary Method for American Option Pricing under the CEV model. SIAM Journal on Numerical Analysis (4), 2183-2209, 2008.
    • PhD student under my supervision.
  • Miss. Leong, U Man (Risk Management 2006)
  • Mr. Li, Chin Pang (Risk Management 2006)
    • Thesis: Estimating Jumps for Structural Models of Credit Risk. The paper was presented in Quantitative Methods in Finance Conference 2005 at Sydney, Australia.
    • Associate, Department of Structuring, BEA.
  • Mr. Chan, Chun Man Joseph (Statistics 2005)
    • Thesis: Pricing Lookback Options under Multi-scale Stochastic Volatility. This work was presented in IME Congress 2005 at University Laval, Quebec, Canada.
    • Publication:
      1. H.Y. Wong and C.M. Chan. Lookback Options and Dynamic Fund Protection under Multiscale Stochastic Volatility, Insurance: Mathematics and Economics, 40(3), pp357-385, 2007.
      2. H.Y. Wong and C.M. Chan. Turbo Warrants under Stochastic Volatility.  Quantitative Finance 8(7), 739-751. 2008.
    • Assistant Market Risk Manager, Citic Ka Wah Bank .
  • Mr. Li, Ka Leung (Risk Management 2005)
    • Thesis: On Testing Structural Models of Credit Risk. Preliminary result was presented in IASTED conference in financial engineering and application at MIT 2004.
    • Publication:
      1. 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.
      2. 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)
    • Assistant Manager of Credit Risk Analytics, HSBC.
  • Mr. Choi, Tsz Wang (Risk Management 2004) 
  • Mr. Cheung, Ying Lok (Risk Management 2004) 
 
 

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