WONG, Hoi Ying 王海嬰

Position Professor
Email hywong [at] cuhk.edu.hk
ORCiD 0000-0001-9743-1832
Phone Number 3943 8520
Fax Number 2603 5188
Address LSB G20
Homepage https://www.sta.cuhk.edu.hk/hywong/

Academic Background

PhD (HKUST)

MPhil (HKUST)

BSc (HKBU)

Research Interest

Selected Publication

Book / Book Chapter:

  1. N.H. Chan and H.Y. Wong (2015). Simulation Techniques in Financial Risk Management, 2nd Ed., Wiley, New York.  Online materials.
  2. N.H. Chan and H.Y. Wong (2013). Handbook of Financial Risk Management: Simulations and Case Studies, Wiley, New York. Online materials.
  3. 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.
  4. 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):


Refereed Proceeding Articles (partial):

  • C.S. Pun, L. Wang and H.Y. Wong. “Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection“, Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence (IJCAI): Special Track on AI in FinTech, 4619-4625. https://doi.org/10.24963/ijcai.2020/637, 2020.
  • 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.


Unpublished manuscripts:

Professional Service

  • Associate Editor, International Journal of Theoretical and Applied Finance, 2005 –
  • Associate Editor, SIAM Journal on Financial Mathematics, 2016 – 2021.
  • 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 2022)

  • RMSC4007: Risk Management with Derivatives Concepts
  • RMSC4202: Practicum

(Spring 2023)

  • RMSC4001: Simulation Techniques to Risk Management and Finance
  • RMSC4202: Practicum
  • RMSC6001: Interest Rates and Fixed Income Risk Management (MSc course)

Graduate Students

My students

Awards Received by My Graduate Students

  • Research Exploration Award by Department of Statistics, CUHK (2021/2022): Jie Yin
  • Science Faculty Postgraduate Research Output Awards 2020/2021: Tingjin Yan
  • 2021 Itarle Scholarship for quality PhD thesis: Tingjin Yan
  • Hong Kong PhD Fellowship 2020: Bowen JIA
  • The Best Teaching Assistant Award by Department of Statistics, CUHK (2020): Kexin Chen
  • The Best Teaching Assistant Award by Department of Statistics, CUHK (2019): David Ka Ho TSANG and Peter XI
  • Hong Kong PhD Fellowship 2018: Ling WANG
  • Hong Kong PhD Fellowship 2017: Tingjin YAN
  • 2016 Bruti-Liberati Prize of the Bachelier Finance Society for the best doctoral thesis in Quantitative Finance: Chi Seng PUN
  • CUHK Young Scholar Thesis Award 2016: Chi Seng Pun
  • The Best Student Research Paper (The First Place Award), INFORMS Financial Section 2015 (CUHK press release) (Wen Wei Po 17 Nov 2015): Chi Seng PUN
  • Visiting graduate researcher and invited fellow of IPAM at UCLA: Chi Seng PUN
  • Hong Kong PhD Fellowship 2014: Fangyuan DONG
  • The Best Teaching Assistant Award by Department of Statistics, CUHK (2016): Menglu FENG
  • The Best Teaching Assistant Award by Department of Statistics, CUHK (2015): Kai Yin KWOK
  • The Best Teaching Assistant Award by Department of Statistics, CUHK (2014): Chi Seng PUN

Grants

Research Grants / Funding

Invited Talks

Invited Talks

Awards

  • CUHK Outstanding Fellow of Faculty of Science 2019-2024.
  • IMA Journal of Management Mathematics 2018 Best Paper Prize.
  • Vice-Chancellor’s Exemplary Teaching Award of CUHK 2015, 2020.
  • Exemplary Teaching Awards, Faculty of Science, CUHK:2006, 2009, 2011, 2015, 2020.
  • 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.

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