(I) Academic Background 
BSc(Actuarial Sc) (1st Class*) and M.Phil. (HKU) (Supervisor: Hailiang Yang)
MASt with Distinction^,# (Cantab) (Cambridge)
D.Phil.# (Oxon) (Oxford) (Supervisor: Terry Lyons) 
(II) Honours and Awards 

Visiting Professor at the Columbia University in the City of New York, 2016

International Partnerships Development Programme 201314, OAL, The Chinese University of Hong Kong, Hong Kong

Research fellowship (2010 and 2013), Hausdorff Research Institute for Mathematics (HIM), University of Bonn, Germany

Junior research fellowship (2007), The Erwin Schrödinger International Institute for Mathematics and Physics (ESI), University of Vienna, Austria

#Scholarships (2002 – 2003, 2004 – 2007), Croucher Foundation, Hong Kong

^E. M. Burnett Prize in Mathematics (2003), University of Cambridge, United Kingdom

*Dean’s Honors Listings (1997 to 1999), The University of Hong Kong, Hong Kong

(III) Research Interest 
Actuarial Science
Applied Mathematics
Mathematical Finance
Probability Theory and Stochastic Analysis
Statistical Theory and Applications 
(IV) Research Grants 
Competitive Grants in the capacity as Principal Investigator 

(With T. Lyons) HKSARGRF 502408 (2009 to 2011). Application of the Theory of Rough Paths to Some Issues in Geometry.

(With Z. M. Ma) HKSARGRF 502909 (2009 to 2012). What is the Right Time to Sell a Stock?

(With A. Bensoussan) HKSARGRF 404012 (2013 to 2016). Advanced Topics in Multivariate Risk Management in Finance and Insurance.

HKSARGRF 14301015 (2015 to 2018). Advance in Mean Field Theory.

HKSARGRF 14300717 (2017 to 2020). New kinds of Forwardbackward Stochastic Systems with Applications.

(With Gary Chan and ChuanFa Tang) HKSARGRF 14300319 (2019 to 2022). Shapeconstrained Inference: Testing for Monotonicity.

(With A. Bensoussan) HKSARGRF 14301321 (2021 to 2024). General Theory for Infinite Dimensional Stochastic Control: Mean Field and Some Classical Problems.

Competitive Grants in the capacity as CoInvestigator 

(With A. Bensoussan (P.I.) and Cedric K. F. Yiu) HKSARGRF 500111 (2012 to 2015). Advanced Problems in Inventory Theory.

(With A. Bensoussan (P.I.)) HKSARGRF 500113 (2013 to 2016). Mean Field Games and Mean Field Type Control Theory.

(With A. Bensoussan (P.I.)) HKSARGRF 11303316 (2017 to 2019). Mean Field Control with Partial Information.

(With T. K. Wong (P.I.)) HKSARGRF 17306420 (2020 to 2023). Solving Generic Mean Field Type Problems: Interplay between Partial Differential Equations and Stochastic Analysis.

(With H. Yang (P.I.) and T. Long (P.I.)) Germany/Hong Kong Joint Research Scheme GHKU701/20 (2021 to 2023). Asymmetry in Dynamically Correlated Threshold Stochastic Volatility Model.

(With T. K. Wong (P.I.)) HKSARGRF 17302521 (2021 to 2024). Controlling the Growth of Classical Solutions of a Class of Parabolic Differential Equations with Singular Coefficients: Resolutions for Some Lasting Problems from Economics.

NonCompetitive Grants in the capacity as Principal Investigator 

(With T. Lyons) HKPU (APC0D) (2008 to 2010). New Directions in Computational Finance and Geometry via Rough Path Theory.

CUHK Direct Grant 2060422 (2011 to 2012). Optimal Insurance Design under Neoclassical Financial Theories.

(With Gary Chan) CUHK Direct Grant 2060444 (2012 to 2013). Asymptotic Statistical Analysis in Biostatistics and Finance.

CUHK Direct Grant 4053141 (2015 to 2016). Disappointment “Averse” Risk Management in Insurance.

NonCompetitive Grants in the capacity as CoInvestigator 

(With L. K. Li) HKPU (1ZVoH) (2008 to 2009). Periodic Signals for Nonlinear Systems.

(With Eddie C. M. Hui) (2010 to 2012). HKPU Collaborative Research Grant (GYH96).

(With John A. Wright (P. I.), Cecilia Chun and K. C. Wong) (2021 to 2022). CUHK Teaching Grant: Funding Scheme for Engaging Postgraduate Students in Teaching and Teaching Development. Supporting Statistics Research Postgraduates to Teach Quantitative Data Analysis to Postgraduate Students without Statistics Background – Phase I.

(V) Books 
 Bensoussan, A., Frehse, J., and Yam, S.C.P. (2013). Mean Field Games and Mean Field Type Control Theory. SpringerBriefs in Mathematics; New York: Springer.
 Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2022+). Optimal (Re)Insurance: from Individuals to Corporations. To appear in Springer Actuarial Series; New York: Springer.
 Chen, Y., Cheung, K. C., and Yam, S. C. P. (2022+). Financial Data Analytics: with Machine Learning, Optimization and Statistics. To appear in Wiley Finance Series; John Wiley & Sons.

(VI) Selected Publications in Refereed Journals 
Actuarial Science 
Insurance and Reinsurance 

Sung, K. C. J., Yam, S. C. P., Yung, S. P., and Zhou, J. H. (2011). Behavioral Optimal Insurance. Insurance: Mathematics and Economics, 49(3), 418428.

Cheung, K. C., Liu, F., and Yam, S. C. P. (2012). Average ValueatRisk Minimizing Reinsurance under Wang’s Premium Principle with Constraints. Astin Bulletin, 42(02), 575600.

Chen, P., and Yam, S. C. P. (2013). Optimal proportional reinsurance and investment with regimeswitching for mean–variance insurers. Insurance: Mathematics and Economics, 53(3), 871883.

Cheung, K. C., Sung, K. C. J., and Yam, S. C. P. (2014). Risk‐Minimizing Reinsurance Protection For Multivariate Risks. Journal of Risk and Insurance, 81(1), 219236.

Cheung, K. C., Sung, K. C. J., Yam, S. C. P., and Yung, S. P. (2014). Optimal Reinsurance under General Lawinvariant Risk Measures. Scandinavian Actuarial Journal, 2014(1), 7291.

Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2015). The Optimal Insurance under Disappointment Theories. Insurance: Mathematics and Economics, 64, 7790.

Siu, C. C., Yam, S. C. P., and Yang, H. (2015). Valuing EquityLinked Death Benefits in a RegimeSwitching Framework. Astin Bulletin, 45(02), 355395.

Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2015). Convex Ordering for Insurance Preferences. Insurance: Mathematics and Economics, 64, 409416.

Siu, C. C., Yam, S. C. P., Yang, H., and Zhao, H. (2017). A class of nonzerosum investment and reinsurance games subject to systematic risks. Scandinavian Actuarial Journal, 8, 670707.

Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2019). Riskadjusted Bowley Reinsurance under Distorted Probabilities. Insurance: Mathematics and Economics, 8, 6472.

Cheung, K. C., Yam, S. C. P. and Yuen, F. L. K. (2019). Reinsurance Contract Design with Adverse Selection. Scandinavian Actuarial Journal, 9, 784798.

Cheung, K. C., Yam, S. C. P., Yuen, F. L. K. and Zhang, Y. (2020). Concave Distortion Risk Minimizing Reinsurance Design under Adverse Selection. Insurance: Mathematics and Economics, 91, 155165.

Chen, Sam Y. Z., Cheung, K. C., Choi, H. M. C. and Yam, S. C. P. (2020). Evolutionary Credibility Risk Premium. Insurance: Mathematics and Economics, 93, 216229.

Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2021). Satisficing Credibility for Heterogeneous Risks. Appear online in European Journal of Operational Research.

Risk Management and Ruin Theory 

Cheung, K. C., Rong, Y., and Yam, S. C. P. (2014). Borch’s Theorem from the Perspective of Comonotonicity. Insurance: Mathematics and Economics, 54, 144151.

Chau, K. W., Yam, S. C. P., and Yang, H. (2015). Fouriercosine Method for Ruin Probabilities.Journal of Computational and Applied Mathematics, 281, 94106.

Chau, K. W., Yam, S. C. P., and Yang, H. (2015). Fouriercosine Method for Gerber–Shiu Functions. Insurance: Mathematics and Economics, 61, 170180.

Cheung, K. C., Chong, W. F. A., Elliott, R., and Yam, S. C. P. (2015). Disappointment Aversion Premium Principle. ASTIN Bulletin, 45(03), 679702.

Cheung, K. C., Dhaene, J., Rong, Y., and Yam, S. C. P. (2018). Probabilistic Solutions for a Class of Deterministic Optimal Allocation Problems. Journal of Computational and Applied Mathematics, 336, 394407.

Li, X. L., Shi, Y. F., Yam, S. C. P. and Yang, H. (2021). Fouriercosine Method for Finitetime GerberShiu Functions. SIAM Journal on Scientific Computing, 43(3), 650677.

Lee, W. Y. B., Liu, F., Li, X. L., Shi, Y. F. and Yam, S. C. P. (2021). Fouriercosine Method for Finitetime Ruin Probabilities . Insurance: Mathematics and Economics, 99, 256267.

Applied Mathematics 
Analysis and PDEs 

Lyons, T. J., and Yam, S. C. P. (2006). On Gauss–Green Theorem and Boundaries of a Class of Hölder Domains. Journal de Mathématiques Pures et Appliquées, 85(1), 3853.

Bensoussan, A., Mertz, L., and Yam, S. C. P. (2012). Long Cycle Behavior of the Plastic Deformation of an Elastoperfectlyplastic Oscillator with Noise. C. R. Acad. Sci. Ser. I, 350(17), 853859.

Cheung, P. L., Ng, T. W., Tsai, J., and Yam, S. C. P. (2014). HigherOrder, Polar and Sz.Nagy’s Generalized Derivatives of Random Polynomials with Independent and Identically Distributed Zeros on the Unit Circle. Computational Methods and Function Theory, 15(1), 159186.

JassoFuentes, H., Mertz, L., and Yam, S. C. P. (2014). Approximate Solutions of a Stochastic Variational Inequality Modeling an Elastoplastic Problem with Noise. Applied Mathematics Research eXpress, 2014(1), 5273.

Bensoussan, A., Feau, C., Mertz, L., and Yam, S. C. P. (2014). An Analytical Approach for the Growth Rate of the Variance of the Deformation Related to an ElastoPlastic Oscillator Excited by a White Noise. Applied Mathematics Research eXpress, 2015(1), 99128.

Bensoussan, A., Frehse, J., and Yam, S. C. P. (2015). The Master Equation in Mean Field Theory. Journal de Mathématiques Pures et Appliquées, 103(6), 14411474.

Bensoussan, A., Li, Y., and Yam, S. C. P. (2018). Backward Stochastic Dynamics in Hilbert Spaces with Subdifferential Operator and Nonlocal Parabolic Variational Inequalities. Stochastic Processes and their Applications, 128(2), 644688.

Bensoussan, A., Mertz, L., and Yam, S. C. P. (2016). Nonlocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elastoplastic Oscillator Excited by a Filtered Noise. SIAM Journal on Mathematical Analysis, 48(4), 27832805.

Bensoussan, A., Frehse, J., and Yam, S. C. P. (2021). Systems of Quasilinear Parabolic Equations in R^n and Systems of Quadratic BSDEs. Journal de Mathématiques Pures et Appliquées, 149, 135185.

Bensoussan, A., Wong, T. K., and Yam, S. C. P. (2019). Calculus on Space of Random Variables for Mean Field Games.

Control Theory and Optimization 

Yang, Z., Yam, S. C. P., Li, L. K., and Wang, Y. (2010). Universal Repetitive Learning Control for Nonparametric Uncertainty and Unknown Statedependent Control Direction Matrix. IEEE Transactions on Automatic Control, 55(7), 17101715.

Yang, Z., Yam, S. C. P., Li, L. K., and Wang, Y. (2011). Robust Control for Uncertain Nonlinear Systems with State‐dependent Control Direction. International Journal of Robust and Nonlinear Control, 21(1), 106118.

Bensoussan, A., Sung, K. C. J., and Yam, S. C. P. (2013). Linear–quadratic Timeinconsistent Mean Field Games. Dynamic Games and Applications, 3(4), 537552.

Bensoussan, A., Siu, C. C., Yam, S. C. P., and Yang, H. (2014). A Class of Nonzerosum Stochastic Differential Investment and Reinsurance Games. Automatica, 50(8), 20252037.

Bensoussan, A., Sung, K. C. J., Yam, S. C. P., and Yung, S. P. (2014). LinearQuadratic Mean Field Games. Journal of Optimization Theory and Applications, 169(2), 496529.

Bensoussan, A., Chau, M. H. M., and Yam, S. C. P. (2015). Mean Field Games with a Dominating Player. Applied Mathematics and Optimization, 74(1), 91128.

Bensoussan, A., Chau, M. H. M., and Yam, S. C. P. (2015). Mean Field Stackelberg Games: Aggregation of Delayed Instructions. SIAM Journal on Control and Optimization, 53(4), 2237–2266.

Bensoussan, A., Chau, M. H. M., Lai, Y., and Yam, S. C. P. (2017). Linear Quadratic Mean Field Stackelberg Games with State and Control Delays. SIAM Journal on Control and Optimization, 55(4), 27482781.

Chau, M. H. M., Lai, Y. and Yam, S. C. P. (2017). DiscreteTime Mean Field Partially Observable Controlled Systems Subject to Common Noise. Invited article published in the Special Issue on Mean Field Games in Applied Mathematics and Optimization, 76(1), 5991

Bensoussan, A., Cass, T., Chau, M. H. M., and Yam, S. C. P. (2020). Mean Field Games with Parametrized Followers. IEEE Transactions on Automatic Controlm, 65(1), 1227.

Bensoussan, A., Djehiche, B., Tembine, H., and Yam, S. C. P. (2020). MeanFieldType Games with Jump and Regime Switching. Dynamic Games and Applications., 10(1), 1957.

Bensoussan, A., Chen, S., Chutani, A., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2019). Feedback StackelbergNash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising. SIAM Journal on Control and Optimization, 57(5), 34133444.

Chau, M. H. M., Ng, T. H., Yam, S. C. P. Zheng, H (2019). Twoparty Governance: Cooperation versus Competition. Submitted.

Liu, H., Sethi, S. P., Wong, T. K., and Yam, S. C. P. (2019). Optimal Savings and Value of Population under Stochastic Environment: Transient Behavior.

Bensoussan, A., Kim, J., and Yam, S. C. P. (2020). Extended Mean Field Type Control Theory and Applications. Submitted.

Bensoussan, A., and Yam, S. C. P. (2021). Mean Field Approach to Stochastic Control with Partial Information. Appear online in Special Issue in the Honor of Enrique Zuazua’s 60th Birthday in ESAIM: Control, Optimisation and Calculus of Variations.

Mathematical Finance 
Market Structure and Pricing 

Yam, S. C. P., and Yang, H. (2006). On Valuation of Derivative Securities: A Lie Group Analytical Approach. Applications of Mathematics, 51(1), 4961.

Wright, J. A., Yam, P. S., and Yang, H. (2011). On the Probability of Completeness for Large Markets. Japan Journal of Industrial and Applied Mathematics, 28(2), 301313.

Yam, S. C. P., Yung, S. P., and Zhou, W. (2014). Game Call Options Revisited. Mathematical Finance, 24(1), 173206.

Yam, S. C. P., Zhou, W. (2016). Optimal Liquidation of Child Limit Orders. Mathematics of Operations Research, 42(2), 546575.

Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2021). Coop Advertising in a Dynamic ThreeEchelon Supply Chain. Appeared online in Production and Operations Management.

Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2021). The Generalized Sethi Advertising Model. Submitted.

Portfolio Strategy and Risk Management 

Yam, S. C. P., Yung, S. P., and Zhou, W. (2012). Optimal Selling Time in Stock Market over a Finite Time Horizon. Acta Mathematicae Applicatae Sinica, English Series, 28(3), 557570.

Wei, J., Wong, K. C., Yam, S. C. P., and Yung, S. P. (2013). Markowitz’s Mean–variance Asset–liability Management with Regime Switching: A Timeconsistent Approach. Insurance: Mathematics and Economics, 53(1), 281291.

Yam, S. C. P., Yung, S. P., and Zhou, J. H. (2013). A Meanvariance Portfolio Selection Problem Subject to a Benchmark Constraint: An Existence Result. Risk and Decision Analysis, 4(1), 2538.

Bensoussan, A., Wong, K. C., Yam, S. C. P., and Yung, S. P. (2014). Timeconsistent Portfolio Selection under Shortselling Prohibition: From Discrete to Continuous Setting. SIAM Journal on Financial Mathematics, 5(1), 153190.

Wong, K. C., Yam, S. C. P., and Zheng, H. (2017). UtilityDeviationRisk Portfolio Selection.SIAM Journal on Control and Optimization, 55(3), 20242051.

Yang, H., Yam, S. C. P., and Yuen, F. L. K. (2015). Optimal Asset Allocation: Risk and Information Uncertainty. European Journal of Operational Research, 251(2), 554561.

Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2019). A Paradox in Time Consistency in Meanvariance Problem? Finance and Stochastics, 23(1), 173207.

Cheung, K. C., Ling, H. K. B., Tang, Q., Yam, S. C. P., and Yuen, F. L. K., (2019). On Additivity of Tail Comonotonic Risks. Scandinavian Actuarial Journal, 10, 837866.

Bensoussan, A., Cheung, K. C., Li, Y. and and Yam, S. C. P. (2021). Intertemporal Mutual Fund Management. To appear in Mathematical Finance.

Wong, K. C., Yam, S. C. P., and Zeng, J. (2019). Meanrisk Portfolio Management with Bankruptcy Prohibition. Insurance: Mathematics and Economics, 85(C), 153172.

Wong, K. C., Yam, S. C. P., Yang, H. and Zheng, H. (2018). Weak Convergence of UtilityRisk Portfolio. Submitted.

Guasoni, P., Wong, K. C., Yam, S. C. P., and Zeng, J. (2019). Attainable Mean Risk Portfolio.

Bensoussan, A., Ma, G. Siu, C. C., and Yam, S. C. P. (2021). Dynamic Meanvariance Problem with Frictions. To appear in Finance and Stochastics.

Probability Theory and Stochastic Analysis 

Yam, S. C. P., Yung, S. P., and Zhou, W. (2009). Two Rationales behind The ‘Buyandhold or Sellatonce’ Strategy. Journal of Applied Probability, 46(3), 651668.

Yam, S. C. P., Yung, S. P., and Zhou, W. (2013). A Unified “BangBang” Principle with Respect to RInvariant Performance Benchmarks. SIAM: Theory of Probability & Its Applications, 57(2), 357366.

Bensoussan, A., Yam, S. C. P., and Zhang, Z. (2015). Wellposedness of Meanfield Type Forward–backward Stochastic Differential Equations. Stochastic Processes and their Applications, 125(9), 33273354.

Wright, J. A., Yam, S. C. P., and Zhang, Z. (2018). Enlargement of Filtration on Poisson Space: a Malliavin Calculus Approach. Stochastics, 90, 682700.

Bensoussan, A., and Yam, S. C. P. (2018). Control Problem on Space of Random Variables and Master Equation. ESAIM: Control, Optimisation and Calculus of Variations, 25(10), 36pp.

Bensoussan, A., Frehse, J., and Yam, S. C. P. (2017). On the Interpretation of the Master Equation. Stochastic Processes and their Applications, 127(7). 20932137.

Privault, N., Yam, S. C. P., and Zhang, Z. (2018). Poisson Discretizations of Wiener Functionals and Malliavin Operators with Wasserstein Estimates. Stochastic Processes and their Applications, 129(9), 33763405.

Wong, Danny T. K. and Yam, S. C. P. (2018). A Probabilistic Proof for Fourier Inversion Formula. Statistics & Probability Letters, 141, 135142.

Bensoussan, A., Graber, P. J., and Yam, S. C. P. (2020). Control on Hilbert Spaces and Application to Mean Field Type Control Theory. Review after Revision Annals of Applied Probability, arxiv:2005.10770

Han, J. , Privault, N., and Yam, S. C. P. (2021). Universal Poisson Discretization of Financial Diffusion Models. Submitted.

Statistical Theory and Applications 
Asymptotic Theory 

Chan, K. C. G., and Yam, S. C. P. (2014). Oracle, Multiple Robust and Multipurpose Calibration in a Missing Response Problem. Statistical Science, 29(3), 380396.

Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2015). Globally Efficient Nonparametric Inference of Averge Treatment Effects by Empirical Balancing Calibration Weighting. Journal of the Royal Statistical Society: Series B, 78(3), 673700.

Chan, K. C. G., Liu, F., and Yam, S. C. P. (2015). A Sharper Rate of Convergence of Generalized Empirical Likelihood Weights for Incorporating Auxiliary Data Information. Submitted.

Chan, K. C. G., Imai, K., Yam, S. C. P., and Zhang, Z. (2015). Efficient Nonparametric Estimation of Causal Mediation Effects. Submitted.

Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2015). Product Moment Matching for Efficient and Robust Model Inference with General Treatment Regimes. Submitted.

Chan, K. C. G., Huang, W., and Yam, S. C. P. (2015). Exponential Weighting Aggregation Penalized Splines. Submitted.

Chan, K. C. G., Ling, H. K. B., Sit, T., and Yam, S. C. P. (2018). Estimation of a Monotone Density in Ssample Biased Sampling Models. Annals of Statistics, 46(5), 21252152.

Chan, K. C. G., Lai, Y., Yam, S. C. P. and Zhang, Z. (2016). Seminonparametric Inference in Possibly Misspecified Regression Models with Missing Data. Submitted.

Chan, K. C. G., Tang, C. F. and Yam, S. C. P. (2018). Likelihood Ratio Test for Monotonicity of Density. Submitted.

Chan, K. C. G., Ling, H. K. B., Sit, T., and Yam, S. C. P. (2021). On Asymptotic Equivalence of the NPMLE of a Monotone Density and a Grenandertype Estimator in Multisample Biased Sampling Models. Electronic Journal of Statistics, 15(1), 28762904.

Kennedy, A. P. and Yam, S. C. P. (2020). On the Authenticity of COVID19 Case Figures. PLOS ONE, 15(12): e0243123.

Brown, M., Cohen, J., Tang, C. F., and Yam, S. C. P. (2021). Taylor’s Law of Fluctuation Scaling for Semivariances and Higher Moments of Heavytailed Data. Proceedings of the National Academy of Sciences of the United States of America, 118(46): e2108031118.

Data Analytics and Machine Learning 

Bensoussan, A.,, Li, Y., Nguyen, D. P. C., Tran, M. B., Yam, S. C. P. and Zhou, X. (2020). Machine Learning and Control Theory. To appear in Handbook of Numerical Analysis. arxiv:2006.05604.

Bensoussan, A., Han, J., Yam, S. C. P. and Zhou, X. (2021). ValueGradient based Formulation of Optimal Control Problem and Machine Learning Algorithm. Submitted.

Chen, Y., Cheung, K.C., Fan, N.S., Peng, C. and Yam, S. C. P. (2021). A New Simple Effective InsurTech Tool: ComonotoneIndependence Bayes classifier (CIBer). Submitted.

Financial Statistics 

Chan, N. H., and Yam, S. C. P. (2012). Higher‐order Asymptotics in Finance. Wiley Interdisciplinary Reviews: Computational Statistics, 4(6), 571587.

Hui, E. C., Yam, S. C. P., and Chen, S. W. (2012). ShiryaevZhou Index–a Noble Approach to Benchmarking and Analysis of Real Estate Stocks. International Journal of Strategic Property Management, 16(2), 158172.

Wong, W. K., Wright, J. A., Yam, S. C. P., and Yung, S. P. (2012). A Mixed Sharpe Ratio. Risk and Decision Analysis, 3(12),3765.

Hui, E. C. M., Wright, J. A., and Yam, S. C. P. (2014). Calendar Effects and Real Estate Securities. The Journal of Real Estate Finance and Economics, 49(1), 91115.

Hui, E., Yam, P., Wright, J., and Chan, K. (2014). Shall We Buy and Hold? Evidence from Asian Real Estate Markets. Journal of Property Investment and Finance, 32(2), 168186.

Hui, E. C., and Yam, S. C. P. (2014). Can We Beat the “Buyandhold” Strategy? Analysis on European and American Securitized Real Estate Indices. International Journal of Strategic Property Management, 18(1), 2837.

Wright, J. A., Yam, S. C. P., and Yung, S. P. (2014). A Test for the Equality of Multiple Sharpe Ratios. The Journal of Risk, 16(4), 3.

Huang, W., Wright, J. A., and Yam, S. C. P. (2018). Faster Robust Performance Hypothesis Testing for Multiple Sharpe Ratios. Submitted.

(VII) Book Chapters/Proceedings 

Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2012). Meanvariance Precommitment Policies Revisited via a Meanfield Technique. Recent Advances in Financial Engineering 2012, 177198.

Cheung, P. L., Ng, T. W., and Yam, S. C. P. (2014). Critical Points of Random Finite Blaschke Products with Independent and Identically Distributed Zeros.Complex Analysis and Potential Theory with Applications, 9th International Society for Analysis, its Applications and Computation (ISAAC) Congress, Krakow, Poland, in August 2013. Cambridge Scientific Publishers.

Siu, C. C., Yam, S. C. P., and Zhou, W. (2015).Callable Stock Loans. Recent Advances in Financial Engineering 2014, World Scientific.

Bensoussan, A., Frehse, J., Peng, S. and Yam, S. C. P. (2019). Parabolic Equations with Quadratic Growth in R^n. Invited book chapter in Contributions to Partial Differential Equations and Applications, SpringerVerlag, 91110.

Bensoussan, A., Cheung, H. and Yam, S. C. P. (2021). Control in Hilbert Space and First Order Mean Field Type Problem. Invited book chapter in Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative Volume to Honor Mark H. A. Davies’ Contributions, SpringerVerlag.

(VIII) Working Papers 

Tsai, J., Yam, S. C. P., and Zhou, W. (2011). Conformal invariance of the exploration path in 2d critical bond percolation in the square lattice. arXiv preprint arXiv:1112.2017.

Bensoussan, A., Mertz, L., Yam, S. C. P., and Zhang, Z. (2012). Mean Field Stopping Games.

Wong, K. C., Yam, S. C. P., and Zhou, W. (2012) Robust Bounds for American Calls with Small Dividend Payments.

Chan, K. C. G., Lai, Y., Yam, S. C. P., and Zhang, Z. (2013). Global Semiparametric Efficient Weighted Estimating Equation for Missing Data.

Bensoussan, A., Chau, M. H. M., Siu, C. C., and Yam, S. C. P. (2014). Systemic Risk with a Regulator.

Chen, P., He, X..Z., Siu, C. C., and Yam, S. C. P. (2015). A Nash Game between Timeinconsistent Insurers.

Sethi, S. P. and Yam, S. C. P. (2019). Intertemporal Pension Fund Management.

Cass, T., Chau, M. H. M and Yam, S. C. P. (2016). The Pathwise Solutions to BSDEs Driven by Fractional Brownian Motion with Hurst Parameter Greater than 1/2.

Wong, K. C., and Yam, S. C. P. (2017). Riskadjusted Kelly’s Formula.

Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2017). Modelfree Credibility Formula.

Cheung, K. C., Yam, S. C. P. and Yuen, F. L. K. (2017). TVaR Minimizing Reinsurance under Adverse Selection.

Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2017). Biased Sampling Semiparametric Estimation in Survival Analysis.

Chan, L. L., Yam, S. C. P., and Zhang, X. (2017). Pricing of the Quadratic Variance Swaps: Asymptotic Approximation Approach.

Bensoussan, A., Li, Y., and Yam, S. C. P. (2018). ControlBoosting Algorithm.

Han, J. H., Li, Y. and Yam, S. C. P. (2018). Wellposedness of a Class of NonLipschitz BSDEs.

Cheung, K. C., Yam, S. C. P. and Zeng, J. (2019). Asymptotic Sub/Superadditivity of VaR for Risks with Regularly Varying Archimedean Copulas.

Cheung, K. C., Yam, S. C. P. and Zeng, J. (2019). Asymptotic Sub/Superadditivity of Multivariate Extreme Risks.

Chan, K. C. G., Chen, Sam Y. Z., Cheung, K. C., Ling, H. K. and Yam, S. C. P. (2019). Nonparametric Estimation for Multiplicative Censored Lengthbiased Data.

Ng, T. H., Yam, S. C. P. and Zhou, W. (2019). Optimal Selling Time of Stock under a Nonconvex Benchmark.

(IX) Editorial Board Membership 
Associate Editor: 

Risks — Open Access Risk Management Journal

Journal of Industrial & Management Optimization

Insurance: Mathematics and Economics

Mathematics (MDPI)

(X) My Postgraduate Students 
Graduated PhD Students 
1) Zhou, W. (PhD, HKU (Maths)). Vice President of Equity Derivatives Quantitative Research in JP Morgan Chase & Co.
2) Wright, J. A. (PhD, HKU (Maths)). Faculty member in Department of Statistics, CUHK.
3) Zhang, Z. (PhD, CUHK (Statistics)). Faculty member in Institute of Statistics and Big Data, Renmin University of China.
4) Wong, K. C. (Joint PhD, ICL and HKU(Mathematical Finance)). Faculty member in School of Mathematical Sciences, Dublin City University.
5) Lai, Y. (PhD, CUHK (Statistics)). Researcher in Department of Mathematics and Statistics, University of Calgary.
6) Li, Y. (PhD CityU HK (Stochastic Control)). Researcher in System Eng. & Eng. Management, CityU of HK.
7) Chau, M. H. M. (Joint PhD, ICL and HKU(Mathematical finance and stochastic analysis)). Associate of Credit Suisse, London, United Kingdom.
8) Zhang, Y. Y. (PhD, HKU (Statistics and Actuarial Science)). Actuarial Science and Bayesian Statistics. Faculty member in School of Statistics and Data Science, Namkai University of China. 
Graduated MPhil students 
1) Liu, F. (MPhil, HKU (Maths)). PhD in University of Waterloo. Faculty member in Georgia State University, USA.
2) Wong, K. C. (MPhil, HKU (Maths)). Joint PhD in Mathematical Finance at Imperial College London and The University of Hong Kong. Faculty member in School of Mathematical Sciences, Dublin City University.
3) Chau, M. H. M. (MPhil, CUHK (Risk Management Science)). Joint PhD in Mathematical Finance at Imperial College London and The University of Hong Kong. Associate of Credit Suisse, London, United Kingdom.
4) Chong, W. F. A. (MPhil, CUHK (Risk Management Science)). Joint PhD in Actuarial Science and Mathematical Finance at King’s College London and The University of Hong Kong. Faculty member in J.L. Doob Research Assistant Professor of Department of Mathematics of UIUC.
5) Huang, W. (MPhil, CUHK (Risk Management Science)). PhD in Statistics at University of Melbourne. Faculty member in University of Melbourne of Australia.
6) Ling, H. K. B. (MPhil, CUHK (Risk Management Science)). PhD in Statistics at Columbia University. Faculty member in Queen’s University of Canada.
7) Chau, K. W. (MPhil, HKU (Maths)). PhD in Numerical Finance at Delft University of Technology. Faculty member in University of Groningen of Netherlands.
8) Zhang, X. (CUHK, Risk Management Science). PhD in Numerical Finance in SEEM of CUHK. Quant at BNP Paribas.
9) Zeng, J. (CUHK, Risk Management Science). Pursuing Joint PhD in King’s College London and The University of Hong Kong.
10) Chan, Benjamin C. H. (CUHK, Statistics) Machine Learning and Data Analytics in Finance. Data Science Analyst at Cigna and pursuing a parttime PhD in Statistics and Actuarial Science of The University of Hong Kong. 
Current Postdoctoral Researchers 
1) Yuan, H. W. (PhD, CUHK (Maths)).
2) Ma, G. Y. (PhD, Uni. Wollongong (Maths)).
3) Zhang, R. (PhD, CUHK (Maths)). 
Current PhD Students 
1) Han, J. H. (PhD, CUHK (Statistics)). FBSDEs and Financial Mathematics.
2) Chan, Benjamin C. H. (PhD(Parttime), HKU (Statistics and Actuarial Science)) Machine Learning and Data Analytics in Finance and Insurance.
3) Chen, Sam Y. Z. (PhD, HKU (Statistics and Actuarial Science)). Actuarial Science and Asymptotic Statistics.
4) Shi, Y. F. (Joint PhD, HKU (Statistics and Actuarial Science) and SUST). Mathematical Finance.
5) Li, X. L. (Joint PhD, HKU (Statistics and Actuarial Science) and SUST). Mathematical Finance.
6) Zeng, J. (Joint PhD, King’s College London and HKU (Statistics and Actuarial Science)). Actuarial Science and Mathematical Finance.
7) Kennedy, A. (PhD, CUHK (Statistics)). Advertising Models, Applied Control Theory and Management Science.
8) Chu, D. T. (PhD, CUHK (Statistics)). Financial Mathematics and Data Analytics.
9) Zhou, Z. Y. (PhD, CUHK (Statistics)). Financial Mathematics and Data Analytics.
10) Ng, Kenneth T. H. (PhD, UIUC(Maths and Stat)). Actuarial Science and Financial Mathematics. 
Current MPhil Students 
1) Kaiser Fan (MPhil, Risk Management Science). Machine Learning. 