
Official homepage
Selected Publications
Book/ Book Chapter:
[1]
N.H. Chan and H.Y. Wong (2015).
Simulation Techniques in Financial Risk Management
(2nd Edition), Wiley,
New York. Online
materials. [Book Review
of JASA (2007) for the first edition pp758759].
[2]
N.H. Chan and H.Y. Wong (2013).
Handbook of Financial Risk Management: Simulations and Case Studies,
Wiley, New York.
Online
materials.
[3] 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, 17071711.
[4] 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
10.1007/9783642172540_21), 579604.
Journal Articles (partial):

K.H. Tsang and H.Y. Wong (2020).
Deeplearning solution to portfolio selection with seriallydependent returns.
SIAM Journal on Financial Mathematics. To appear.

T. Yan , B. Han, C.S. Pun and H.Y. Wong (2020).
Robust timeconsistent meanvariance portfolio selection problem with multivariate stochastic volatility .
Mathematics and Financial Economics. To appear.

B. Han and H.Y. Wong (2020).
Merton's portfolio problem under Volterra Heston model.
Finance Research Letters. To appear.

B. Han and H.Y. Wong (2020).
Meanvariance portfolio selection with Volterra Heston model.
Applied Mathematics and Optimization
https://doi.org/10.1007/s00245020096583.

T. Yan and H.Y. Wong.
Openloop equilibrium reinsuranceinvestment strategy under meanvariance criterion with stochastic volatility.
Insurance: Mathematics and Economics 90, 105119, 2020.

B. Han and H.Y. Wong.
Optimal investmentconsumption problems under correlation
ambiguity. IMA Journal of Management Mathematics 31, 6989, 2020.

K. Chen, M.C. Chiu, Y.H. Shin and H.Y. Wong. Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. SIAM Journal on Financial Mathematics 10, 9771005, 2019.

Z. Li, K.H. Tsang and H.Y. Wong
(2019). Lassobased simulation for highdimensional portfolio
optimization. IMA Journal of Management
Mathematics.
https://doi.org/10.1093/imaman/dpz013

T. Yan and H.Y. Wong.
Openloop equlibrium strategy for meanvariance portfolio
problem under stochatic volatility. Automatica 107,
211223, 2019.

K. Chen, M.C. Chiu and H.Y.
Wong.
Timeconsistent meanvariance pairstrading with
regimeswitching cointegration. SIAM Journal on
Financial Mathematics 10(2), 632665, 2019.

M. Feng, M.C. Chiu and H.Y. Wong
(2019). Pairstrading with illiquidity and position limits. Journal of Industrial and Management Optimization.
doi:10.3934/jimo.2019090

J. Chen, T. Sit and H.Y.
Wong (2019).
Simulationbased valueatrisk for nonlinear portfolios.
Quantitative Finance, DOI: 10.1080/14697688.2019.1598568.

C.S. Pun and H.Y.
Wong.
A linear programming model for selecting sparse
highdimensional multiperiod portfolios. European
Journal of Operational Research 273(2), 754771, 2019.

K. Chen and H.Y. Wong.
Timeconsistent meanvariance hedging of an illiquid asset with
a cointegrated liquid asset. Finance Research Letters
29, 184192, 2019.

M.C. Chiu, H.Y. Wong and J. Zhao.
Dynamic safetyfirst expected utility model.
European Journal of Operational Research 271(1), 141154,
2018.
 M.C. Chiu and H.Y. Wong.
Robust dynamic pairs trading with cointegration.
Operations
Research Letters 46(2), 225232, 2018.

M.C. Chiu and H.Y. Wong.
Optimal investment for insurers with correlation risk: Risk
aversion and investment horizon. IMA Journal of
Management Mathematics 29, 207227, 2018. (IMA Journal of
Management Mathematics 2018 Best Paper Prize)

M.C. Chiu, C.S. Pun and H.Y.
Wong.
Big data challenges of highdimensional
continuoustime meanvariance portfolio selection and a remedy.
Risk Analysis 38(8), 15321549, 2017.

M.C. Chiu, Z. Xu and H.Y.
Wong.
FFT network for interest rate derivatives with Levy processes.
Japan Journal of Industrial and Applied Mathematics
34(3), 675710, 2017.
 M.C. Chiu, W. Liang and
H.Y. Wong. Dualcurve
HullWhite interest rate model with stochastic volatility.
Japan Journal of Industrial and Applied
Mathematics 34(3), 711745, 2017.

F. Dong and H.Y. Wong.
Variance swap under the threshold OrnsteinUhlenback model.
Applied Stochastic Models for Business and Industry
33(5), 507521, 2017.
 Z. Chi, F. Dong and
H.Y. Wong.
Option pricing with threshold mean reversion.
Journal of
Futures Markets 37(2), 107131, 2017.

C.S. Pun and H.Y. Wong.
Resolution of degeneracy in Merton's portfolio problem.
SIAM Journal on Financial Mathematics 7, 786811, 2016.
(The SIFIN featured article in JanFeb., 2017;
download from SSRN).

T.W. Wong, M.C. Chiu and H.Y.
Wong.
Managing mortality risk with longevity bonds when
mortality rates are cointegrated. Journal of Risk
and Insurance 84, 9871023, 2017.

K.Y. Kwok, M.C. Chiu and H.Y.
Wong.
Demand for longevity securities under relative
performance concerns: Stochastic differential games with
cointegration. Insurance: Mathematics and
Economics 71, 353366, 2016.

J.P. Fouque, C.S. Pun and H.Y.
Wong.
Portfolio optimization with ambiguous correlation and stochastic
volatilities. SIAM
Journal on Control and Optimization 54, 23092338, 2016. (download
from SSRN)
 Y. Wang,
B. Choy and H.Y. Wong. Bayesian option pricing framework
with stochastic volatility. Risks. 4(4), 51; doi:10.3390/risks4040051,
2016.
 C.S. Pun, C.C. Siu
and H.Y. Wong.
Nonzerosum reinsurance games subject to ambiguous correlations.
Operations Research Letters 44, 578586, 2016.

C.S. Pun and H.Y. Wong.
Robust nonzerosum stochastic differential reinsurance game.
Insurance: Mathematics and Economics 68, 169177, 2016.

F. Dong and H.Y Wong.
Longevity bond pricing under the threshold CIR model.
Finance Research Letters 15, 195207, 2015.

M.C. Chiu and H.Y. Wong.
Dynamic cointegrated pairs trading: Meanvariance
timeconsistent strategies. Journal of Computational and
Applied Mathematics, 290, 516534, 2015.

M.C. Chiu, H.Y. Wong and J.
Zhao.
Commodity derivatives pricing with cointegration
and stochastic covariances. European Journal of Operational
Research 246(2), 476486, 2015.

C.S. Pun and H.Y. Wong.
Robust investmentreinsurance optimization with
multiscale stochastic volatility. Insurance: Mathematics and
Economics 62, 245256, 2015.

C.S. Pun, S.F. Chung and H.Y. Wong.
Variance swap with mean reversion, multifactor stochastic
volatility and jumps. European Journal of Operational
Research,
245(2), 571580, 2015.

M.C. Chiu and H.Y. Wong.
Meanvariance assetliability management with asset correlation
risk and insurance liability. Insurance: Mathematics and
Economics 59, 300310, 2014.
 S.F.
Chung and H.Y. Wong.
Analytical pricing of discrete arithmetic Asian options with
mean reversion and jumps. Journal of Banking and Finance
44, 130140, 2014.
 M.C.Chiu and H.Y.
Wong.
Optimal investment for insurers with the extended CIR interest
rate model. Abstract and Applied Analysis (2014)
Article ID 129474, 12 pages,
http://dx.doi.org/10.1155/2014/129474, 2014.

T.W. Wong, M.C. Chiu and H.Y. Wong.
Timeconsistent meanvariance hedging of longevity risk: Effect
of cointegration. Insurance: Mathematics and Economics
56, 5667, 2014.
 M.C. Chiu and H.Y.
Wong.
Meanvariance portfolio selection with correlation risk.
Journal of Computational and Applied Mathematics 263,
432444, 2014.
 K.S. Leung, H.Y. Ng and
H.Y. Wong.
Stochastic skew in the interest rate cap market.
Journal
of Futures Markets. 34(12), 11461169, 2014.

T.W. Wong and H.Y. Wong.
Valuation
of stock loans using exponential phasetype Levy models. Applied Mathematics and Computation 222(1), 275289, 2013.
(Detailed proofs are contained in
the first draft, including the solution of hyperexponential
jumpdiffusion model.)
 C.S. Pun and
H.Y. Wong.
CEV
asymptotics of American options. Journal of Mathematical
Analysis and Applications 403(2), 451463, 2013.

H.Y. Wong and M.C. Chiu.
Homotopy analysis method for boundaryvalue problem of turbo
warrant pricing under stochastic volatility. Abstract and
Applied Analysis (2013), Article ID 682524, 5 pages,
http://dx.doi.org/10.1155/2013/682524, 2013.

M.C. Chiu and H.Y. Wong.
Optimal investment for an insurer with cointegrated assets: CRRA
utility. Insurance: Mathematics and Economics 52(1),
5264, 2013.
 M.C. Chiu and H.Y. Wong.
Meanvariance principle of managing cointegrated risky assets
and random liabilities. Operations Research Letters
41(1), 98106, 2013.

K.S. Leung, H.Y. Wong and H.Y. Ng.
Currency
option pricing with Wishart process. Journal of
Computational and Applied Mathematics 238, 156170, 2013.

M.C. Chiu, H.Y. Wong and D.
Li.
Roy's safetyfirst portfolio principle in financial risk
management of disastrous events. Risk Analysis
32(11), 18561872, 2012.
 M.C. Chiu and
H.Y. Wong.
Meanvariance assetliability management: Cointegrated assets
and insurance liabilities. European Journal of
Operational Research 223(3), 785793, 2012.

T.W. Wong and H.Y. Wong.
Stochastic volatility asymtotics of stock loan: Valuation and
optimal stopping. Journal of Mathematical Analysis and
Applications 394(1), 337346, 2012.

J. Zhao and H.Y. Wong.
A closedform solution to American options under general
diffusions. Quantitative Finance 12(5), 725737,
2012.
 N.H. Chan, H.Y. Wong and
J. Zhao. Structural model of credit migration.
Computational
Statistics and Data Analysis, 56(11), 34773491, 2012.

H.Y. Wong, E.K.H. Cheung, and S.F. Wong.
Levy betas: Static
hedging with index futures. Journal of Futures Markets,
32(11), 10341059, 2012.
 H.Y. Wong
and J. Zhao.
Optimal
dividends and bankruptcy procedures: Analysis of
OrnsteinUhlenbeck processes. Journal of Computational
and Applied Mathematics 236(2), 150166, 2011.
 M.C. Chiu, Y.W. Lo and H.Y. Wong.
Asymptotic
expansion for pricing options on meanreverting assets with
multiscale stochastic volatility. Operations Research
Letters 39(4), 289295, 2011.
 M.C.
Chiu and H.Y. Wong.
Meanvariance portfolio selection of cointegrated assets.
Journal of Economic Dynamics and Control 35(8), 13691385,
2011.
 H.Y. Wong
and J. Zhao.
An
artificial boundary method for the HullWhite model of American
interest rate derivatives. Applied Mathematics and
Computation 217(9), 46274643, 2011.

H.Y. Wong and P. Guan.
An
FFT network for Levy option pricing. Journal of Banking
and Finance 35(4), 988999, 2011.

H.Y. Wong and J. Zhao.
Valuing American options under the CEV model by LaplaceCarson
transforms. Operations Research Letters 38(5),
474481, 2010.
 H.Y. Wong and J. Zhao.
Currency option pricing: Mean reversion and multiscale
stochastic volatility. Journal of Futures Markets
30(10), 938956, 2010.

H.Y. Wong and K.W. Lam.
Valuation of discrete dynamic fund protection under Levy
processes. North American Actuarial Journal 13(2), 202216,
2009.

H.Y. Wong
and Y.W. Lo.
Option pricing with mean reversion and stochastic volatility.
European Journal of Operational Research
197, 179187, 2009.
 H.Y. Wong and T.W. Choi.
Estimating default barriers from market information.
Quantitative Finance 9(2), 187196, 2009.
 H.Y. Wong
and C.M. Chan.
Turbo warrants under stochastic volatility.
Quantitative
Finance 8(7), 739751, 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), 21832209, 2008.
 K.L. Li and
H.Y. Wong.
Structural models of corporate bond pricing with maximum
likelihood estimation. Journal of Empirical Finance
15(4), 751777, 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,
6173, 2008.
 H.Y. Wong and K.Y. Lau.
Pathdependent currency options with mean reversion, The
Journal of Futures Markets 28(3), 275293, 2008.

H.Y. Wong
and T.L. Wong.
Reducedform models with regime switching: An
empirical analysis for corporate bonds, AsiaPacific
Financial Markets 14(3), 229253, 2007.
 H.Y. Wong
and C.M. Chan.
Lookback options and dynamic fund protection
under multiscale stochastic volatility, Insurance:
Mathematics and Economics 40(3), 357385, 2007.

N.H. Chan and H.Y. Wong.
Data mining of resilience
indicators, IIE Transactions 39(6), 617627, 2007.

H.Y. Wong
and Y.L. Cheung,
Geometric Asian options: Valuation and
calibration with stochastic volatility, Quantitative Finance
4(3), 301314, 2004.

M. Dai, H.Y
Wong and Y.K. Kwok,
Quanto lookback options,
Mathematical
Finance 14(3), 445467, 2004.

H.Y. Wong
and Y.K. Kwok, Multiasset Barrier Options and Occupation Time
Derivatives, Applied Mathematical Finance 10 (3),
245266, 2003.
Refereed Proceeding
Articles (partial):
 H.Y. Wong
and K.Y. Lau. "Quanto Prewashing 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.
Working Papers (partial):
Professional Service
 Associate Editor, International Journal of Theoretical
and Applied Finance, 2005 
 Associate Editor, SIAM Journal on Financial Mathematics,
2016 
 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 2019)
 RMSC4007: Risk Management with
Derivatives Concepts
 RMSC4202: Practicum
(Spring 2020)
 RMSC4001: Simulation Techniques
to Risk Management and Finance
 RMSC4202:
Practicum
 RMSC6001: Interest Rates and Fixed Income Risk Management (MSc
course)
Graduate
Students
Awards Received by My Graduate
Students
 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
BrutiLiberati 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
Research Grants
Invited
Talks
Awards

CUHK Outstanding Fellow of Faculty of Science 20192024.

IMA Journal of Management Mathematics 2018 Best Paper Prize.

ViceChancellor's Exemplary Teaching Award of CUHK 2015.

Exemplary Teaching Awards, Faculty of Science, CUHK:
2006, 2009, 2011, 2015.

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
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
Journal of Risk and Insurance
Mathematical Finance
Quant Code
Quantitative Finance
Review
of Derivatives Research
Review of Financial Studies
Risk
Analysis: An International Journal
SIAM Journal on
Financial Mathematics
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: hywong [at] cuhk.edu.hk

