Research Grants – HY Wong

2024-:

Exploration in Dual: Reinforcement learning for intertemporal utility maximization. General Research Fund (GRF). Research Grant Council of Hong Kong. Amount: HK$748,049 (PI).

2023-2025:

Robust Duality with Optimal Stopping. General Research Fund (GRF). Research Grant Council of Hong Kong. Amount: HK$371,500 (PI).

2023-:

Stochastic Control with Pandemic Risk: Modeling, Learning and Decision Making. General Research Fund (GRF). Research Grant Council of Hong Kong. Amount: HK$600,000 (Co-I). The PI is Dr. Chen Kexin.

2022-2022:

High performance GPU computing system, CUHK Academic Equipment Grant. Amount: HK$1,159,000 (PI).

2021-:

High-performing Computation in Statistical Learning, Artificial Intelligence and Their Applications. Research Matching Grant Scheme (RMG), Research Grant Council of Hong Kong. Amount: HK$9,999,951 (PI).

2016-2018:

High Dimensional Dynamic Portfolio Selection. General Research Fund (GRF), Research Grant Council of Hong Kong. Amount: HK$462,521 (PI).

2011-2015:

Application and Theories of Cointegration Dynamics for Financial Mathematics. General Research Fund (GRF), Research Grant Council of Hong Kong. Amount: HK$893,228 + 20,000 (top-up from CUHK) (PI).

2010-2012:

FFT Network for Interest Rate Derivatives under Levy Processes, Direct Grant of Research of CUHK. Amount: HK$50,000 (PI).

2009-2011:

Optimal Target Return Funds Strategies, Direct Grant of Research of CUHK. Amount: HK$60,000 (PI).

2008-2011:

American Option Pricing under CEV, General Research Fund (GRF), Research Grant Council of Hong Kong. Amount: HK$293,700 + 20,000 (top-up from CUHK) (PI).

2006-2009:

Embedded Options in Insurance Contracts with Stochastic Interest Rate and Volatility, Competitive Earmarked Research Grant (GRF), Research Grant Council of Hong Kong. Amount: HK$250,000 (PI).

2004-2005:

Valuing General American Style Options with Sub-replication and Replenishing Premium Approach, Direct Grant of Research of CUHK. Amount: HK$100,000 (PI).

2003-2006:

A Structural Model of Credit Migrations, Competitive Earmarked Research Grant (GRF), Research Grant Council of Hong Kong. Amount: HK$300,000 (PI).

2002-2003:

Resilience Indicators — Measures of an Economy’s Ability to Withstand Financial Shocks, The Hong Kong Monetary Authority. Amount: HK$400,000. (CI). The PI is Prof. Chan, Ngai Hang.

2002-2003:

A Model of Credit Migration, Direct Grant of Research of CUHK. Amount: HK$148, 000. (PI)