Graduate Students – HY Wong

PhD in Statistics

  • Ms. Cong, Qing [BSc CUHK] (in progress)
  • Mr. Fong, Si Cheng[BS, MS ICL] Co-advised with Prof. Tony Sit (in progress)
  • Mr. Zhuang, Sixian [BS HIT] (in progress)
  • Mr. Jia, Bowen [BSc CUHK, MSc UCD] (in progress)
  • Dr. Yin, Jie (Jane) [BSc Zhejiang U] (2023)
    • Thesis: Advanced stochastic models for risk management and machine learning for trading
    • Conference presentations supported by CUHK
      • SIAM Conference on Financial Mathematics and Engineering (FM21), June 2021, (virtual)
      • The 24th International Congress on Insurance: Mathematics and Economics, July 2021, (virtual).
    • Award:
      1. 2021-22 Research Exploration Award  by Department of Statistics, CUHK
    • Publication generated from the thesis:
      1. J. Yin and H.Y. Wong (2023). Bond portfolio optimization with long-range dependent credits. Journal of Industrial and Management Optimization. Doi: 10.3934/jimo.2022253
      2. J. Yin and H.Y. Wong. Deep LOB trading: Half a second please!. Expert Systems with Applications 213, Part A, 118899, 2023.
      3. J. Yin, B. Han and H.Y. Wong. COVID-19 and credit risk: A long memory perspective. Insurance: Mathematics and Economics 104, 15-34, 2022.
    • First job: Traded risk analytics manager, HSBC, Hong Kong.
  • Dr. Wang, Ling [BSc Shandong U] (2022)
    • Thesis: Mortality Modeling with Long-Range Dependence
    • Conference presentations supported by CUHK
      • The 10th Australasian Actuarial Education and Research Symposium, Melbourne, Australia, November 2019
      • SIAM Conference on Financial Mathematics and Engineering (FM21), June 2021, (virtual)
      • The 24th International Congress on Insurance: Mathematics and Economics, July 2021, (virtual).
    • Professional qualifications and awards:
      1. Hong Kong PhD Fellowship.
    • Publication generated from the thesis:
      1. L. Wang, M.C. Chiu, H.Y. Wong (2021). Volterra mortality model: Actuarial valuation and risk management with long-range dependence. Insurance: Mathematics and Economics 96, 1-14.
      2. L. Wang, H.Y. Wong (2021). Time-consistent longevity hedging with long-range dependence . Insurance: Mathematics and Economics 99, 25-41.
      3. L. Wang, M.C. Chiu, H.Y. Wong (2022). Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. Scandinavian Actuarial Journal, https://doi.org/10.1080/03461238.2022.2089050.
      4. L. Wang, K. Chen, M.C. Chiu, H.Y. Wong (2023). Optimal expansion of business opportunity. European Journal of Operational Research, to appear.
    • First job: Assistant Professor, China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China.
  • Dr. Yan, Tingjin [BSc Shandong U] (2021)
  • Dr. Chen Kexin [BSc, MPhil CUHK] (2021)
  • Dr. Han, Bingyan [BSc USTC] (2020)
    • Thesis: Time-inconsistency, Model Uncertainty, and Rough Volatility in Portfolio Selection.
    • Conference presentations supported by CUHK:
      1. SIAM Conference on Financial Mathematics & Engineering, Toronto, Canada, 2019.
      2. QMF2018, Sydney, Australia, 2018.
      3. The 21st International Congress on Insurance Mathematics and Economics, Vienna, Austria, 2017.
    • Publication generated from the thesis:
      1. Han, B., & Wong, H. Y. (2021). Robust control in a rough environment. Quantitative Finance.
      2. Han, B., Pun, C. S., & Wong, H. Y. (2021). Robust state-dependent mean-variance portfolio selection: a closed-loop approach. Finance and Stochastics.
      3. Yan, T., Han, B., Pun, C. S., & Wong, H. Y. (2020). Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility. Mathematics and Financial Economics.
      4. Han, B., & Wong, H. Y. (2020). Merton’s portfolio problem under Volterra Heston model. Finance Research Letters.
      5. Han, B., & Wong, H. Y. (2020). Mean-variance portfolio selection under Volterra Heston model. Applied Mathematics and Optimization.
      6. Han, B., & Wong, H. Y. (2019). Optimal investment and consumption problems under correlation ambiguity. IMA Journal of Management Mathematics.
    • Job: Assistant Professor of Financial Mathematics @ BNU-HKBU United International College and then Postdoctoral Assistant Professor, Department of Mathematics, University of Michigan.
  • Dr. Dong, Fangyuan [BSc Zhejiang U] (2017)
    • Thesis: Threshold Mean Reversion and Cointegration in Finance.
    • Conference presentations supported by CUHK:
      1. The 20th International Congress on Insurance Mathematics and Economics, Atlanta, USA, 2016.
      2. The 19th International Congress on Insurance Mathematics and Economics, Liverpool, UK, 2015.
      3. The 2nd IMA Conference on Mathematics and Finance, Manchester, UK, 2015
    • Awards:
      1. Hong Kong PhD Fellowship 2013-2016.
      2. Global Young Scientists Summit, Singapore, 2017.
    • Publication generated from the thesis:
      1. F. Dong and H.Y. Wong. Variance swap under the threshold Ornstein-Uhlenback model. Applied Stochastic Models for Business and Industry 33(5), 507-521, 2017.
      2. Z. Chi, F. Dong and H.Y. Wong. Option pricing with threshold mean reversion. Journal of Futures Markets. 37(2), 107-131, 2017.
      3. F. Dong and H.Y Wong. Longevity bond pricing under the threshold CIR model. Finance Research Letters 15, 195-207, 2015.
    • First job: Senior Analyst at Conning Asia Pacific Limited
  • Dr. Pun, Chi Seng [BSc Nankai U, MPhil CUHK] (2016)
    • Thesis: Robust Stochastic Control and High-Dimensional Statistics with Applications in Finance.
    • Conference presentations supported by CUHK:
      1. The 4th Asian Quantitative Finance Conference, Osaka, Japan, 2016.
      2. INFORMS Annual Meeting 2015, Philadelphia, Pennsylvania, USA, 2015.
      3. Culminating Workshop on Broad Perspecitves and New Directions in Financial Mathematics, LA, USA, 2015
      4. The 2nd CUHK Symposium on Statistics: Financial Risk Management, Hong Kong, 2014.
      5. Quantitative Methods in Finance, Sydney, Australia, 2014.
      6. INFORMS Annual Meeting 2014, San Francisco, USA, 2014.
      7. International Symposium on Differential Equations & Stochastic Analysis in Mathematical Finance, Tsinghua Sanya International Mathematics Forum, Sanya, China, 2014.
      8. The 17th International Congress on Insurance Mathematics and Economics, Copenhagen, Demark, 2013.
      9. The 6th CSDA International Conference on Computational and Financial Econometrics, Oviedo, Spain, 2012.
      10. The 16th International Congress on Insurance Mathematics and Economics, Hong Kong, 2012.
    • Professional qualifications and awards:
      1. 2016 Bruti-Liberati Prize of the Bachelier Finance Society for the best doctoral thesis in Quantitative Finance defended in 2015 and 2016
      2. Financial Risk Manager (FRM)
      3. The Best Student Research Paper (The First Place Award), INFORMS Financial Section 2015 (CUHK press release) (Wen Wei Po 17 Nov 2015)
      4. Reaching Out Award, CUHK, 2015 (a cash award for overseas research visits)
      5. Invited Fellow at Institute of Pure and Applied Mathematics (IPAM), UCLA
      6. Best Teaching Assistant Award, Department of Statistics, CUHK, 2014
      7. CTABE Postgraduate Scholarship, The Macau Government, 2013-2015.
    • Publication generated from the thesis:
      1. M.C. Chiu, C.S. Pun and H.Y. Wong. Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedy. Risk Analysis 38(8), 1532-1549, 2017.
      2. C.S. Pun and H.Y. Wong. Resolution of degeneracy in Merton’s portfolio problem. SIAM Journal on Financial Mathematics 7, 786-811, 2016.
      3. C.S. Pun, C.C. Siu and H.Y. Wong. Non-zero-sum stochastic differential reinsurance games subject to ambiguous correlation. Operations Research Letters 44, 578-586, 2016.
      4. 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, 2309-2388, 2016.
      5. C.S. Pun and H.Y. Wong. Robust non-zero-sum stochastic differential reinsurance games.  Insurance: Mathematics and Economics 68, 169-177, 2016.
      6. C.S. Pun and H.Y. Wong. Robust investment-reinsurance optimization with multiscale stochastic volatility. Insurance: Mathematics and Economics 62, 245-256, 2015.
      7. 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, 571-580, 2015.
      8. C.S. Pun and H.Y. Wong. CEV asymptotics of American options. Journal of Mathematical Analysis and Applications 403, 451-463, 2013.
    • Job: Assistant Professor and tenured Associate Professor in Division of Mathematical Sciences, Nanyang Technological University, Singapore.
  • Dr. Wang, Ying [Bsc Wuhan U] (2016)
    • Thesis: Estimations and Applications of Some Stochastic Volatility Models.
    • Conference supported by CUHK:
      1. Joint Statistical Workshop of CUHK and Academia Sinica, Taipei, Taiwan, 2015.
      2. Quantitative Methods in Finance (QMF), Sydney, Australia.
    • Publication generated from the thesis:
      1. Y. Wang, B. Choy  and H.Y. Wong. Bayesian option pricing framework with stochastic volatility. Risks. 4(4), 51; doi:10.3390/risks4040051, 2016.
      2. Y.Wang and H.Y. Wong. VIX forecast under different volatility specifications. Asia-Pacific Financial Markets 24(2), 131-148, 2017.
    • Job: Department of Risk Management, BOC Group Insurance Ltd, and then Senior Financial Engineer at Numerix
  • Dr. Li, Jing [BSc SYSU] (2015) cosupervised with Prof. Lingfei Li
    • Thesis: Applications of Additive Subordination in Derivatives Pricing
    • Publication generated from the thesis:
      1. J. Li, L. Li and G. Zhang. Pure jump models for pricing and hedging VIX derivatives. Journal of Economic Dynamics and Control 74(1), 28-55, 2017
      2. J. Li, L. Li and R. Mendoza-Arriaga. Additive subordination and its applications in finance. Finance and Stochastics 20(3), 589-634, 2016.
    • First job: Alternative Investments, CITIC Securities Co LTD, Beijing
  • Dr. Wong, Tat Wing [BSc, MPhil CUHK] (2014)
    • Thesis: Longevity Risk Management with Continuous-Time Cointegration Models.
    • Conference presentations supported by CUHK:
      1. The 17th Congress on Insurance Mathematics and Economic, Copenhagen, Denmark, 2013.
      2. The 16th Congress on Insurance Mathematics and Economic, Hong Kong, 2012.
      3. The 7th World Congress of Bachelier Finance Society, Sydney, Australia, 2012
      4. Quantitative Finance Day, Hong Kong Consortium of Quantitative Finance,  (Invited talk), Hong Kong, 2012.
    • Professional qualifications: FRM; Associate of the Society of Actuaries.
    • Publication generated from the thesis:
      1. T.W. Wong, M.C. Chiu and H.Y. Wong (2015), Managing mortality risk with longevity bonds when mortality rates are cointegrated. Journal of Risk and Insurance, DOI:10.1111/jori.12110 (Early view version).
      2. T.W. Wong, M.C. Chiu and H.Y. Wong, A time-consistent hedging strategy of insurance mortality risk under mortality cointegration. Insurance: Mathematics and Economics 56, 56-67, 2014.
      3. T.W. Wong and H.Y. Wong. Valuation of stock loans using exponential phase-type Levy models. Applied Mathematics and Computation 222,
        275-289, 2013.
      4. T.W. Wong and H.Y. Wong. Stochastic volatility asymptotics of stock loan: Valuation and optimal stopping. Journal of Mathematical Analysis and Applications 394(1), 337-346, 2012.
    • Job: Lecturer and Assistant Professor of Finance, BNU-HKBU United International College, and then Lecturer of Statistics at CUHK
  • Dr. Zhao, Jing [BSc Fudan, MPhil CUHK] (2010)
    • Thesis: General Diffusions: Financial Applications, Analysis and Extension.
    • Conference presentations supported by CUHK:
      1. Quantitative Methods in Finance Conference, Sydney, Australia, 2007.
      2. Second Annual Risk Management Conference, Risk Management Institute, National University of Singapore, 30th June 2008 – 2nd July 2008, Singapore.
    • Publication generated from the thesis:
      1. H.Y. Wong and J. Zhao. Valuing American Options under the CEV model by Laplace-Carson Transforms. Operations Research Letters. 38(5), 474-481, 2010.
      2. J. Zhao and H.Y. Wong. A Closed-Form Solution to American Options under General Diffusions. Quantitative Finance 12(5), 725-737, 2012.
      3. H.Y. Wong and J. Zhao. Currency Option Pricing: Mean Reversion and Multi-Scale Stochastic Volatility. Journal of Futures Markets 30(10), 938-956, 2010.
      4. 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), 2183-2209, 2008.
      5. 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.
    • Job: Lecturer, Senior Lecturer and then Associate Professor, Department of Finance, La Trobe Business School, La Trobe University, Australia.

M. Phil in Risk Management Science and MPhil in Statistics

  • Ms Liang, Kelly [MPA Columbia] (Statistics, 2022)
    • Thesis: The SIRD model and credit default swap under COVID-19
    • First job: Lecturer, Faculty of Finance, City University of Macau
  • Ms Hu, Yuhan [BSc CUHK] (Risk Management, 2022)
    • Thesis: The SIRD-model and crude oil derivatives pricing under COVID-19
    • Publication:
      1. Paper. Journal.
    • First job: Alibaba
  • Mr. Tsang, Man Yiu [BSc CUHK] (Risk Management, 2020) cosupervised with Prof. Tony Sit
    • Thesis: Applications of Convex Optimization and Stochastic Programming in Finance
    • Publication:
      1. M.Y. Tsang, T. Sit and H.Y. Wong (2022). Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty. Applied Mathematics and Optimization.
    • PhD@Lehigh.
  • Mr. Tsang, Ka Ho [BSc CUHK] (Risk Management, 2020)
    • Thesis: Deep-learning solution to portfolio selection with serially-dependent returns
    • Publication:
      1. K.H. Tsang and H.Y. Wong (2020). Deep-learning solution to portfolio selection with serially-dependent returns. SIAM Journal of Financial Mathematics.
      2. Z. Li, K.H. Tsang and H.Y. Wong (2020). Lasso-based simulation for multi-period portfolio optimization. IMA Journal of Management Mathematics.
    • First job: Data scientist @ Lala move.
  • Mr. Xi, Yiru [BSc CUHK] (Risk Management, 2020)
    • Thesis: Generalized Variance Swaps under Rough Volatility. Preliminary results are presented in Quantitative Methods in Finance 2019 Sydney, Australia.
    • Publication:
      1. Yiru Xi and H.Y. Wong.(2021). Discrete variance swap in a rough volatility economy. Journal of Futures Markets.
    • First job: Graduate Talent in Equities, UBS.
  • Ms. Gu, Zhiling [BSc CUHK] (Risk Management, 2019)
    • Thesis: Radial Basis Collocation Methods for American Option Pricing Preliminary result was presented Quantitative Methods in Finance Conference 2018 at Sydney, Australia.
    • PhD @ Iowa State
  • Dr. Chen, Kexin Spirit [BSc CUHK] (Risk Management, 2018)
  • Dr. Xing, Yue Kelly [BSc CUHK] (Risk Management, 2018) cosupervised with Prof. Tony Sit
    • Thesis: Importance sampling-based simulation for non-linear portfolios’ risk measures. Preliminary result was presented in the 21st International Congress on Insurance Mathematics and Economics (IME), Vienna, Austria, 2017.
    • Publication:
      1. Sit, T., Xing, Y., Xu, Y., Gu, M. (2018), Pseudo value method for ultra high-dimensional semiparametric models with lift-time data, Statistica Sinica.
      2. Y. Xing, T. Sit and H.Y. Wong (2021). Variance reduction for risk measures with importance sampling. Quantitative Finance.
    • PhD @ Purdue
  • Mr. Li, Zhongyu [BSc CUHK] (Risk Management 2017)
    • Thesis: Multi-Period Mean-Variance Optimization for High-Dimensional Portfolio based on Monte-Carlo Simulation. Preliminary result was presented in Quantitative Methods in Finance Conference 2016 at Sydney, Australia.
    • Publication:
      1. Z. Li, K.H. Tsang and H.Y. Wong (2020). Lasso-based simulation for multi-period portfolio optimization. IMA Journal of Management Mathematics.
    • First job: Assistant Manager at Department of Risk Management, DBS (HK) Limited
  • Ms Feng, Menglu [BSc CUHK] (Risk Management 2017)
    • Thesis: Optimal Investment Strategy for Cointegrated Assets with Transaction Costs and Position Limits. Preliminary result was presented in Quantitative Methods in Finance Conference 2016 at Sydney, Australia.
    • Publication:
      1. M. Feng, M.C. Chiu and H.Y. Wong. Pairs trading with illiquidity and positions limits. Journal of Industrial and Management Optimization, 16(6),2991-3009, 2020.
    • First job: Risk and Valuation Anaylst at Societe Generale
  • Ms. Chen, Junyao [BSc SYSU] (Risk Management 2016) cosupervised with Prof. Tony Sit
    • Thesis: Simulation-based Value-at-Risk for High-dimensional Nonlinear Portfolios. Preliminary result was presented in Quantitative Methods in
      Finance Conference 2015 at Sydney, Australia.
    • Publication:
      1. J. Chen, T. Sit and H.Y. Wong (2019). Simulation-based Value-at-Risk for nonlinear portfolios. Quantitative Finance. DOI:10.1080/14697688.2019.1598568.
    • First job: Market Risk Analyst, KGI
  • Mr. Kwok, Kai Yin [BSc CUHK] (Risk Management 2016)
    • Thesis: Stochastic Differential Game Analysis with Cointegration. Preliminary result was presented in the 19th International Congress on Insurance Mathematics and Economics (IME), University of Liverpool, Liverpool, UK, June 2015.
    • Publication:
      1. K.Y. Kwok, M.C. Chiu and H.Y. Wong (2016). Demand for longevity securities under relateive performance concerns: Stochastic differential game analysis with cointegration. Insurance: Mathematics and Economics 71, 353-366, 2016.
    • First job: Department of Product Control, HSBC
  • Ms Xiao, Shiyu [BSc CUHK] (Risk Mangement 2016)
    • Thesis: Time Series Models Based Pricing of Multivariate Derivatives. Preliminary result was presented in Quantitative Methods in
      Finance Conference 2015 at Sydney, Australia.
    • First job: Quant, Numerix
  • Ms Liang, Wanyang [BSc Zhejiang] (Risk Management 2015)
    • Thesis: The Hull-White Interest Rate Model with Stochastic Volatility after the Credit Crunch. Preliminary result was presented in Quantitative Methods in Finance Conference 2014 at Sydney, Australia.
    • Publication:
      1. M.C. Chiu, W. Liang and H.Y. Wong. Dual-curve Hull-White interest rate model with stochastic volatility. Japan Journal of Industrial and Applied Mathematics. 34(3), 711-715, 2017.
    • First job: Department of Risk Management, DBS (HK) Limited
  • Ms Chi, Zeyu [BSc HKBU] (Risk Management 2014)
    • Thesis: Derivatives Pricing with Threshold Mean-Reverting Process. Preliminary result was presented in Quantitative Methods in Finance Conference 2013 at Sydney, Australia.
    • Publication:
      1. Z. Chi, F. Dong and H.Y Wong. Option pricing with threshold mean reversion. Journal of Futures Markets. 37(2), 107-131, 2017
    • First job: Department of Risk Management, DBS (HK) Limited and then a quant at Citi in New York.
  • Mr. Leung, Man Hau [BSc CUHK] (Risk Management 2014)
    • Thesis: Option Pricing on Multiple Assets with Uncertain Correlation. Preliminary result was presented in Quantitative Methods in Finance Conference 2013 at Sydney, Australia.
    • Publication:
      1. M.H. Leung and H.Y. Wong. Option pricing with ambiguous correlation and fast mean-reverting volatilities. Recent Advances in Financial Engineering 2014: Proceedings of the TMU Finance Workshop 2014, edited by Masaaki Kijima, Yukio Muromachi and Takashi Shibata,
        133-159.
    • First job: Quant, Numerix
  • Mr. Chan, Sau Lung [BSc CUHK] (Risk Management 2013) cosupervised with Dr. Remus Ho
    • Thesis: Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises and Jump Diffusion. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
    • First job: OTC market clearing, Hong Kong Exchanges and Clearing Limited (HKEx)
  • Mr. Chung, Shing Fung [BSc CUHK] (Risk Management 2013)
    • Thesis: An Analytical Solution for Arithmetic Asian Options under a Mean Reverting Jump Diffusion Model. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
    • Publication:
      1. 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, 130-140, 2014.
      2. 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, 246(2), 476-486, 2015.
    • JP Morgan
  • Dr. Pun, Chi Seng [BSc Nankai] (Risk Management 2013)
    • Thesis: CEV Astmptotics of American Options. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
    • Publication:
      1. C.S. Pun and H.Y. Wong. CEV astmptotics of American options. Journal of Mathematical Analysis and Applications 403(2), 451-463,
        2013.
      2. 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, 246(2), 476-486, 2015.
    • Completed his PhD student under my supervision.
  • Ms Wang, Weiyin [BSc CUHK] (Risk Management 2013)
    • Thesis: FFT-network for Bivariate Levy Option Pricing. Preliminary result was presented in the 16th Congress on Insurance Mathematics and Economic (IME), HKU, Hong Kong and the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), December, 2012, Oviedo, Spain.
    • Publication:
      1. M.C. Chiu, W. Wang and H.Y. Wong. (2020). FFT-network for bivariate Levy option pricing. Japan Journal of Industrial and
        Applied Mathematics. doi:10.1007/s13160-020-00439-7.
    • First job: Department of Risk Management, DBS Hong Kong
  • Mr. Chi, Chengzhan [BSc HKU] (Risk Management 2013)
    • Thesis: Barrier Option Pricing with Nonparametric ACE Methods. Preliminary result was presented in Quantitative Methods in Finance Conference 2011 at Sydney, Australia.
    • First job: Ernst & Young
  • Ms Xu, Zhuolu [BSc SYSU] (Risk Management 2012)
    • Thesis:FFT Network for An Interest Rate Model under Levy Processes. Preliminary result was presented in Quantitative Methods in Finance Conference 2011 at Sydney, Australia.
    • Publication:
      1. 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), 675-710, 2017.
    • First job: Quant, Numerix
  • Dr. Gao, Fei [BSc CUHK] (Risk Management 2011)
    • Thesis: Esscher Transformation of Option Pricing on a Mean-reverting Asset with GARCH. Preliminary result was presented in Quantitative Methods in Finance Conference 2010 at Sydney, Australia.
    • Completed her PhD at SMU and then Assistant Professor at Singapore Institute of Technology
  • Dr. Wong, Tat Wing [BSc CUHK] (Risk Management 2011)
    • Thesis: Valuation of Stock Loans under Exponential Phase-type Levy Models. Preliminary result was presented in Quantitative Methods in Finance Conference 2010 at Sydney, Australia.
    • Publication:
      1. T.W. Wong and H.Y. Wong. Stochastic volatility asymptotics of stock loan: Valuation and optimal stopping. Journal of Mathematical Analysis and Applications 394(1), 337-346, 2012.
      2. T.W. Wong and H.Y. Wong. Valuation of stock loans using exponential phase-type Levy models. Applied Mathematics and Computation 222(1), 275-289, 2013.
    • Completed his PhD under my supervision.
  • Ms Zheng, Fangbing [BSc Tsinghua](Risk Management 2010)
    • Thesis: Option Pricing on Cointegrated Assets with Stochastic Volatilities
    • Citic International Beijing.
  • Mr. Cheung, Kwan Hung, Edwin [BSc CUHK] (Risk Management 2010)
    • Thesis: The Levy Beta: Static Hedging with Index Futures. Preliminary result was presented in Quantitative Methods in Finance Conference 2009 at Sydney, Australia.
    • Publication:
      1. H.Y. Wong, E.K.H. Cheung and S.F. Wong. Levy betas: Static hedging with index futures. Journal of Futures Markets, 32(11), 1034-1059, 2012.
    • BNP Paribas
  • Mr. Lam, Ho Man [BSc CUHK] (Risk Management 2010)
    • Thesis: Martingale Estimation of Levy Processes and Its Extension to Structural Credit Risk Models. Preliminary result was presented in Quantitative Methods in Finance Conference 2009 at Sydney, Australia.
    • AVP, Merrill Lynch .
  • Dr. Wong, Shiu Fung [BSc CUHK] (Risk Management 2010)
    • Thesis: An Efficient Valuation of Participating Life Insurance Contracts under Levy Process. Preliminary result was presented in Quantitative Methods in Finance Conference 2009 at Sydney, Australia.
    • Publication:
      1. H.Y. Wong, E.K.H. Cheung and S.F. Wong. Levy betas: Static hedging with index futures. Journal of Futures Markets, 32(11), 1034-1059, 2012.
    • Completed his PhD in Business and Economics, Macquarie University, Sydney, Australia, and then algo-trading fund manager.
  • Dr. Guan, Pei Qiu [BSc Jinan] (Risk Management 2009)
  • Mr. Lam, Yu Fung [BSc CUHK] (Risk Management 2009)
    • Thesis: Exchange Rate in A Target Zone: Estimation of Diffusion with Boundary Conditions.
    • Vice President, Market Risk, DBS.
  • Ms Chow, Chui Ngan [BSc CUHK] (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.
    • First Job: MSCI Barra
  • Mr. Lam, Ka Wai [BSc CUHK] (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.
    • HKEx.
  • Mr. Lo, Yu Wai [BSc CUHK] (Risk Management 2008)
  • Mr. Lau, Ka Yung [BSc CUHK] (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.
    • Manager, Department of Risk Management, BOCHK
  • Mr. Wong, Tsz Lim [BSc CUHK] (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.
    • Senior Statistician of Economic Statistics Division, Census and Statistics Department, HKSAR.
  • Dr. Zhao, Jing [BSc Fudan] (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.
    • Completed her PhD under my supervision.
  • Ms Leong, U Man [BSc CUHK] (Risk Management 2006)
    • Thesis: Trading Noise in Equity Price and Corporate Bond Pricing Models. The paper was presented in IME Congress 2006 at Katholieke Universiteit Leuven, Leuven, Belgium.
    • First Job: Penjing Asset Management
  • Mr. Li, Chin Pang [BSc CUHK] (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.
    • First job: Bank of East Asia
  • Mr. Chan, Chun Man Joseph [BSc CUHK] (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.
    • Vice President, Market Risk, Citic Bank International.
  • Mr. Li, Ka Leung [BSc CUHK] (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)
    • Senior Manager, E&Y
  • Mr. Choi, Tsz Wang [BSc CUHK] (Risk Management 2004)  cosupervised with Prof N.H. Chan
  • Mr. Cheung, Ying Lok [BSc CUHK] (Risk Management 2004) cosupervised with Prof N.H. Chan
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