Academic Background
PhD (HKUST)
MPhil (HKUST)
BSc (HKBU)
Research Interest
Selected Publication
Book / Book Chapter:
- N.H. Chan and H.Y. Wong (2015). Simulation Techniques in Financial Risk Management, 2nd Ed., Wiley, New York. Online materials.
- N.H. Chan and H.Y. Wong (2013). Handbook of Financial Risk Management: Simulations and Case Studies, Wiley, New York. Online materials.
- 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.
- 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):
- M.Y. Tsang, T. Sit and H.Y. Wong. (2024+). Adaptive robust online portfolio selection, European Journal of Operational Research (accepted).
- B. Jia and H.Y. Wong. Deep impulse control: Application to interest rate intervention, Quantitative Finance 24, 221-232, 2024
- K. Chen and H.Y. Wong. Duality in optimal consumption–investment problems with alternative data, Finance and Stochastics 28, 709-758, 2024.
- T. Yan, M.C. Chiu and H.Y. Wong. Portfolio liquidation with delayed information, Economic Modelling 126, 106398, 2023.
- B. Jia, L. Wang and H.Y. Wong (2023). Machine learning of surrender: Optimality and humanity, Journal of Risk and Insurance. https://doi.org/10.1111/jori.12428.
- K. Park and H.Y. Wong. Robust retirement with return ambiguity: Optimal G-stopping time in dual space, SIAM Journal on Control and Optimization 61, 1009-1037, 2023.
- K. Park, H.Y. Wong and T. Yan (2023). Robust retirement and life insurance with inflation risk and model ambiguity, Insurance: Mathematics and Economics. https://doi.org/10.1016/j.insmatheco.2023.01.003.
- L. Wang, K, Chen, M.C. Chiu and H.Y. Wong (2023). Optimal expansion of business opportunity, European Journal of Operational Research. https://doi.org/10.1016/j.ejor.2022.12.041.
- 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
- J. Yin and H.Y. Wong. Deep LOB trading: Half a second please!. Expert Systems with Applications 213, Part A, 118899, 2023.
- K. Chen, C.S. Pun and H.Y. Wong. Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations. European Journal of Operational Research 304, 84-98, 2023.
- T. Yan, K. Park and H.Y. Wong. Irreversible reinsurance: A singular control approach. Insurance: Mathematics and Economics, 107, 326-348, 2022.
- L. Wang, M.C. Chiu, and 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.
- B. Han, C.S. Pun and H.Y. Wong (2022). Robust time-inconsistent stochastic linear-quadratic control with drift disturbance. Applied Mathematics and Optimization, https://link.springer.com/article/10.1007/s00245-022-09871-2.
- 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, https://link.springer.com/article/10.1007/s00245-022-09856-1.
- K. Park, H.Y. Wong. Robust consumption-investment with return ambiguity: A dual approach with volatility ambiguity. SIAM Journal on Financial Mathematics 13, 802-843, 2022.
- T. Yan, H.Y. Wong. Equilibrium pairs-trading under delayed cointegration. Automatica144, 110498, 2022.
- T. Yan, M.C. Chiu, H.Y. Wong. Pairs trading under delayed cointegration. Quantitative Finance 22, 1627-1648, 2022
- 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.
- Y. Xing, T. Sit and H.Y. Wong. Variance reduction for risk measures with importance sampling. Quantitative Finance 22, 657-673, 2022.
- B. Han and H.Y. Wong. Robust control in a rough environment. Quantitative Finance 22, 481-500, 2022.
- K. Chen, J. Jeon and H.Y. Wong. Optimal retirement under partial information. Mathematics of Operations Research 47, 1802-1832, 2022.
- B. Han and H.Y. Wong. Time-inconsistency with rough volatility. SIAM Journal on Financial Mathematics 12, 1553-1593, 2021.
- Y. Xi and H.Y. Wong. Discrete variance swap pricing in a rough volatility economy. Journal of Futures Markets 41,1640-1654, 2021.
- B. Han, C.S. Pun and H.Y. Wong. Robust state-dependent mean-variance portfolio selection: A closed-loop approach. Finance and Stochastics 25, 529-561. 2021.
- L. Wang and H.Y. Wong . Time-consistent longevity hedging with long-range dependence . Insurance: Mathematics and Economics 99, 25-41, 2021.
- L. Wang, M.C. Chiu and H.Y. Wong . Volterra mortality model: Actuarial valuation and risk management with long-range dependence. Insurance: Mathematics and Economics 96, 1-14, 2021.
- B. Han and H.Y. Wong. Merton’s portfolio problem under Volterra Heston model. Finance Research Letters 39, 101580, 2021.
- B. Han and H.Y. Wong. Mean-variance portfolio selection with Volterra Heston model. Applied Mathematics and Optimization 84, 683-710, 2021.
- K.H. Tsang and H.Y. Wong . Deep-learning solution to portfolio selection with serially-dependent returns. SIAM Journal on Financial Mathematics 11(2), 593-619, 2020. (Featured article selected in July 2020)
- T. Yan , B. Han, C.S. Pun and H.Y. Wong. Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility . Mathematics and Financial Economics 14, 699-724, 2020.
- T. Yan and H.Y. Wong. Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility. Insurance: Mathematics and Economics 90, 105-119, 2020.
- B. Han and H.Y. Wong. Optimal investment-consumption problems under correlation ambiguity. IMA Journal of Management Mathematics 31, 69-89, 2020.
- Z. Li, K.H. Tsang and H.Y. Wong. Lasso-based simulation for high-dimensional portfolio optimization. IMA Journal of Management Mathematics, 31(3), 257-280, 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, 977-1005, 2019.
- T. Yan and H.Y. Wong. Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility. Automatica 107, 211-223, 2019.
- K. Chen, M.C. Chiu and H.Y. Wong. Time-consistent mean-variance pairs-trading with regime-switching cointegration. SIAM Journal on Financial Mathematics 10(2), 632-665, 2019.
- J. Chen, T. Sit and H.Y. Wong. Simulation-based value-at-risk for nonlinear portfolios. Quantitative Finance, 19(10), 1639-1658, 2019.
- C.S. Pun and H.Y. Wong. A linear programming model for selecting sparse high-dimensional multi-period portfolios. European Journal of Operational Research 273(2), 754-771, 2019.
- K. Chen and H.Y. Wong. Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset. Finance Research Letters 29, 184-192, 2019.
- M.C. Chiu, H.Y. Wong and J. Zhao. Dynamic safety-first expected utility model. European Journal of Operational Research 271(1), 141-154, 2018.
- M.C. Chiu and H.Y. Wong. Robust dynamic pairs trading with cointegration. Operations Research Letters 46(2), 225-232, 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, 207-227, 2018. (IMA Journal of Management Mathematics 2018 Best Paper Prize)
- 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.
- 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.
- Z. Chi, F. Dong and H.Y. Wong. Option pricing with threshold mean reversion. Journal of Futures Markets 37(2), 107-131, 2017.
- C.S. Pun and H.Y. Wong. Resolution of degeneracy in Merton’s portfolio problem. SIAM Journal on Financial Mathematics 7, 786-811, 2016. (The SIFIN featured article in Jan-Feb., 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, 987-1023, 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, 353-366, 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, 2309-2338, 2016. (download from SSRN)
- C.S. Pun, C.C. Siu and H.Y. Wong. Non-zero-sum reinsurance games subject to ambiguous correlations. Operations Research Letters 44, 578-586, 2016.
- C.S. Pun and H.Y. Wong. Robust non-zero-sum stochastic differential reinsurance game. Insurance: Mathematics and Economics 68, 169-177, 2016.
- F. Dong and H.Y Wong. Longevity bond pricing under the threshold CIR model. Finance Research Letters 15, 195-207, 2015.
- M.C. Chiu and H.Y. Wong. Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies. Journal of Computational and Applied Mathematics, 290, 516-534, 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), 476-486, 2015.
- C.S. Pun and H.Y. Wong. Robust investment-reinsurance optimization with multiscale stochastic volatility. Insurance: Mathematics and Economics 62, 245-256, 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), 571-580, 2015.
- M.C. Chiu and H.Y. Wong. Mean-variance asset-liability management with asset correlation risk and insurance liability. Insurance: Mathematics and Economics 59, 300-310, 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, 130-140, 2014.
- T.W. Wong, M.C. Chiu and H.Y. Wong. Time-consistent mean-variance hedging of longevity risk: Effect of cointegration. Insurance: Mathematics and Economics 56, 56-67, 2014.
- M.C. Chiu and H.Y. Wong. Mean-variance portfolio selection with correlation risk. Journal of Computational and Applied Mathematics 263, 432-444, 2014.
- 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. (Detailed proofs are contained in the first draft, including the solution of hyper-exponential jump-diffusion model.)
- C.S. Pun and H.Y. Wong. CEV asymptotics of American options. Journal of Mathematical Analysis and Applications 403(2), 451-463, 2013.
- M.C. Chiu and H.Y. Wong. Optimal investment for an insurer with cointegrated assets: CRRA utility. Insurance: Mathematics and Economics 52(1), 52-64, 2013.
- M.C. Chiu and H.Y. Wong . Mean-variance principle of managing cointegrated risky assets and random liabilities. Operations Research Letters 41(1), 98-106, 2013.
- K.S. Leung, H.Y. Wong and H.Y. Ng. Currency option pricing with Wishart process. Journal of Computational and Applied Mathematics 238, 156-170, 2013.
- M.C. Chiu, H.Y. Wong and D. Li. Roy’s safety-first portfolio principle in financial risk management of disastrous events. Risk Analysis 32(11), 1856-1872, 2012.
- M.C. Chiu and H.Y. Wong. Mean-variance asset-liability management: Cointegrated assets and insurance liabilities. European Journal of Operational Research 223(3), 785-793, 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), 337-346, 2012.
- J. Zhao and H.Y. Wong. A closed-form solution to American options under general diffusions. Quantitative Finance 12(5), 725-737, 2012.
- N.H. Chan, H.Y. Wong and J. Zhao. Structural model of credit migration. Computational Statistics and Data Analysis, 56(11), 3477-3491, 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), 1034-1059, 2012.
- H.Y. Wong and J. Zhao. Optimal dividends and bankruptcy procedures: Analysis of Ornstein-Uhlenbeck processes. Journal of Computational and Applied Mathematics 236(2), 150-166, 2011.
- M.C. Chiu, Y.W. Lo and H.Y. Wong. Asymptotic expansion for pricing options on mean-reverting assets with multiscale stochastic volatility. Operations Research Letters 39(4), 289-295, 2011.
- M.C. Chiu and H.Y. Wong. Mean-variance portfolio selection of cointegrated assets. Journal of Economic Dynamics and Control 35(8), 1369-1385, 2011.
- H.Y. Wong and J. Zhao. An artificial boundary method for the Hull-White model of American interest rate derivatives. Applied Mathematics and Computation 217(9), 4627-4643, 2011.
- H.Y. Wong and P. Guan. An FFT network for Levy option pricing. Journal of Banking and Finance 35(4), 988-999, 2011.
- 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.
- 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.
- 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.
- H.Y. Wong and Y.W. Lo. Option pricing with mean reversion and stochastic volatility. European Journal of Operational Research 197, 179-187, 2009.
- H.Y. Wong and T.W. Choi. Estimating default barriers from market information. Quantitative Finance 9(2), 187-196, 2009.
- H.Y. Wong and C.M. Chan. Turbo warrants under stochastic volatility. Quantitative Finance 8(7), 739-751, 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), 2183-2209, 2008.
- 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.
- H.Y. Wong and K.Y. Lau. Analytical valuation of turbo warrants under double exponential jump diffusion. Journal of Derivatives, Summer, 61-73, 2008.
- H.Y. Wong and K.Y. Lau. Path-dependent currency options with mean reversion, The Journal of Futures Markets 28(3), 275-293, 2008.
- H.Y. Wong and C.M. Chan. Lookback options and dynamic fund protection under multiscale stochastic volatility, Insurance: Mathematics and Economics 40(3), 357-385, 2007.
- N.H. Chan and H.Y. Wong. Data mining of resilience indicators, IIE Transactions 39(6), 617-627, 2007.
- H.Y. Wong and Y.L. Cheung, Geometric Asian options: Valuation and calibration with stochastic volatility, Quantitative Finance 4(3), 301-314, 2004.
- M. Dai, H.Y Wong and Y.K. Kwok, Quanto lookback options, Mathematical Finance 14(3), 445-467, 2004.
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, 2024-2029.
- 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.
Useful Links