YAM, Phillip 任尚智

Position Professor
Assistant Dean (Education)
Co-director, Interdisciplinary Major Program in Quantitative Finance and Risk Management Science
Fellow, Centre for Promoting Science Education, Faculty of Science
Email scpyam [at] cuhk.edu.hk
scpyam [at] sta.cuhk.edu.hk
Phone Number 3943 7941
Fax Number 2603 5188
Address LSB G19
Homepage http://www.sta.cuhk.edu.hk/scpy/
Personal Information
(I) Academic Background
(II) Honours and Awards
(III) Research Interest
(IV) Research Grants
(V) Teaching Grants
(VI) Books
(VII) Selected Publications in Refereed Journals
(VIII) Book Chapters/Proceedings
(IX) Working Papers
(X) Editorial Board Membership
(XI) My Postgraduate Students
(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
  1. Visiting Professor at Naveen Jindal School of Management, the University of Texas at Dallas, 2024-2026

  2. Silver Medal (2023), 48th International Exhibition of Inventions Geneva, Switzerland

  3. Visiting Professor at Department of Statistics, the Columbia University in the City of New York, 2016

  4. International Partnerships Development Programme 2013-14, OAL, The Chinese University of Hong Kong, Hong Kong

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

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

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

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

  9. *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
  1. (With T. Lyons) HKSAR-GRF 502408 (2009 to 2011). Application of the Theory of Rough Paths to Some Issues in Geometry.

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

  3. (With A. Bensoussan) HKSAR-GRF 404012 (2013 to 2016). Advanced Topics in Multivariate Risk Management in Finance and Insurance.

  4. HKSAR-GRF 14301015 (2015 to 2018). Advance in Mean Field Theory.

  5. HKSAR-GRF 14300717 (2017 to 2020). New kinds of Forward-backward Stochastic Systems with Applications.

  6. (With Gary Chan and Chuan-Fa Tang) HKSAR-GRF 14300319 (2019 to 2022). Shape-constrained Inference: Testing for Monotonicity.

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

  8. HKSAR-GRF 14300123 (2023 to 2026). Well-posedness of Some Poisson-driven Mean Field Learning Models and their Applications.

  9. (With T. Long) Germany/Hong Kong Joint Research Scheme G-CUHK411/23 (2024 to 2025). A Robust Data Analytics-based FBSDE Solver for High-dimensional Stochastic Control Problem.

Competitive Grants in the capacity as Co-Investigator
  1. (With A. Bensoussan (P.I.) and Cedric K. F. Yiu) HKSAR-GRF 500111 (2012 to 2015). Advanced Problems in Inventory Theory.

  2. (With A. Bensoussan (P.I.)) HKSAR-GRF 500113 (2013 to 2016). Mean Field Games and Mean Field Type Control Theory.

  3. (With A. Bensoussan (P.I.)) HKSAR-GRF 11303316 (2017 to 2019). Mean Field Control with Partial Information.

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

  5. (With H. Yang (P.I.) and T. Long (P.I.)) Germany/Hong Kong Joint Research Scheme G-HKU701/20 (2021 to 2023). Asymmetry in Dynamically Correlated Threshold Stochastic Volatility Model.

  6. (With T. K. Wong (P.I.)) HKSAR-GRF 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.

Non-Competitive Grants in the capacity as Principal Investigator
  1. (With T. Lyons) HKPU (A-PC0D) (2008 to 2010). New Directions in Computational Finance and Geometry via Rough Path Theory.

  2. CUHK Direct Grant 2060422 (2011 to 2012). Optimal Insurance Design under Neo-classical Financial Theories.

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

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

Non-Competitive Grants in the capacity as Co-Investigator
  1. (With L. K. Li) HKPU (1-ZVoH) (2008 to 2009). Periodic Signals for Nonlinear Systems.

  2. (With Eddie C. M. Hui) (2010 to 2012). HKPU Collaborative Research Grant (G-YH96).

(V) Teaching Grants
In the capacity as Principal Investigator
  1. (2022 to 2024). CUHK Teaching Grant: Incentive Scheme for Developing Collaborative Programmes. CUHK-Edinburgh Dual Undergraduate Degree Programmes.

  2. (With Krates H. N. Ng, Suzanne H. W. So, H. Y. Au-Yeung and H. K. Tso) (2023 to 2024). CUHK Teaching Development and Language Enhancement Grant (TDLEG) for the 2022-25 Triennium (Inter-institutional Collaborative Activities (IICAs) Portion). Computational Thinking (CT) as a Problem-solving Skill – A Multidisciplinary Virtual Learning Package.

In the capacity as Co-Investigator
  1. (With John A. Wright (P. I.), Cecilia Chun and K. C. Wong) (2021 to 2022). CUHK Teaching Development and Language Enhancement Grant (TDLEG) for the 2019-22 Triennium: 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.
    *A poster presentation based on this project was awarded the Gold Award for Educational Impact at the 2023 Teaching and Learning Innovation Expo, CUHK.

  2. (With John A. Wright (P. I.), Cecilia Chun, Y. S. Leung and K. C. Wong) (2023 to 2025). CUHK Teaching Development and Language Enhancement Grant (TDLEG) for the 2022-25 Triennium: 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 II.

(VI) Books
  1. 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.
  2. 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.
  3. Chen, Y., Cheung, K. C., and Yam, S. C. P. (2024+). Financial Data Analytics: with Machine Learning, Optimization and Statistics. To appear in Wiley Finance Series; John Wiley & Sons.

 

(VII) Selected Publications in Refereed Journals
Actuarial Science
Insurance and Reinsurance
  1. 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), 418-428.

  2. Cheung, K. C., Liu, F., and Yam, S. C. P. (2012). Average Value-at-Risk Minimizing Reinsurance under Wang’s Premium Principle with Constraints. Astin Bulletin, 42(02), 575-600.

  3. Chen, P., and Yam, S. C. P. (2013). Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers. Insurance: Mathematics and Economics, 53(3), 871-883.

  4. 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), 219-236.

  5. Cheung, K. C., Sung, K. C. J., Yam, S. C. P., and Yung, S. P. (2014). Optimal Reinsurance under General Law-invariant Risk Measures. Scandinavian Actuarial Journal, 2014(1), 72-91.

  6. Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2015). The Optimal Insurance under Disappointment Theories. Insurance: Mathematics and Economics, 64, 77-90.

  7. Siu, C. C., Yam, S. C. P., and Yang, H. (2015). Valuing Equity-Linked Death Benefits in a Regime-Switching Framework. Astin Bulletin, 45(02), 355-395.

  8. Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2015). Convex Ordering for Insurance Preferences. Insurance: Mathematics and Economics, 64, 409-416.

  9. Siu, C. C., Yam, S. C. P., Yang, H., and Zhao, H. (2017). A class of nonzero-sum investment and reinsurance games subject to systematic risks. Scandinavian Actuarial Journal, 8, 670-707.

  10. Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2019). Risk-adjusted Bowley Reinsurance under Distorted Probabilities. Insurance: Mathematics and Economics, 8, 64-72.

  11. Cheung, K. C., Yam, S. C. P. and Yuen, F. L. K. (2019). Reinsurance Contract Design with Adverse Selection. Scandinavian Actuarial Journal, 9, 784-798.

  12. 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, 155-165.

  13. 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, 216-229.

  14. Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2022). Satisficing Credibility for Heterogeneous Risks. European Journal of Operational Research, 298(2), 752-768.

Risk Management and Ruin Theory
  1. Cheung, K. C., Rong, Y., and Yam, S. C. P. (2014). Borch’s Theorem from the Perspective of Comonotonicity. Insurance: Mathematics and Economics, 54, 144-151.

  2. Chau, K. W., Yam, S. C. P., and Yang, H. (2015). Fourier-cosine Method for Ruin Probabilities.Journal of Computational and Applied Mathematics, 281, 94-106.

  3. Chau, K. W., Yam, S. C. P., and Yang, H. (2015). Fourier-cosine Method for Gerber–Shiu Functions. Insurance: Mathematics and Economics, 61, 170-180.

  4. Cheung, K. C., Chong, W. F. A., Elliott, R., and Yam, S. C. P. (2015). Disappointment Aversion Premium Principle. ASTIN Bulletin, 45(03), 679-702.

  5. 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, 394-407.

  6. Li, X. L., Shi, Y. F., Yam, S. C. P. and Yang, H. (2021). Fourier-cosine Method for Finite-time Gerber-Shiu Functions. SIAM Journal on Scientific Computing, 43(3), 650-677.

  7. Lee, W. Y. B., Liu, F., Li, X. L., Shi, Y. F. and Yam, S. C. P. (2021). Fourier-cosine Method for Finite-time Ruin Probabilities . Insurance: Mathematics and Economics, 99, 256-267.

  8. Chen, Y., Cheung, K. C., Yam, S. C. P., Yuen, F. L., and Zeng, J. (2023). On the Diversification Effectin Solvency II for Extremely Dependent Risks. Risks, 11(8), 143.

Applied Mathematics
Analysis and PDEs
  1. 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), 38-53.

  2. Bensoussan, A., Mertz, L., and Yam, S. C. P. (2012). Long Cycle Behavior of the Plastic Deformation of an Elasto-perfectly-plastic Oscillator with Noise. C. R. Acad. Sci. Ser. I, 350(17), 853-859.

  3. Cheung, P. L., Ng, T. W., Tsai, J., and Yam, S. C. P. (2014). Higher-Order, 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), 159-186.

  4. Jasso-Fuentes, H., Mertz, L., and Yam, S. C. P. (2014). Approximate Solutions of a Stochastic Variational Inequality Modeling an Elasto-plastic Problem with Noise. Applied Mathematics Research eXpress, 2014(1), 52-73.

  5. 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 Elasto-Plastic Oscillator Excited by a White Noise. Applied Mathematics Research eXpress, 2015(1), 99-128.

  6. 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), 1441-1474.

  7. Bensoussan, A., Li, Y., and Yam, S. C. P. (2018). Backward Stochastic Dynamics in Hilbert Spaces with a Subdifferential Operator and Nonlocal Parabolic Variational Inequalities. Stochastic Processes and their Applications, 128(2), 644-688.

  8. Bensoussan, A., Mertz, L., and Yam, S. C. P. (2016). Non-local Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-plastic Oscillator Excited by a Filtered Noise. SIAM Journal on Mathematical Analysis, 48(4), 2783-2805.

  9. Bensoussan, A., Frehse, J., and Yam, S. C. P. (2021). Systems of Quasilinear Parabolic Equations in R^n and Systems of Quadratic Backward Stochastic Differential Equations. Journal de Mathématiques Pures et Appliquées, 149, 135-185.

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

  11. Bensoussan, A., Wong, T. K., Yam, S. C. P., and Yuan, H. (2023). Global Well-Posedness of First-Order Mean Field Games and Master Equations with Nonlinear Dynamics. Submitted.

Control Theory and Optimization
  1. Yang, Z., Yam, S. C. P., Li, L. K., and Wang, Y. (2010). Universal Repetitive Learning Control for Nonparametric Uncertainty and Unknown State-dependent Control Direction Matrix. IEEE Transactions on Automatic Control, 55(7), 1710-1715.

  2. 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), 106-118.

  3. Bensoussan, A., Sung, K. C. J., and Yam, S. C. P. (2013). Linear–quadratic Time-inconsistent Mean Field Games. Dynamic Games and Applications, 3(4), 537-552.

  4. Bensoussan, A., Siu, C. C., Yam, S. C. P., and Yang, H. (2014). A Class of Non-zero-sum Stochastic Differential Investment and Reinsurance Games. Automatica, 50(8), 2025-2037.

  5. Bensoussan, A., Sung, K. C. J., Yam, S. C. P., and Yung, S. P. (2014). Linear-Quadratic Mean Field Games. Journal of Optimization Theory and Applications, 169(2), 496-529.

  6. 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), 91-128.

  7. 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.

  8. 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), 2748-2781.

  9. Chau, M. H. M., Lai, Y. and Yam, S. C. P. (2017). Discrete-Time 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), 59-91

  10. 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), 12-27.

  11. Bensoussan, A., Djehiche, B., Tembine, H., and Yam, S. C. P. (2020). Mean-Field-Type Games with Jump and Regime Switching. Dynamic Games and Applications., 10(1), 19-57.

  12. Bensoussan, A., Chen, S., Chutani, A., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2019). Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising. SIAM Journal on Control and Optimization, 57(5), 3413-3444.

  13. Chu, D., Ng, T. H., Yam, S. C. P. Zheng, H. (2023). Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders. Submitted.

  14. 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.

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

  16. Bensoussan, A., and Yam, S. C. P. (2021). Mean Field Approach to Stochastic Control with Partial Information. Special Issue in the Honor of Enrique Zuazua’s 60th Birthday in ESAIM: Control, Optimisation and Calculus of Variations, 27: 89.

  17. Bensoussan, A., Huang, Z., and Yam, S. C. P. (2023). Control theory on Wasserstein space: a new approach to optimality conditions. Special Issue Dedicated to the Memory of Professor Roland Glowinski of Annals of Mathematical Sciences and Applications, 8(3): 565-628.

  18. Bensoussan, A., Huang, Z., and Yam, S. C. P. (2023). Maximum Principle for Mean Field Type Control Problems with General Volatility Functions. To appear in Special Issue in Honor of Pierre Bernhard’s 80th Birthday of International Game Theory Review.

  19. Bensoussan, A., Huang, Z., Tang, S., and Yam, S. C. P. (2023). Degenerate Mean Field Type Control with Linear and Unbounded Diffusion, and their Associated Equations. Submitted.

Mathematical Finance
Market Structure and Pricing
  1. Yam, S. C. P., and Yang, H. (2006). On Valuation of Derivative Securities: A Lie Group Analytical Approach. Applications of Mathematics, 51(1), 49-61.

  2. 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), 301-313.

  3. Yam, S. C. P., Yung, S. P., and Zhou, W. (2014). Game Call Options Revisited. Mathematical Finance, 24(1), 173-206.

  4. Yam, S. C. P., Zhou, W. (2016). Optimal Liquidation of Child Limit Orders. Mathematics of Operations Research, 42(2), 546-575.

  5. Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2021). Co-op Advertising in a Dynamic Three-Echelon Supply Chain. Production and Operations Management, 30(11), 3881-3905.

  6. Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024). The Generalized Sethi Advertising Model. Appear online in Operations Research.

  7. Han, J., Ma, G., and Yam, S. C. P. (2022). Relative Performance Evaluation for Dynamic Contracts in a Large Competitive Market. European Journal of Operational Research, 302(2), 768-780.

  8. Han, J., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2022). Co-op Advertising in Randomly Fluctuating Markets. Production and Operations Management 32(6), 1617-1635.

  9. Han, J., Li, X., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024). Production Management with General Demands and Lost Sales. Apppear online in Operations Research.

  10. Kennedy, A. P., Prasad, A., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2023). Optimal Advertising and Product Durability Decisions in New Product Diffusion. Submitted.

Portfolio Strategy and Risk Management
  1. 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), 557-570.

  2. 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 Time-consistent Approach. Insurance: Mathematics and Economics, 53(1), 281-291.

  3. Yam, S. C. P., Yung, S. P., and Zhou, J. H. (2013). A Mean-variance Portfolio Selection Problem Subject to a Benchmark Constraint: An Existence Result. Risk and Decision Analysis, 4(1), 25-38.

  4. Bensoussan, A., Wong, K. C., Yam, S. C. P., and Yung, S. P. (2014). Time-consistent Portfolio Selection under Short-selling Prohibition: From Discrete to Continuous Setting. SIAM Journal on Financial Mathematics, 5(1), 153-190.

  5. Wong, K. C., Yam, S. C. P., and Zheng, H. (2017). Utility-Deviation-Risk Portfolio Selection.SIAM Journal on Control and Optimization, 55(3), 2024-2051.

  6. 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), 554-561.

  7. Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2019). A Paradox in Time Consistency in the Mean-variance Problem? Finance and Stochastics, 23(1), 173-207.

  8. 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, 837-866.

  9. Bensoussan, A., Cheung, K. C., Li, Y. and and Yam, S. C. P. (2022). Inter-temporal Mutual-fund Management. Mathematical Finance, 32(3), 825-877.

  10. Wong, K. C., Yam, S. C. P., and Zeng, J. (2019). Mean-risk Portfolio Management with Bankruptcy Prohibition. Insurance: Mathematics and Economics, 85(C), 153-172.

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

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

  13. Bensoussan, A., Ma, G. Siu, C. C., and Yam, S. C. P. (2022). Dynamic Mean-variance Problem with Frictions. Finance and Stochastics, 26, 267-300.

  14. Ma, G. Siu, C. C., Yam, S. C. P., and Zhou, Z. (2023). Dynamic Trading with Markov Liquidity Switching. Appear online in Automatica.

Probability Theory and Stochastic Analysis
  1. Yam, S. C. P., Yung, S. P., and Zhou, W. (2009). Two Rationales behind The ‘Buy-and-hold or Sell-at-once’ Strategy. Journal of Applied Probability, 46(3), 651-668.

  2. Yam, S. C. P., Yung, S. P., and Zhou, W. (2013). A Unified “Bang-Bang” Principle with Respect to R-Invariant Performance Benchmarks. SIAM: Theory of Probability & Its Applications, 57(2), 357-366.

  3. Bensoussan, A., Yam, S. C. P., and Zhang, Z. (2015). Well-posedness of Mean-field Type Forward–backward Stochastic Differential Equations. Stochastic Processes and their Applications, 125(9), 3327-3354.

  4. Wright, J. A., Yam, S. C. P., and Zhang, Z. (2018). Enlargement of Filtration on Poisson Space: a Malliavin Calculus Approach. Stochastics, 90, 682-700.

  5. 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.

  6. Bensoussan, A., Frehse, J., and Yam, S. C. P. (2017). On the Interpretation of the Master Equation. Stochastic Processes and their Applications, 127(7). 2093-2137.

  7. 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), 3376-3405.

  8. Wong, Danny T. K. and Yam, S. C. P. (2018). A Probabilistic Proof for Fourier Inversion Formula. Statistics & Probability Letters, 141, 135-142.

  9. Bensoussan, A., Graber, P. J., and Yam, S. C. P. (2024). Control on Hilbert Spaces and Application to Mean Field Type Control. To appear in Annals of Applied Probability.

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

  11. Han, J., and Yam, S. C. P. (2022). A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management. SIAM Journal on Control and Optimization, 60(3), 1193-1222.

Statistical Theory and Applications
Asymptotic Theory
  1. 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), 380-396.

  2. Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2015). Globally Efficient Non-parametric Inference of Averge Treatment Effects by Empirical Balancing Calibration Weighting. Journal of the Royal Statistical Society: Series B, 78(3), 673-700.

  3. 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.

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

  5. 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.

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

  7. Chan, K. C. G., Ling, H. K. B., Sit, T., and Yam, S. C. P. (2018). Estimation of a Monotone Density in S-sample Biased Sampling Models. Annals of Statistics, 46(5), 2125-2152.

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

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

  10. 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 Grenander-type Estimator in Multi-sample Biased Sampling Models. Electronic Journal of Statistics, 15(1), 2876-2904.

  11. Kennedy, A. P. and Yam, S. C. P. (2020). On the Authenticity of COVID-19 Case Figures. PLOS ONE, 15(12): e0243123.

  12. 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 Heavy-tailed Data. Proceedings of the National Academy of Sciences of the United States of America, 118(46): e2108031118.

  13. Chan, K. C. G., Han, J., Kennedy, A. P. and Yam, S. C. P. (2022). Testing network autocorrelation without replicates. PLOS ONE, 17(11): e0275532.

  14. Chan, K. C. G., Ling, H. K. and Yam, S. C. P. (2023). On Nonparametric Estimation for Cross-sectional Sampled Data under Stationarity. Electronic Journal of Statistics, 17(2): 2745-2809.

Data Analytics and Machine Learning
  1. Bensoussan, A.,, Li, Y., Nguyen, D. P. C., Tran, M. B., Yam, S. C. P. and Zhou, X. (2022). Machine Learning and Control Theory. Handbook of Numerical Analysis, 23, 531-558.

  2. Bensoussan, A., Han, J., Yam, S. C. P. and Zhou, X. (2022). Value-Gradient based Formulation of Optimal Control Problem and Machine Learning Algorithm. SIAM Journal on Numerical Analysis, 61(2), 973-994.

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

  4. Chen, Y., Cheung, K.C., Sun, R. S., and Yam, S. C. P. (2024). A User Guide of CART and Random Forests with Applications in FinTech and InsurTech. Invited article to appear in Special Issue on Risk and Statistics in Actuarial Science of Japanese Journal of Statistics and Data Science.

Financial Statistics
  1. Chan, N. H., and Yam, S. C. P. (2012). Higher‐order Asymptotics in Finance. Wiley Interdisciplinary Reviews: Computational Statistics, 4(6), 571-587.

  2. Hui, E. C., Yam, S. C. P., and Chen, S. W. (2012). Shiryaev-Zhou Index–a Noble Approach to Benchmarking and Analysis of Real Estate Stocks. International Journal of Strategic Property Management, 16(2), 158-172.

  3. Wong, W. K., Wright, J. A., Yam, S. C. P., and Yung, S. P. (2012). A Mixed Sharpe Ratio. Risk and Decision Analysis, 3(1-2),37-65.

  4. 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), 91-115.

  5. 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), 168-186.

  6. Hui, E. C., and Yam, S. C. P. (2014). Can We Beat the “Buy-and-hold” Strategy? Analysis on European and American Securitized Real Estate Indices. International Journal of Strategic Property Management, 18(1), 28-37.

  7. 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.

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

(VIII) Book Chapters/Proceedings
  1. Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2012). Mean-variance Precommitment Policies Revisited via a Mean-field Technique. Recent Advances in Financial Engineering 2012, 177-198.

  2. 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.

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

  4. 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, Springer-Verlag, 91-110.

  5. Bensoussan, A., Cheung, H. and Yam, S. C. P. (2022). 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, Springer-Verlag.

 

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

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

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

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

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

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

  7. Sethi, S. P. and Yam, S. C. P. (2019). Inter-temporal Pension Fund Management.

  8. 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.

  9. Wong, K. C., and Yam, S. C. P. (2017). Risk-adjusted Kelly’s Formula.

  10. Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2017). Model-free Credibility Formula.

  11. Liu, H., Wong, T. K., and Yam, S. C. P. (2017). Pricing of the Quadratic Variance Swaps: Asymptotic Approximation Approach.

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

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

  14. Ng, T. H., Wong, T. K., and Yam, S. C. P. (2019). When is a Good Time to Sell a Stock?.

  15. Chen, Y., Cheung, K. C., Choi, H. M. C. and Yam, S. C. P. (2019). Valuation of GMXB with General Lapse Modelling.

(X) Editorial Board Membership
  1. IAENG International Journal of Applied Mathematics

  2. International Journal of Data Science in the Mathematical Sciences

  3. Journal of Industrial & Management Optimization

  4. Insurance: Mathematics and Economics

  5. Mathematics (MDPI)

  6. Risks — Open Access Risk Management Journal

(XI) My Postgraduate Students
Former Postdoctoral Researchers
1) Ma, G. Y. (PhD, Uni. Wollongong (Maths)). Faculty member of School of Economics and Finance at Xi’an Jiaotong University.
2) Chen, Y. (PhD, HKU (Statistics and Actuarial Science)). Faculty member of Department of Mathematics, Statistics and Insurance at Hang Seng University of Hong Kong.
3) Han, J. H. (PhD, CUHK (Statistics)). FBSDEs and Financial Mathematics. Faculty member of Guanghua School of Management at Peking University.
4) Li, B. (PhD, Nankai (Probability and Statistics)). Faculty member of Center for Financial Engineering at Soochow University.
5) Tai, H. M. (PhD, CUHK (Mathematics)). Postdoctoral Researcher of School of Mathematical Sciences at Dublin City University.
6) Yuan, H. W. (PhD, CUHK (Mathematics)). Faculty member of Faculty of Science and Technology at University of Macao.
Graduated PhD Students
1) Zhou, W. (PhD, HKU (Maths), Thesis: Topics in optimal stopping with applications in mathematical finance). Vice President of Equity Derivatives Quantitative Research in JP Morgan Chase & Co.
2) Wright, J. A. (PhD, HKU (Maths), Thesis: Enlargement of filtration on Poisson space and some results on the Sharpe ratio). Faculty member in Department of Statistics, CUHK.
3) Zhang, Z. (PhD, CUHK (Statistics), Thesis: Fully Nonparametric Estimation for Some Causal Inference Problems and Well-posedness on Mean-Field Theory). Faculty member in Institute of Statistics and Big Data, Renmin University of China.
4) Wong, K. C. (Joint PhD, ICL and HKU(Mathematical Finance), Thesis: Topics in portfolio management). Faculty member in School of Mathematical Sciences, Dublin City University.
5) Lai, Y. (PhD, CUHK (Statistics), Thesis: Topics in missing data and mean field games). Officer in State Administration of Taxation of The People’s Republic of China, China.
6) Li, Y. (PhD, CityU HK (Stochastic Control), Thesis: Topics on Non-canonical Parabolic Partial Differential Equations with Applications). Senior Engineer at TCL Corporate Research(HK) Co., Ltd..
7) Chau, M. H. M. (Joint PhD, ICL and HKU(Mathematical finance and stochastic analysis), Thesis: Mean field games with imperfect information). Vice President – Quantitative Strategies, Credit Suisse, London, United Kingdom.
8) Zhang, Y. Y. (PhD, HKU (Statistics and Actuarial Science), Thesis: Quantitative management on heterogeneous insurance portfolios). Actuarial Science and Bayesian Statistics. Faculty member in Department of Mathematics, Southern University of Science and Technology, Shenzhen, China.
9) Han, J. H. (PhD, CUHK (Statistics), Thesis: Topics in Market Microstructure and Intermediation). FBSDEs and Financial Mathematics. Faculty member of Guanghua School of Management at Peking University.
10) Chen, Y. (PhD, HKU (Statistics and Actuarial Science), Thesis: Data Analytics in Actuarial Science). Actuarial Science and Data Analytics. Faculty member of Department of Mathematics, Statistics and Insurance at Hang Seng University of Hong Kong.
11) Shi, Y. F. (Joint PhD, HKU (Statistics and Actuarial Science) and SUST, Thesis: Risk Measure and Management of Insurance and Financial Portfolios). Mathematical Finance. Factor Strategy Researcher of Mingshi Investment Management.
12) Li, X. L. (Joint PhD, HKU (Statistics and Actuarial Science) and SUST, Thesis: Some Applications of Fourier-cosine Method in Business). Mathematical Finance. Specially-engaged member of Shenzhen Futian District Financial Service Bureau.
13) Zeng, J. (Joint PhD, King’s College London and HKU (Statistics and Actuarial Science), Thesis: Contributions to Risk Management and Mean-field Type Problems). Actuarial Science and Mathematical Finance. Risk Control Algorithm Engineer of Meituan, China.
14) Kennedy, A. (PhD, CUHK (Statistics), Thesis: Topics on Dynamic Advertising Models). Advertising Models, Applied Control Theory and Management Science. Graduate Analyst in Data and Statistics Department, Reserve Bank of New Zealand.
15) Chu, D. T. (PhD, CUHK (Statistics)). Financial Mathematics and Data Analytics. Postdoctoral Fellow in CUHK.
16) Zhou, Z. Y. (PhD, CUHK (Statistics)). Financial Mathematics and Data Analytics. Postdoctoral Fellow in CUHK and Hang Seng University of Hong Kong.
17) Han, J. (PhD, CityU (Data Science)). Control Theory and Data Analytics.
Graduated MPhil students
1) Liu, F. (MPhil, HKU (Maths), Thesis: Two results in financial mathematics and bio-statistics). PhD in University of Waterloo. Faculty member in Department of Statistics and Actuarial Science, University of Waterloo.
2) Wong, K. C. (MPhil, HKU (Maths), Thesis: Mean variance portfolio management: time consistent approach). 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), Thesis: Mean field games in the presence of a dominating player). Joint PhD in Mathematical Finance at Imperial College London and The University of Hong Kong. Vice President – Quantitative Strategies, Credit Suisse, London, United Kingdom.
4) Chong, W. F. A. (MPhil, CUHK (Risk Management Science), Thesis: Disappointment Theory in Risk Management). Joint PhD in Actuarial Science and Mathematical Finance at King’s College London and The University of Hong Kong. Faculty Member, Department of Actuarial Mathematics and Statistics, Heriot-Watt University.
5) Huang, W. (MPhil, CUHK (Risk Management Science), Thesis: Asymptotic statistics and spline functions). 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), Thesis: On dependence structure and density estimation). PhD in Statistics at Columbia University. Faculty member in Queen’s University of Canada.
7) Chau, K. W. (MPhil, HKU (Maths), Thesis: Fourier-cosine method for insurance risk theory). PhD in Numerical Finance at Delft University of Technology. Faculty member in University of Groningen of Netherlands.
8) Zhang, X. (MPhil, CUHK (Risk Management Science), Thesis: Pricing of the quadratic variance swap via analytical approximations). PhD in Numerical Finance in SEEM of CUHK. Quant at BNP Paribas.
9) Zeng, J. (MPhil, CUHK (Risk Management Science), Thesis: Further topics of Mean-Risk portfolio management). Obtained Joint PhD in King’s College London and The University of Hong Kong. Risk Control Algorithm Engineer of Meituan.
10) Chan, Benjamin C. H. (MPhil, CUHK (Statistics)) Machine Learning and Data Analytics in Finance. Research Manager at Census and Statistics Department, HKSAR.
11) Fan, N. S. (MPhil, CUHK (Statistics)). Machine Learning and Data Analytics. Research Fellow at Hang Seng University of Hong Kong.
Current Postdoctoral Researchers
1) Chu, D. T. (PhD, CUHK (Statistics)).
2) Zhou, Z. Y. (PhD, CUHK (Statistics)).
3) Huang, Z. (PhD, Fudan (Mathematics)).
Current PhD Students
1) Ng, Kenneth T. H. (PhD, UIUC (Maths and Stat)). Actuarial Science and Financial Mathematics.
2) Li, J. (PhD, CUHK (Statistics)). Actuarial Science and Data Analytics.
3) Zhang, J. (PhD, HKU (Maths)). Mathematical Economics and Operarional Research.
Current MPhil Students
1) Sun, Z. (MPhil, CUHK (Statistics)). Machine Learning and Statistics.
2) Cheng, P. H. (MPhil, CUHK (Statistics); to become PhD candidate, Columbia University (Statistics)). Machine Learning and Statistical Theory.
3) Lyu, C. (MPhil, HKU (Maths); to become PhD candidate, University of Waterloo (Statistics and Actuarial Science)). Mathematical Statistics.