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 (formerly Competitive
Earmarked Research Grant), 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, 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, 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)