Faculty
Phillip YAM
Name Phillip YAM; 任尚智
Position 1. Professor
2. Co-Director of Interdisciplinary Major Program in Quantitative Finance and Risk Management Science
3. Former Visiting Professor at the Columbia University in the City of New York
Address G19, Lady Shaw Building
Email scpyam [at] cuhk.edu.hk
Phone Number 3943 7941
Fax Number 2603 5188
Detail Image
Personal Information
(I) Academic Background
(II) Honours and Awards
(III) Research Interest
(IV) Research Grants
(V) Books
(VI) Selected Publications in Refereed Journals
(VII) Book Chapters/Proceedings
(VIII) Working Papers
(IX) 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 the Columbia University in the City of New York, 2016

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

  3. Research fellowship (2010 and 2013), The Hausdorff Institute of Mathematics, University of Bonn, Germany

  4. Junior research fellowship (2007), The Erwin Schrodinger International Institute for Mathematical Physics, University of Vienna, Austria

  5. #Scholarships (2002 - 2003, 2004 - 2007), Croucher Foundation, Hong Kong

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

  7. *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.

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.

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) HKPU Collaborative Research Grant (G-YH96) (2010 to 2012).


(V) Books
  1. Bensoussan, A., Frehse, J., and Yam, S.C.P. (2013). Mean Field Games and Mean Field Type Control Theory. New York: Springer.
  2. Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2020). Optimal (Re)Insurance: from Individuals to Corporations. To appear in New York: Springer.

 

(VI) 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. Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2020). Satisficing Credibility for Heterogeneous Risks. Submitted.

  14. 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.

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. (2020). Fourier-cosine Method for Finite-time Gerber-Shiu Functions. To appear in SIAM Journal on Scientific Computing.

  7. Lee, W. Y. B., Liu, F., Li, X. L., Shi, Y. F. and Yam, S. C. P. (2020). Fourier-cosine Method for Finite-time Ruin Probabilities. Submitted.

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 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. (2020). Systems of Quasilinear Parabolic Equations in R^n and Systems of Quadratic BSDEs. To appear in Journal de Mathématiques Pures et Appliquées.

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

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. Chau, M. H. M., Ng, T. H., Yam, S. C. P. Zheng, H (2019). Two-party Governance: Cooperation versus Competition. 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.

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.

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 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. (2019). Inter-temporal Mutual Fund Management. Submitted.

  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.

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. (2020). Control on Hilbert Spaces and Application to Mean Field Type Control Theory. Submitted to Annals of Applied Probability, arxiv:2005.10770

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. (2020). On Asymptotic Equivalence of the NPMLE of a Monotone Density and a Grenander-type Estimator in Multi-sample Biased Sampling Models. To appear in Electronic Journal of Statistics.

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

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.

Data Analytics and Machine Learning

  1. Bensoussan, A.,, Li, Y., Nguyen, D. P. C., Tran, M. B., Yam, S. C. P. and Zhou, X. (2020). Machine Learning and Control Theory. To appear in Handbook of Numerical Analysis. arxiv:2006.05604.

    2.  

(VII) 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.

 
(VIII) 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. Cheung, K. C., Yam, S. C. P. and Yuen, F. L. K. (2017). TVaR Minimizing Reinsurance under Adverse Selection .

  12. Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2017). Biased Sampling Semi-parametric Estimation in Survival Analysis.

  13. Chan, L. L., Yam, S. C. P., and Zhang, X. (2017). Pricing of the Quadratic Variance Swaps: Asymptotic Approximation Approach.

  14. Bensoussan, A., Li, Y., and Yam, S. C. P. (2018). Control-Boosting Algorithm.

  15. Han, J. H., Li, Y. and Yam, S. C. P. (2018). Well-posedness of a Class of Non-Lipschitz BSDEs.

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

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

  18. Chan, K. C. G., Chen, Sam Y. Z., Cheung, K. C., Ling, H. K. and Yam, S. C. P. (2019). Non-parametric Estimation for Multiplicative Censored Length-biased Data.

  19. Ng, T. H., Yam, S. C. P. and Zhou, W. (2019). Optimal Selling Time of Stock under a Non-convex Benchmark.

  20. Han, J., Privault, N. and Yam, S. C. P. (2019). Universal Poisson Approximation for Tractable Financial Stochastic Models.

(IX) Editorial Board Membership
Associate Editor:

  1. Risks — Open Access Risk Management Journal

  2. Journal of Industrial & Management Optimization

  3. Insurance: Mathematics and Economics

(X) My Postgraduate Students
Graduated PhD Students
1) Zhou, W. (PhD, HKU (Maths)). Vice President of Equity Derivatives Quantitative Research in JP Morgan Chase & Co.
2) Wright, J. A. (PhD, HKU (Maths)). Faculty member in Department of Statistics, CUHK.
3) Zhang, Z. (PhD, CUHK (Statistics)). Faculty member in Institute of Statistics and Big Data, Renmin University of China.
4) Wong, K. C. (Joint PhD, ICL and HKU(Mathematical Finance)). Faculty member in School of Mathematical Sciences, Dublin City University.
5) Lai, Y. (PhD, CUHK (Statistics)). Researcher in Department of Mathematics and Statistics, University of Calgary.
6) Li, Y. (PhD CityU HK (Stochastic Control)). Researcher in System Eng. & Eng. Management, CityU of HK.
7) Chau, M. H. M. (Joint PhD, ICL and HKU(Mathematical finance and stochastic analysis)). Associate of Credit Suisse, London, United Kingdom.
8) Zhang, Y. Y. (PhD, HKU (Statistics and Actuarial Science)). Actuarial Science and Bayesian Statistics. Faculty member in School of Statistics and Data Science, Namkai University of China.
Graduated MPhil students
1) Liu, F. (MPhil, HKU (Maths)). PhD in University of Waterloo. Faculty member in Georgia State University, USA.
2) Wong, K. C. (MPhil, HKU (Maths)). 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)). Joint PhD in Mathematical Finance at Imperial College London and The University of Hong Kong. Associate of Credit Suisse, London, United Kingdom.
4) Chong, W. F. A. (MPhil, CUHK (Risk Management Science)). Joint PhD in Actuarial Science and Mathematical Finance at King's College London and The University of Hong Kong. Faculty member in J.L. Doob Research Assistant Professor of Department of Mathematics of UIUC.
5) Huang, W. (MPhil, CUHK (Risk Management Science)). 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)). PhD in Statistics at Columbia University. Faculty member in Queen's University of Canada.
7) Chau, K. W. (MPhil, HKU (Maths)). PhD in Numerical Finance at Delft University of Technology. Faculty member in University of Groningen of Netherlands.
8) Zhang, X. (CUHK, Risk Management Science). PhD in Numerical Finance in SEEM of CUHK. Quant at BNP Paribas.
9) Zeng, J. (CUHK, Risk Management Science). Pursuing Joint PhD in King's College London and The University of Hong Kong.
10) Chan, Benjamin C. H. (CUHK, Statistics) Machine Learning and Data Analytics in Finance. Data Science Analyst at Cigna and pursuing a part-time PhD in Statistics and Actuarial Science of The University of Hong Kong.
Current Postdoctoral Researchers
1) Yuan, H. W. (PhD, CUHK (Maths)).
2) Ma, G. Y. (PhD, Uni. Wollongong (Maths)).
3) Zhang, R. (PhD, CUHK (Maths)).
Current PhD Students
1) Han, J. H. (PhD, CUHK (Statistics)). FBSDEs and Financial Mathematics.
2) Chan, Benjamin C. H. (PhD(Part-time), HKU (Statistics and Actuarial Science)) Machine Learning and Data Analytics in Finance and Insurance.
3) Chen, Sam Y. Z. (PhD, HKU (Statistics and Actuarial Science)). Actuarial Science and Asymptotic Statistics.
4) Shi, Y. F. (Joint PhD, HKU (Statistics and Actuarial Science) and SUST). Mathematical Finance.
5) Li, X. L. (Joint PhD, HKU (Statistics and Actuarial Science) and SUST). Mathematical Finance.
6) Zeng, J. (Joint PhD, King's College London and HKU (Statistics and Actuarial Science)). Actuarial Science and Mathematical Finance.
7) Kennedy, A. (PhD, CUHK (Statistics)). Advertising Models, Applied Control Theory and Management Science.
8) Chu, D. T. (PhD, CUHK (Statistics)). Financial Mathematics and Data Analytics.
9) Zhou, Z. Y. (PhD, CUHK (Statistics)). Financial Mathematics and Data Analytics.
10) Ng, Kenneth T. H. (PhD, UIUC(Maths and Stat)). Actuarial Science and Financial Mathematics.
Current MPhil Students
1) Kaiser Fan (MPhil, Risk Management Science). Machine Learning.
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