Wong, Hoi Ying

王海嬰

Title and Position Professor, Department of Statistics Associate Dean (Student Affairs), Faculty of Science The Chinese University of Hong Kong Academic Background PhD, MPhil (HKUST)  BSc(HKBU)  Research Interest Derivatives Pricing, Interest Rate Modeling, Financial Risk Analysis

Official homepage

Selected Publications

Book/ Book Chapter:

          

[1] N.H. Chan and H.Y. Wong (2015). Simulation Techniques in Financial Risk Management (2nd Edition), Wiley, New York. Online materials. [Book Review of JASA (2007) for the first edition pp758-759].

[2] N.H. Chan and H.Y. Wong (2013). Handbook of Financial Risk Management: Simulations and Case Studies, Wiley, New York. Online materials.

[3] 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.

[4] 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.

Journal Articles (partial):

• B. Han, C.S. Pun and H.Y. Wong (2021). Robust state-dependent mean-variance portfolio selection: A closed-loop approach. Finance and Stochastics. Forthcoming.
• 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.
• 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 (2020). Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility . Mathematics and Financial Economics. https://doi.org/10.1007/s11579-020-00271-0.
• B. Han and H.Y. Wong (2020). Merton's portfolio problem under Volterra Heston model. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101580.
• B. Han and H.Y. Wong (2020). Mean-variance portfolio selection with Volterra Heston model. Applied Mathematics and Optimization. https://doi.org/10.1007/s00245-020-09658-3.
• 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.
• 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.
• 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.
• 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.
• M. Feng, M.C. Chiu and H.Y. Wong (2019). Pairs-trading with illiquidity and position limits. Journal of Industrial and Management Optimization. doi:10.3934/jimo.2019090
• 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.
• 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.
• 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), 711-745, 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)
• Y. Wang, B. Choy and H.Y. Wong. Bayesian option pricing framework with stochastic volatility. Risks. 4(4), 51; doi:10.3390/risks4040051, 2016.
• 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.
• M.C.Chiu and H.Y. Wong. Optimal investment for insurers with the extended CIR interest rate model. Abstract and Applied Analysis (2014) Article ID 129474, 12 pages, http://dx.doi.org/10.1155/2014/129474, 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.
• K.S. Leung, H.Y. Ng and H.Y. Wong. Stochastic skew in the interest rate cap market. Journal of Futures Markets. 34(12), 1146-1169, 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 hyperexponential 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.
• H.Y. Wong and M.C. Chiu. Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility. Abstract and Applied Analysis (2013), Article ID 682524, 5 pages, http://dx.doi.org/10.1155/2013/682524, 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. (The first draft)
• 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 T.L. Wong. Reduced-form models with regime switching: An empirical analysis for corporate bonds, Asia-Pacific Financial Markets 14(3), 229-253, 2007.
• 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.
• H.Y. Wong and Y.K. Kwok, Multi-asset Barrier Options and Occupation Time Derivatives, Applied Mathematical Finance 10 (3), 245-266, 2003.

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.

 Working Papers (partial):

• H.Y. Wong and C.P. Li. (2009). "Estimating Jump Diffusion Structural Models of Credit Risk".

Professional Service

• Associate Editor, International Journal of Theoretical and Applied Finance, 2005 -
• Associate Editor, SIAM Journal on Financial Mathematics, 2016 -
• 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 2019)

• RMSC4007: Risk Management with Derivatives Concepts
• RMSC4202: Practicum

(Spring 2020)

• RMSC4001: Simulation Techniques to Risk Management and Finance
• RMSC4202: Practicum
• RMSC6001: Interest Rates and Fixed Income Risk Management (MSc course)

Graduate Students

Awards Received by My Graduate Students

• 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

Research Grants

Invited Talks

Awards

• CUHK Outstanding Fellow of Faculty of Science 2019-2024.
• IMA Journal of Management Mathematics 2018 Best Paper Prize.
• Vice-Chancellor's Exemplary Teaching Award of CUHK 2015.
• Exemplary Teaching Awards, Faculty of Science, CUHK: 2006, 2009, 2011, 2015.
• 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

Default Risk Modeling

European Journal of Operational Research

Financial Mathematics

Finance and Stochastics

Hong Kong Monetary Authority

Insurance: Mathematics and Economics

International Journal of Theoretical and Applied Finance

Journal of Banking and Finance

Journal of Economic Dynamics and Control

Journal of Empirical Finance

Journal of Finance

Journal of Financial Economics

Journal of Risk and Insurance

Mathematical Finance

Quant Code

Quantitative Finance

Review of Derivatives Research

Review of Financial Studies

Risk Analysis: An International Journal

SIAM Journal on Financial Mathematics

Contact Information

Address: Department of Statistics
Room G20, G/F., Lady Shaw Building
The Chinese University of Hong Kong
Shatin, New Territories, HONG KONG

Phone: (852)-3943 8520

Fax: (852)-2603 5188

Email: hywong [at] cuhk.edu.hk