Hoi Ying Wong

The Chinese University of Hong Kong (CUHK) - Department of Statistics

Shatin, N.T.

Hong Kong

SCHOLARLY PAPERS

41

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30

Scholarly Papers (41)

1.

Option Pricing with Mean Reversion and Stochastic Volatility

European Journal of Operational Research 197, 179-187, 2009
Number of pages: 25 Posted: 28 Mar 2008 Last Revised: 13 Feb 2009
Hoi Ying Wong and Yu Wai Lo
The Chinese University of Hong Kong (CUHK) - Department of Statistics and affiliation not provided to SSRN
Downloads 1,483 (18,043)
Citation 8

Abstract:

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Option Pricing, Mean Reversion, Stochastic Volatility

2.

Turbo Warrants Under Stochastic Volatility

Quantitative Finance, Vol. 8, No. 7, pp. 739-751, 2008
Number of pages: 31 Posted: 09 Nov 2006 Last Revised: 14 Dec 2008
Hoi Ying Wong and Chun Man Chan
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 1,021 (31,288)
Citation 2

Abstract:

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Turbo Warrants, Stochastic Volatility, Local Volatility, Implied Volatility

3.

Estimating Jump Diffusion Structural Credit Risk Models

Number of pages: 43 Posted: 07 Nov 2006
Hoi Ying Wong and Chi Pang Li
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Fubon Bank Hong Kong
Downloads 825 (42,154)
Citation 4

Abstract:

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Credit Risk, Jump-Diffusion, Quasi-Bayesian, Maximum Likelihood

4.

Efficient Options Pricing Using the Fast Fourier Transform

Number of pages: 24 Posted: 11 Jan 2010
Kwai Sun Leung, Hoi Ying Wong and Yue Kuen Kwok
Hong Kong University of Science & Technology (HKUST), The Chinese University of Hong Kong (CUHK) - Department of Statistics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 746 (48,204)
Citation 1

Abstract:

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option pricing, Fast Fourier transform, Levy processes, numerical algorithms

5.

A Closed-Form Solution to American Options under General Diffusions

Quantitative Finance, Forthcoming
Number of pages: 29 Posted: 11 Jul 2008 Last Revised: 10 Jan 2012
Jing Zhao and Hoi Ying Wong
Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 653 (57,346)
Citation 1

Abstract:

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American Option, General Diffusion Process, Homotopy Analysis Method

6.

Path-Dependent Currency Options With Mean Reversion

The Journal of Futures Markets, Vol. 28, No. 3, pp. 275-293, 2008
Number of pages: 22 Posted: 27 Mar 2007 Last Revised: 07 May 2009
Hoi Ying Wong and Ka Yung Lau
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Chinese University of Hong Kong
Downloads 395 (105,825)

Abstract:

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Currency Options, Path Dependent Options, Mean Reversion

7.

A Linear Programming Model for Selecting Sparse High-Dimensional Multi-period Portfolios

European Journal of Operational Research, Volume 273, Issue 2, 1 March 2019, Pages 754-771
Number of pages: 45 Posted: 18 May 2015 Last Revised: 16 Dec 2018
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 371 (113,576)
Citation 3

Abstract:

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Investment analysis; High-dimensional portfolio selection; Dynamic mean-variance portfolio; $\ell_1$ minimization; Sparse portfolio

8.

Currency Option Pricing: Mean Reversion and Multi-Scale Stochastic Volatility

The Journal of Futures Markets, Vol. 30, No. 10, pp. 938-956, 2010
Number of pages: 24 Posted: 20 Nov 2009 Last Revised: 10 Jan 2012
Hoi Ying Wong and Jing Zhao
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Chinese University of Hong Kong
Downloads 332 (128,401)
Citation 1

Abstract:

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Currency Option, Mean Reversion, Multiscale Stochastic Volatility, Implied Volatility

9.

Structural Models of Corporate Bond Pricing with Maximum Likelihood Estimation

Journal of Empirical Finance, Vol. 15, No. 4, 2008
Number of pages: 51 Posted: 16 Oct 2007 Last Revised: 21 Apr 2009
Ka Leung Li and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 291 (147,363)
Citation 1

Abstract:

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Corporate bond pricing, credit risk, maximum likelihood estimation, structural models, systematic bias

10.

Estimating Default Barriers from Market Information

Quantitative Finance, Vol 9. No. 2, pp. 187-196, 2009
Number of pages: 25 Posted: 07 Nov 2006 Last Revised: 07 May 2009
Hoi Ying Wong and Tzs Wang Choi
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Citic Kawah Bank
Downloads 269 (159,580)
Citation 1

Abstract:

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Default barrier, Bankruptcy prediction, Maximum likelihood estimation

11.

Reduced-Form Models With Regime Switching: An Empirical Analysis for Corporate Bonds

Asia-Pacific Financial Markets, Vol. 14, No. 3, 2007
Number of pages: 32 Posted: 29 Mar 2007 Last Revised: 10 Jan 2012
Hoi Ying Wong and Tsz Lim Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Chinese Unversity of Hong Kong
Downloads 249 (172,235)

Abstract:

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Reduced-form model, Regime Switching, Corporate bonds

12.

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

SIAM J. Control Optim., 54(5), 2309-2338, 2016
Number of pages: 30 Posted: 14 Aug 2014 Last Revised: 06 Dec 2019
Jean-Pierre Fouque, Chi Seng Pun and Hoi Ying Wong
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 213 (199,822)
Citation 11

Abstract:

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Ambiguous correlation, G-Brownian motion, Hamilton-Jacobi-Bellman-Isaacs equation, Stochastic volatility

13.

Deep-Learning Solution to Portfolio Selection with Serially-Dependent Returns

Number of pages: 24 Posted: 13 Jun 2019 Last Revised: 14 Apr 2020
Ka Ho Tsang and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 206 (206,162)
Citation 3

Abstract:

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Deep-Learning, Neural Network, High-dimensionality, Portfolio Optimization, Utility Maximization, GARCH, Monte Carlo Simulation

14.

Analytical Valuation of Dynamic Fund Protection Under CEV

WSEAS Transactions on Mathematics, Vol. 6, No. 2, pp. 324-329, 2007
Number of pages: 6 Posted: 10 Jan 2007
Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 198 (213,677)

Abstract:

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Dynamics Fund Protection, Constant Elasticity of Variance, Option Pricing, Laplace Transform

15.

Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection

In Proceedings of the 29th International Joint Conference on Artificial Intelligence (IJCAI '20), 2020
Number of pages: 7 Posted: 23 Jun 2020
Chi Seng Pun, Lei Wang and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 185 (228,998)
Citation 1

Abstract:

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Financial Thought Experiment, GAN, Portfolio Selection

16.

Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy

Risk Analysis, 37, 1532-1549.
Number of pages: 34 Posted: 26 May 2016 Last Revised: 27 Sep 2017
Mei Choi Chiu, Chi Seng Pun and Hoi Ying Wong
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 163 (252,591)
Citation 5

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High-Dimensional Portfolio Selection, Continuous-Time Mean-Variance Portfolio, Constant-Rebalancing Portfolio, Machine Learning, Constrained $\ell_1$ Minimization, Sparse Portfolio

17.

Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration

Number of pages: 31 Posted: 11 Oct 2018
Kexin Chen, Mei Choi Chiu and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, The Education University of Hong Kong - Department of Mathematics & Information Technology and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 160 (256,624)
Citation 3

Abstract:

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Regime-switching, Mean-variance, Time-inconsistency

18.

Optimal Retirement Under Partial Information

Number of pages: 44 Posted: 19 Oct 2020 Last Revised: 08 Jun 2021
Kexin Chen, Junkee Jeon and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 141 (283,932)

Abstract:

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voluntary retirement, portfolio optimization, optimal consumption, optimal stopping, free boundary problem, partial information

19.

Robust Time-Inconsistent Stochastic Linear-Quadratic Control

Number of pages: 41 Posted: 08 May 2018 Last Revised: 29 Jul 2019
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Division of Science and Technology, BNU-HKBU United International College, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 130 (302,237)
Citation 4

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Stochastic Linear-Quadratic Control, Robustness, Model Uncertainty, Time-Inconsistent Cost Function, Forward-Backward Stochastic Differential Equation

20.

Robust state-dependent mean-variance portfolio selection: a closed-loop approach

Number of pages: 31 Posted: 08 Jan 2019 Last Revised: 02 Jul 2021
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Division of Science and Technology, BNU-HKBU United International College, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 127 (307,515)
Citation 2

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Closed-loop control, robust mean--variance portfolio selection, state-dependence, time-inconsistency, model uncertainty

21.

Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters: BSDE and Uniqueness

Number of pages: 24 Posted: 03 Jun 2018 Last Revised: 29 Oct 2019
Bingyan Han and Hoi Ying Wong
Division of Science and Technology, BNU-HKBU United International College and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 119 (322,362)
Citation 3

Abstract:

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Reinsurance-investment problem; time-inconsistency; backward stochastic differential equation (BSDE); mean-variance; Ornstein-Uhlenbeck (OU) process; constant elasticity of variance (CEV) process.

22.

Resolution of Degeneracy in Merton's Portfolio Problem

SIAM Journal on Financial Mathematics. 7, 786-811, 2016
Number of pages: 22 Posted: 26 May 2016 Last Revised: 17 Mar 2017
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 112 (336,440)
Citation 6

Abstract:

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High-Dimensional Portfolio, Merton's Problem, Expected Utility Maximization, Constrained $\ell_1-$Minimization, Dantzig Selector, Sparsity

23.

Robust Consumption-Investment With Return Ambiguity: A Dual Approach With Volatility Ambiguity

forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 42 Posted: 07 Oct 2021 Last Revised: 06 Jun 2022
Kyunghyun Park and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK), Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 108 (344,860)

Abstract:

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return ambiguity in primal, volatility ambiguity in dual, consumption-investment problem, dual approach, $G$-expectation, sparse portfolio, least exposure to ambiguity

24.

Robust Non-Zero-Sum Stochastic Differential Investment-Reinsurance Game

Insurance: Mathematics and Economics, Vol. 68, Pages 169-177, 2016
Number of pages: 26 Posted: 08 Mar 2016 Last Revised: 08 May 2017
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 99 (365,326)
Citation 2

Abstract:

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Investment and Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Model Uncertainty, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Stochastic Factor

25.

LASSO-Based Simulation for High-Dimensional Multi-Period Portfolio Optimization

Number of pages: 21 Posted: 29 Apr 2019
Zhongyu Li, Ka Ho Tsang and Hoi Ying Wong
Bank of China (Hong Kong), The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 88 (393,138)
Citation 1

Abstract:

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LASSO, High-Dimensional Regression, Portfolio Optimization, Mean-Variance, Monte Carlo Simultaion

26.

Pairs-trading under path-dependent cointegration

Number of pages: 33 Posted: 06 Jan 2021 Last Revised: 23 May 2022
Tingjin Yan, Mei Choi Chiu and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, The Education University of Hong Kong - Department of Mathematics & Information Technology and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 57 (495,531)

Abstract:

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Mean-variance portfolio, Error correction representation, Functional Ito's calculus, Path-dependent effect

27.

Robust retirement with return ambiguity: Optimal G-stopping time in dual space

Number of pages: 29 Posted: 11 Feb 2022
Kyunghyun Park and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK), Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 53 (511,972)

Abstract:

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return ambiguity in primal, risk ambiguity in dual, retirement, G-stopping time, consumption-investment, robust strategy

28.

Efficient Social Distancing for COVID-19: An Integration of Economic Health and Public Health

Number of pages: 20 Posted: 07 Dec 2020
Kexin Chen, Chi Seng Pun and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 53 (511,972)

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OR in health services, COVID-19, Pandemic, Stochastic SIRD Model, Google Mobility Indices, Stochastic Controls, Deep Learning

29.

Robust Retirement and Life Insurance with Inflation Risk and Model Ambiguity

Number of pages: 37 Posted: 01 Apr 2022
Kyunghyun Park, Hoi Ying Wong and Tingjin Yan
The Chinese University of Hong Kong (CUHK), Department of Statistics, The Chinese University of Hong Kong (CUHK) - Department of Statistics and Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, East China Normal University
Downloads 51 (520,752)

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Inflation and stock ambiguity, Retirement, Consumption-investment, Life insurance, Model ambiguity

30.

Equilibrium Pairs Trading Under Delayed Cointegration

Number of pages: 21 Posted: 01 Jun 2022
Tingjin Yan and Hoi Ying Wong
Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, East China Normal University and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 48 (534,155)

Abstract:

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Mean-variance portfolio, Pairs trading, Stochastic delay differential equation, Time inconsistency

31.

Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility

Number of pages: 26 Posted: 27 Sep 2018 Last Revised: 02 Feb 2019
Tingjin Yan and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 37 (589,175)
Citation 1

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Mean-Variance Portfolio, Open-Loop Stochastic Control, Stochastic Volatility Model, Time Inconsistency

32.

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps

European Journal of Operational Research. 245, 571-580
Number of pages: 38 Posted: 23 Jun 2020
Chi Seng Pun, Shing Fung Chung and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 32 (618,090)
Citation 1

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Pricing, Variance Swap, Multi-factor Stochastic Volatility, Mean Reversion, Jump Diffusion

33.

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Number of pages: 23 Posted: 11 Oct 2018 Last Revised: 17 Oct 2018
The Chinese University of Hong Kong (CUHK) - Department of Statistics, The Education University of Hong Kong - Department of Mathematics & Information Technology, Department of Mathematics, Sookmyung Women's University and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 25 (664,702)
Citation 3

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optimal investment and consumption, subsistence consumption, stochastic volatility, asymptotic optimality, perturbation

34.

Quanto Lookback Options

Number of pages: 23 Posted: 13 Aug 2004
Min Dai, Yue Kuen Kwok and Hoi Ying Wong
The Hong Kong Polytechnic University, Hong Kong University of Science & Technology - Department of Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 24 (672,099)

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Lookback options, quanto feature, early exercise policies

35.

Robust Impulse Control of G-Diffusion Processes

Number of pages: 17 Posted: 24 Sep 2021
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 16 (735,664)

Abstract:

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Impulse Control, G-Expectation, G-Brownian Motion, Quasi-variational Inequalities, Robust Inventory Control, Ambiguous Volatility

36.

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Insurance: Mathematics and Economics, 62, 245-256
Number of pages: 37 Posted: 23 Jun 2020
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 16 (735,664)
Citation 2

Abstract:

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Investment and reinsurance, Mixture of power utilities, Hamilton-Jacobi-Bellman-Isaacs equation, Multiscale stochastic volatility, Perturbation methods

37.

Volterra Mortality Model: Actuarial Valuation and Risk Management with Long-Range Dependence

Number of pages: 31 Posted: 22 Oct 2020
Ling Wang, Mei Choi Chiu and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, The Education University of Hong Kong - Department of Mathematics & Information Technology and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 13 (762,637)
Citation 1

Abstract:

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Stochastic mortality, Long-range dependence, Affine Volterra processes, Valuation, Mean-variance hedging

38.

CEV Asymptotics of American Options

Journal of Mathematical Analysis and Applications. 403, 451-463
Number of pages: 31 Posted: 23 Jun 2020
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 8 (811,116)

Abstract:

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CEV model, American options, Partial differential equation, Perturbation technique

39.

Non-zero-sum Reinsurance Games Subject to Ambiguous Correlations

Operations Research Letters. 44, 578-586, 2016
Number of pages: 20 Posted: 23 Jun 2020
Chi Seng Pun, Chi Chung Siu and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 4 (853,482)

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Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Ambiguous Correlation, $g$-Brownian Motion, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Externalities

40.

Managing Mortality Risk with Longevity Bonds When Mortality Rates are Cointegrated

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 987-1023, 2017
Number of pages: 37 Posted: 15 Aug 2017
Tat Wing Wong, Mei Choi Chiu and Hoi Ying Wong
United International College (UIC), The Education University of Hong Kong - Department of Mathematics & Information Technology and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 0 (909,419)
Citation 5

Abstract:

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41.

Analytical Valuation of Turbo Warrants Under Double Exponential Jump Diffusion

Journal of Derivatives, pp. 61-73, Summer 2008, https://doi.org/10.3905/jod.2008.707211
Posted: 09 Nov 2006 Last Revised: 21 May 2019
Hoi Ying Wong and Ka Yung Lau
The Chinese University of Hong Kong (CUHK) - Department of Statistics and Chinese University of Hong Kong

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Turbo Warrants, Jump Diffusion, Volatility Smile