Hoi Ying Wong

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

Shatin, N.T.

Hong Kong

SCHOLARLY PAPERS

41

DOWNLOADS
Rank 7,508

SSRN RANKINGS

Top 7,508

in Total Papers Downloads

10,804

SSRN CITATIONS
Rank 12,227

SSRN RANKINGS

Top 12,227

in Total Papers Citations

94

CROSSREF CITATIONS

27

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 1,533 (22,136)
Citation 8

Abstract:

Loading...

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 1,061 (37,947)
Citation 2

Abstract:

Loading...

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 875 (49,647)
Citation 5

Abstract:

Loading...

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 815 (54,723)
Citation 1

Abstract:

Loading...

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 675 (70,124)
Citation 1

Abstract:

Loading...

American Option, General Diffusion Process, Homotopy Analysis Method

6.

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 419 (125,826)
Citation 5

Abstract:

Loading...

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

7.

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 415 (127,241)

Abstract:

Loading...

Currency Options, Path Dependent Options, Mean Reversion

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 349 (154,298)
Citation 1

Abstract:

Loading...

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

9.

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 305 (178,271)
Citation 4

Abstract:

Loading...

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

10.

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 305 (178,271)
Citation 3

Abstract:

Loading...

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

11.

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 287 (189,926)
Citation 1

Abstract:

Loading...

Default barrier, Bankruptcy prediction, Maximum likelihood estimation

12.

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 262 (208,366)
Citation 2

Abstract:

Loading...

Financial Thought Experiment, GAN, Portfolio Selection

13.

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 262 (208,366)

Abstract:

Loading...

Reduced-form model, Regime Switching, Corporate bonds

14.

The Relevance of Features to Limit Order Book Learning

Number of pages: 21 Posted: 28 Sep 2022
Jie Yin 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 239 (228,135)

Abstract:

Loading...

Machine learning, Explainable methods for black box, limit order book, deep learning, Chinese A-share market

15.

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 234 (232,898)
Citation 19

Abstract:

Loading...

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

16.

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 214 (253,370)

Abstract:

Loading...

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

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
Hong Kong Polytechnic University, The Education University of Hong Kong - Department of Mathematics & Information Technology and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 205 (263,609)
Citation 3

Abstract:

Loading...

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
Hong Kong Polytechnic University, Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 202 (267,111)
Citation 1

Abstract:

Loading...

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

19.

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 187 (286,273)
Citation 7

Abstract:

Loading...

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

20.

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
Department of Mathematics, University of Michigan, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 175 (303,559)
Citation 4

Abstract:

Loading...

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

21.

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
Department of Mathematics, University of Michigan, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 159 (329,687)
Citation 4

Abstract:

Loading...

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

22.

Equilibrium Pairs Trading Under Delayed Cointegration

Number of pages: 21 Posted: 01 Jun 2022
Tingjin Yan and Hoi Ying Wong
East China Normal University (ECNU) and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 149 (347,823)
Citation 1

Abstract:

Loading...

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

23.

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
Department of Mathematics, University of Michigan and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 145 (355,597)
Citation 3

Abstract:

Loading...

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

24.

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
Nanyang Technological University (NTU) and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 138 (369,764)
Citation 2

Abstract:

Loading...

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

25.

Robust Retirement With Return Ambiguity: Optimal G-Stopping Time in Dual Space

forthcoming in SIAM Journal on Control and Optimization
Number of pages: 25 Posted: 11 Feb 2022 Last Revised: 18 Nov 2022
Kyunghyun Park and Hoi Ying Wong
Nanyang Technological University (NTU) and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 137 (371,813)
Citation 1

Abstract:

Loading...

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

26.

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 136 (373,860)
Citation 4

Abstract:

Loading...

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

27.

Robust Retirement and Life Insurance with Inflation Risk and Model Ambiguity

Number of pages: 37 Posted: 01 Apr 2022 Last Revised: 10 Mar 2023
Kyunghyun Park, Hoi Ying Wong and Tingjin Yan
Nanyang Technological University (NTU), The Chinese University of Hong Kong (CUHK) - Department of Statistics and East China Normal University (ECNU)
Downloads 135 (376,013)

Abstract:

Loading...

Inflation and stock ambiguity, Retirement, Consumption–investment, Life insurance, Robust optimization, Optimal G-stopping time

28.

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 128 (391,913)
Citation 6

Abstract:

Loading...

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

29.

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 120 (411,291)
Citation 1

Abstract:

Loading...

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

30.

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 118 (416,511)

Abstract:

Loading...

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

31.

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
Hong Kong Polytechnic University, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 73 (569,100)

Abstract:

Loading...

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

32.

Irreversible Consumption Habit under Ambiguity: Singular Control and Optimal G-Stopping Time

Number of pages: 40 Posted: 14 Mar 2023
Kyunghyun Park, Kexin Chen and Hoi Ying Wong
Nanyang Technological University (NTU), Hong Kong Polytechnic University and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 67 (595,845)

Abstract:

Loading...

Irreversible consumption habit, Model ambiguity, Robust utility maximization, Duality theory, Singular control, Optimal $G$-stopping time, Reflected $G$-BSDEs

33.

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 58 (640,359)
Citation 1

Abstract:

Loading...

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

34.

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 47 (703,433)
Citation 3

Abstract:

Loading...

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

35.

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Number of pages: 23 Posted: 11 Oct 2018 Last Revised: 17 Oct 2018
Hong Kong Polytechnic University, 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 46 (709,819)
Citation 3

Abstract:

Loading...

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

36.

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 34 (793,294)
Citation 2

Abstract:

Loading...

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

37.

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 34 (793,294)
Citation 8

Abstract:

Loading...

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

38.

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 32 (808,977)

Abstract:

Loading...

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

39.

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 16 (953,087)

Abstract:

Loading...

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

40.

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 13 (993,369)

Abstract:

Loading...

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

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

Abstract:

Loading...

Turbo Warrants, Jump Diffusion, Volatility Smile