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ORCIDHoi Ying Wong
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2020 – today
- 2023
[j34]Kexin Chen
, Chi Seng Pun, Hoi Ying Wong:
Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations. Eur. J. Oper. Res. 304(1): 84-98 (2023)- [j33]Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong:
Optimal expansion of business opportunity. Eur. J. Oper. Res. 309(1): 432-445 (2023) - [j32]Jie Yin, Hoi Ying Wong:
Deep LOB trading: Half a second please! Expert Syst. Appl. 213(Part): 118899 (2023) - [j31]Kyunghyun Park, Hoi Ying Wong:
Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space. SIAM J. Control. Optim. 61(3): 1009-1037 (2023) - 2022
- [j30]Tingjin Yan, Hoi Ying Wong:
Equilibrium pairs trading under delayed cointegration. Autom. 144: 110498 (2022) - [j29]Kexin Chen, Junkee Jeon, Hoi Ying Wong:
Optimal Retirement Under Partial Information. Math. Oper. Res. 47(3): 1802-1832 (2022) - [j28]Kyunghyun Park, Hoi Ying Wong:
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity. SIAM J. Financial Math. 13(3): 802-843 (2022) - 2021
- [j27]Bingyan Han, Hoi Ying Wong:
Time-Inconsistency with Rough Volatility. SIAM J. Financial Math. 12(4): 1553-1595 (2021) - 2020
- [j26]Ka Ho Tsang, Hoi Ying Wong:
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns. SIAM J. Financial Math. 11(2): 593-619 (2020) - [c1]Chi Seng Pun, Lei Wang, Hoi Ying Wong:
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection. IJCAI 2020: 4619-4625
2010 – 2019
- 2019
- [j25]Tingjin Yan, Hoi Ying Wong:
Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility. Autom. 107: 211-223 (2019) - [j24]Chi Seng Pun, Hoi Ying Wong:
A linear programming model for selection of sparse high-dimensional multiperiod portfolios. Eur. J. Oper. Res. 273(2): 754-771 (2019) - [j23]Kexin Chen, Mei Choi Chiu, Hoi Ying Wong:
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration. SIAM J. Financial Math. 10(2): 632-665 (2019) - [j22]Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong:
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy. SIAM J. Financial Math. 10(4): 977-1005 (2019) - 2018
- [j21]Mei Choi Chiu, Hoi Ying Wong, Jing Zhao:
Dynamic safety first expected utility model. Eur. J. Oper. Res. 271(1): 141-154 (2018) - [j20]Mei Choi Chiu, Hoi Ying Wong:
Robust dynamic pairs trading with cointegration. Oper. Res. Lett. 46(2): 225-232 (2018) - 2016
- [j19]Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong:
Non-zero-sum reinsurance games subject to ambiguous correlations. Oper. Res. Lett. 44(5): 578-586 (2016) - [j18]Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong:
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54(5): 2309-2338 (2016) - [j17]Chi Seng Pun, Hoi Ying Wong:
Resolution of Degeneracy in Merton's Portfolio Problem. SIAM J. Financial Math. 7(1): 786-811 (2016) - 2015
- [j16]Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong:
Variance swap with mean reversion, multifactor stochastic volatility and jumps. Eur. J. Oper. Res. 245(2): 571-580 (2015) - [j15]Mei Choi Chiu, Hoi Ying Wong, Jing Zhao:
Commodity derivatives pricing with cointegration and stochastic covariances. Eur. J. Oper. Res. 246(2): 476-486 (2015) - [j14]Mei Choi Chiu, Hoi Ying Wong:
Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies. J. Comput. Appl. Math. 290: 516-534 (2015) - 2014
- [j13]Mei Choi Chiu, Hoi Ying Wong:
Mean-variance portfolio selection with correlation risk. J. Comput. Appl. Math. 263: 432-444 (2014) - 2013
- [j12]Tat Wing Wong, Hoi Ying Wong:
Valuation of stock loans using exponential phase-type Lévy models. Appl. Math. Comput. 222: 275-289 (2013) - [j11]Kwai Sun Leung, Hoi Ying Wong, Hon-Yip Ng:
Currency option pricing with Wishart process. J. Comput. Appl. Math. 238: 156-170 (2013) - [j10]Mei Choi Chiu, Hoi Ying Wong:
Mean-variance principle of managing cointegrated risky assets and random liabilities. Oper. Res. Lett. 41(1): 98-106 (2013) - 2012
- [j9]Ngai Hang Chan, Hoi Ying Wong, Jing Zhao:
Structural model of credit migration. Comput. Stat. Data Anal. 56(11): 3477-3490 (2012) - [j8]Mei Choi Chiu, Hoi Ying Wong:
Mean-variance asset-liability management: Cointegrated assets and insurance liability. Eur. J. Oper. Res. 223(3): 785-793 (2012) - 2011
- [j7]Hoi Ying Wong, Jing Zhao:
An artificial boundary method for the Hull-White model of American interest rate derivatives. Appl. Math. Comput. 217(9): 4627-4643 (2011) - [j6]Hoi Ying Wong, Jing Zhao:
Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process. J. Comput. Appl. Math. 236(2): 150-166 (2011) - [j5]Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong:
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. Oper. Res. Lett. 39(4): 289-295 (2011) - 2010
- [j4]Hoi Ying Wong, Jing Zhao:
Valuing American options under the CEV model by Laplace-Carson transforms. Oper. Res. Lett. 38(5): 474-481 (2010)
2000 – 2009
- 2009
- [j3]Hoi Ying Wong, Yu Wai Lo:
Option pricing with mean reversion and stochastic volatility. Eur. J. Oper. Res. 197(1): 179-187 (2009) - 2008
- [j2]Hoi Ying Wong, Jing Zhao:
An Artificial Boundary Method for American Option Pricing under the CEV Model. SIAM J. Numer. Anal. 46(4): 2183-2209 (2008) - 2001
- [j1]Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau:
Pricing Algorithms of Multivariate Path Dependent Options. J. Complex. 17(4): 773-794 (2001)
Coauthor Index
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