Hoi Ying Wong

37 papers A* 1Journal 36
YearRankTypeTitle / Venue / Authors
2025 J jnl
Adaptive robust online portfolio selection.
Eur. J. Oper. Res.
Man Yiu Tsang, Tony Sit, Hoi Ying Wong
2025 J jnl
DeepMartingale: Duality of the Optimal Stopping Problem with Expressivity.
CoRR
Junyan Ye, Hoi Ying Wong
2023 J jnl
Deep LOB trading: Half a second please!
Expert Syst. Appl.
Jie Yin, Hoi Ying Wong
2023 J jnl
Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations.
Eur. J. Oper. Res.
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
2023 J jnl
Optimal expansion of business opportunity.
Eur. J. Oper. Res.
Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
2023 J jnl
Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space.
SIAM J. Control. Optim.
Kyunghyun Park, Hoi Ying Wong
2022 J jnl
Equilibrium pairs trading under delayed cointegration.
Autom.
Tingjin Yan, Hoi Ying Wong
2022 J jnl
Optimal Retirement Under Partial Information.
Math. Oper. Res.
Kexin Chen, Junkee Jeon, Hoi Ying Wong
2022 J jnl
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity.
SIAM J. Financial Math.
Kyunghyun Park, Hoi Ying Wong
2021 J jnl
Time-Inconsistency with Rough Volatility.
SIAM J. Financial Math.
Bingyan Han, Hoi Ying Wong
2020 J jnl
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns.
SIAM J. Financial Math.
Ka Ho Tsang, Hoi Ying Wong
2020 A* conf
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection.
IJCAI
Chi Seng Pun, Lei Wang, Hoi Ying Wong
2019 J jnl
A linear programming model for selection of sparse high-dimensional multiperiod portfolios.
Eur. J. Oper. Res.
Chi Seng Pun, Hoi Ying Wong
2019 J jnl
Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility.
Autom.
Tingjin Yan, Hoi Ying Wong
2019 J jnl
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy.
SIAM J. Financial Math.
Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong
2019 J jnl
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration.
SIAM J. Financial Math.
Kexin Chen, Mei Choi Chiu, Hoi Ying Wong
2018 J jnl
Dynamic safety first expected utility model.
Eur. J. Oper. Res.
Mei Choi Chiu, Hoi Ying Wong, Jing Zhao
2018 J jnl
Robust dynamic pairs trading with cointegration.
Oper. Res. Lett.
Mei Choi Chiu, Hoi Ying Wong
2016 J jnl
Non-zero-sum reinsurance games subject to ambiguous correlations.
Oper. Res. Lett.
Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong
2016 J jnl
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.
SIAM J. Control. Optim.
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
2016 J jnl
Resolution of Degeneracy in Merton's Portfolio Problem.
SIAM J. Financial Math.
Chi Seng Pun, Hoi Ying Wong
2015 J jnl
Commodity derivatives pricing with cointegration and stochastic covariances.
Eur. J. Oper. Res.
Mei Choi Chiu, Hoi Ying Wong, Jing Zhao
2015 J jnl
Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies.
J. Comput. Appl. Math.
Mei Choi Chiu, Hoi Ying Wong
2015 J jnl
Variance swap with mean reversion, multifactor stochastic volatility and jumps.
Eur. J. Oper. Res.
Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong
2014 J jnl
Mean-variance portfolio selection with correlation risk.
J. Comput. Appl. Math.
Mei Choi Chiu, Hoi Ying Wong
2013 J jnl
Currency option pricing with Wishart process.
J. Comput. Appl. Math.
Kwai Sun Leung, Hoi Ying Wong, Hon-Yip Ng
2013 J jnl
Mean-variance principle of managing cointegrated risky assets and random liabilities.
Oper. Res. Lett.
Mei Choi Chiu, Hoi Ying Wong
2013 J jnl
Valuation of stock loans using exponential phase-type Lévy models.
Appl. Math. Comput.
Tat Wing Wong, Hoi Ying Wong
2012 J jnl
Mean-variance asset-liability management: Cointegrated assets and insurance liability.
Eur. J. Oper. Res.
Mei Choi Chiu, Hoi Ying Wong
2012 J jnl
Structural model of credit migration.
Comput. Stat. Data Anal.
Ngai Hang Chan, Hoi Ying Wong, Jing Zhao
2011 J jnl
An artificial boundary method for the Hull-White model of American interest rate derivatives.
Appl. Math. Comput.
Hoi Ying Wong, Jing Zhao
2011 J jnl
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility.
Oper. Res. Lett.
Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong
2011 J jnl
Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process.
J. Comput. Appl. Math.
Hoi Ying Wong, Jing Zhao
2010 J jnl
Valuing American options under the CEV model by Laplace-Carson transforms.
Oper. Res. Lett.
Hoi Ying Wong, Jing Zhao
2009 J jnl
Option pricing with mean reversion and stochastic volatility.
Eur. J. Oper. Res.
Hoi Ying Wong, Yu Wai Lo
2008 J jnl
An Artificial Boundary Method for American Option Pricing under the CEV Model.
SIAM J. Numer. Anal.
Hoi Ying Wong, Jing Zhao
2001 J jnl
Pricing Algorithms of Multivariate Path Dependent Options.
J. Complex.
Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau