Hoi Ying Wong

According to our database, Hoi Ying Wong authored at least 35 papers between 2001 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

Optimal expansion of business opportunity.

Ling Wang, Kexin Chen, Mei Choi Chiu, Hoi Ying Wong

Eur. J. Oper. Res., August, 2023

Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space.

Kyunghyun Park, Hoi Ying Wong

SIAM J. Control. Optim., June, 2023

Deep LOB trading: Half a second please!

Jie Yin, Hoi Ying Wong

Expert Syst. Appl., 2023

Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations.

Kexin Chen, Chi Seng Pun, Hoi Ying Wong

Eur. J. Oper. Res., 2023

2022

Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity.

Kyunghyun Park, Hoi Ying Wong

SIAM J. Financial Math., September, 2022

Optimal Retirement Under Partial Information.

Kexin Chen, Junkee Jeon, Hoi Ying Wong

Math. Oper. Res., 2022

Equilibrium pairs trading under delayed cointegration.

Tingjin Yan, Hoi Ying Wong

Autom., 2022

2021

Time-Inconsistency with Rough Volatility.

Bingyan Han, Hoi Ying Wong

SIAM J. Financial Math., 2021

2020

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

Ka Ho Tsang, Hoi Ying Wong

SIAM J. Financial Math., 2020

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

Chi Seng Pun, Lei Wang, Hoi Ying Wong

Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence, 2020

2019

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

Kexin Chen, Mei Choi Chiu, Hoi Ying Wong

SIAM J. Financial Math., 2019

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy.

Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong

SIAM J. Financial Math., 2019

A linear programming model for selection of sparse high-dimensional multiperiod portfolios.

Chi Seng Pun, Hoi Ying Wong

Eur. J. Oper. Res., 2019

Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility.

Tingjin Yan, Hoi Ying Wong

Autom., 2019

2018

Robust dynamic pairs trading with cointegration.

Mei Choi Chiu, Hoi Ying Wong

Oper. Res. Lett., 2018

Dynamic safety first expected utility model.

Mei Choi Chiu, Hoi Ying Wong, Jing Zhao

Eur. J. Oper. Res., 2018

2016

Resolution of Degeneracy in Merton's Portfolio Problem.

Chi Seng Pun, Hoi Ying Wong

SIAM J. Financial Math., 2016

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.

Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong

SIAM J. Control. Optim., 2016

Non-zero-sum reinsurance games subject to ambiguous correlations.

Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong

Oper. Res. Lett., 2016

2015

Dynamic cointegrated pairs trading: Mean-variance time-consistent strategies.

Mei Choi Chiu, Hoi Ying Wong

J. Comput. Appl. Math., 2015

Variance swap with mean reversion, multifactor stochastic volatility and jumps.

Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong

Eur. J. Oper. Res., 2015

Commodity derivatives pricing with cointegration and stochastic covariances.

Mei Choi Chiu, Hoi Ying Wong, Jing Zhao

Eur. J. Oper. Res., 2015

2014

Mean-variance portfolio selection with correlation risk.

Mei Choi Chiu, Hoi Ying Wong

J. Comput. Appl. Math., 2014

2013

Mean-variance principle of managing cointegrated risky assets and random liabilities.

Mei Choi Chiu, Hoi Ying Wong

Oper. Res. Lett., 2013

Currency option pricing with Wishart process.

Kwai Sun Leung, Hoi Ying Wong, Hon-Yip Ng

J. Comput. Appl. Math., 2013

Valuation of stock loans using exponential phase-type Lévy models.

Tat Wing Wong, Hoi Ying Wong

Appl. Math. Comput., 2013

2012

Mean-variance asset-liability management: Cointegrated assets and insurance liability.

Mei Choi Chiu, Hoi Ying Wong

Eur. J. Oper. Res., 2012

Structural model of credit migration.

Ngai Hang Chan, Hoi Ying Wong, Jing Zhao

Comput. Stat. Data Anal., 2012

2011

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility.

Mei Choi Chiu, Yu Wai Lo, Hoi Ying Wong

Oper. Res. Lett., 2011

Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process.

Hoi Ying Wong, Jing Zhao

J. Comput. Appl. Math., 2011

An artificial boundary method for the Hull-White model of American interest rate derivatives.

Hoi Ying Wong, Jing Zhao

Appl. Math. Comput., 2011

2010

Valuing American options under the CEV model by Laplace-Carson transforms.

Hoi Ying Wong, Jing Zhao

Oper. Res. Lett., 2010

2009

Option pricing with mean reversion and stochastic volatility.

Hoi Ying Wong, Yu Wai Lo

Eur. J. Oper. Res., 2009

2008

An Artificial Boundary Method for American Option Pricing under the CEV Model.

Hoi Ying Wong, Jing Zhao

SIAM J. Numer. Anal., 2008

2001

Pricing Algorithms of Multivariate Path Dependent Options.

Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau

J. Complex., 2001