Department of Statistical Sciences

University of Toronto

St George office: **Stewart Building, Room 410A**

Department of Computer and Mathematical Sciences

University of Toronto Scarborough

UTSC office: ** Instructional Centre, Room 345**

E-mail: *tkl.wong"at"utoronto.ca*

Before joining U of T in July 2018, I was a non-tenure track assistant professor in financial mathematics at the Department of Mathematics, University of Southern California. I received my PhD in Mathematics from University of Washington in 2016 under the supervison of Soumik Pal. I also completed an MPhil in Mathematics at The Chinese University of Hong Kong under the guidance of Ka Sing Lau.

Mathematical finance, probability, optimal transport, information geometry, and their applications.

Here are my arXiv and Google Scholar profiles.

My research is partially supported by

In 2020 I received a

Current students: Steven Campbell (with Yuchong Zhang)

- Random concave functions

With Peter Bexandale. Submitted.

[arXiv] - Optimal transport and information geometry

With Jiaowen Yang. Submitted.

[arXiv]

- On time-consistent conditional expectation under probability distortion

With Jin Ma and Jianfeng Zhang. To appear in**Mathematics of Operations Research**.

[arXiv] - Multiplicative Schrödinger problem and the Dirichlet transport

With Soumik Pal. To appear in**Probability Theory and Related Fields**.

[arXiv] - Scalable gradients for stochastic differential equations

With Xuechen Li, Ricky T. Q. Chen and David Duvenaud.**AISTATS 2020**.

[arXiv] - Logarithmic divergence: geometry and interpretation of curvature

With Jiaowen Yang.**Proceedings of the 4th Conference on Geometric Science of Information**(**Best Paper Award**) (2019).

[book chapter] - Random walks and induced Dirichlet forms on compact spaces of homogeneous type

With Ka-Sing Lau and Shi-Lei Kong. In**Analysis, Probability and Mathematical Physics on Fractals**, World Scientific (2020).

[book chapter] - Logarithmic divergences from optimal transport and Rényi geometry

**Information Geometry**(2018).

[journal] - Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio

With Christa Cuchiero and Walter Schachermayer.**Mathematical Finance**(2019).

[journal] - Information geometry in portfolio theory

In Frank Nielsen (Ed.),**Geometric Structures of Information**, Springer (2019).

[book chapter] - Exponentially concave functions and a new information geometry

With Soumik Pal.**The Annals of Probability**(2018).

[journal] - Random walks and induced Dirichlet forms on self-similar sets

with Ka-Sing Lau and Shi-Lei Kong.**Advances in Mathematics**(2017).

[journal]. - The geometry of relative arbitrage

With Soumik Pal.**Mathematics and Financial Economics**(2016)

[journal]. - Volatility harvesting in theory and practice

With Paul Bouchey and Vassilii Nemtchinov.**The Journal of Wealth Management**(2015).

[journal]. - Optimization of relative arbitrage

**Annals of Finance**(2015).

[journal].

- Universal portfolios in stochastic portfolio theory

[arXiv] - Geometry and Optimization of Relative Arbitrage

PhD Thesis (2016). University of Washington.

[link]. - R Package. RelValAnalysis - Relative Value Analysis.

Available on [CRAN] - Energy, entropy, and arbitrage

With Soumik Pal. Unpublished manuscript (2013).

[arXiv]. - Boundary Theory of Random Walk and Fractal Analysis

Mphil Thesis (2011). The Chinese University of Hong Kong.

[link]. - Induced measures of simple random walks on Sierpinski graphs

Unpublished manuscript (2011).

[arXiv]

**St George campus:**

STA4246 (Research Topics in Mathematical Finance) (Winter 2019 second half)

STA4519H (Optimal Transport: Theory & Algorithms) (Fall 2019)

STA2570H (Numerical Methods for Finance and Insurance) (Winter 2020 second half)**Scarborough campus:**

STAC70H3 (Statistics and Finance I) (Winter 2019, 2020).**University of Southern California (2016-2018):**

Calculus I, Introduction to Statistics, Mathematical Finance II, Computational Finance, PhD topic course on optimal transport and information geometry (lecture notes available upon request).**University of Washington (2014-2016):**

ODE, PDE, Matrix Algebra.

- 2019: Economics Meets the Mathematical Sciences, Fields Institute; AMS Sectional Meeting, University of Connecticut Hartford; SIAM Conference on Financial Mathematics & Engineering, Fields Institude; CAIMS 2019, Whistler; Third International Congress on Actuarial Science and Quantitative Finance, Manizales; 4th Conference on Geometric Sciences of Information, ENAC; Mathematical Finance Colloquium, University of Southern California; Eastern Conference in Mathematical Finance, Boston University; Statistics Seminar, McGills University; Department of Mathematics Seminar, The Chinese University of Hong Kong.
- 2018: Statistics Seminar, University of Toronto; Probability Seminar, University of Colorado; Probability and Statistics Seminar, University of Southern California; Applied Mathematics and PDE Seminar, University of Toronto; 9th Western Conference on Mathematical Finance, University of Southern California.
- 2017: 8th Western Conference on Mathematical Finance, University of Washington; CFMAR Seminar, University of California, Santa Barbara; Vienna Seminar in Mathematical Finance and Probability, University of Vienna; Department of Mathematics Seminar, The Chinese University of Hong Kong; Mathematical Finance Colloquium, University of Southern California; Mathematical Finance and Probability Seminar, Rutgers University; Probability Seminar, University of Washington; Analysis Seminar, University of Pittsburgh.
- 2016: Joint Mathematics Meeting, Seattle; CFRM Seminar, University of Washington; Probability and Statistics Seminar, University of Southern California; SIAM Conference on Financial Mathematics & Engineering, Texas.
- 2015: CFMAR Seminar, University of California, Santa Barbara; Stochastic Portfolio Theory and Related Topics, Columbia University; Probability and Computational Finance Seminar, Carnegie Mellon University; Financial/Actuarial Mathematics Seminar, University of Michigan; Mathematical Finance Colloquium, University of Southern California.
- 2013, 2014: Probability Seminar, University of Washington; Statistics Seminar, The Chinese University of Hong Kong; UseR! 2014, University of California, Los Angeles.