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.

My research is partially supported by NSERC Grant RGPIN-2019-04419.

- Scalable gradients for stochastic differential equations

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

[arXiv] (Earlier version accepted at AISTATS 2020.) - 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. Submitted.

[arXiv] - Multiplicative Schrödinger problem and the Dirichlet transport

With Soumik Pal. Submitted.

[arXiv] - Universal portfolios in stochastic portfolio theory

[arXiv]

- Logarithmic divergence: geometry and interpretation of curvature

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

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

With Ka-Sing Lau and Shi-Lei Kong. To appear in**Proceedings of the 6th Cornell conference on Analysis, Probability and Mathematical Physics**.

[arXiv] - 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].

- 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]

I reviewed papers for the following journals: Annals of Applied Probability, Finance and Stochastics, Computational and Applied Analysis, Information Geometry, Pure and Applied Analysis, SIAM Control and Optimization, Mathematics (MDPI).

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

- Winter 2020: STAC70H3 (Statistics and Finance I), STA2570H (Numerical Methods for Finance and Insurance) (co-taught by Yuchong Zhang)

**St George campus:**STA4246 (Research Topics in Mathematical Finance) (co-taught by Yuchong Zhang) (Winter 2019)

**Scarborough campus:**STAC70H3 (Statistics and Finance I) (Winter 2019).

**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.

- 2020: Advances in Information Geometry, Institute of Statistical Mathematics (Japan) (forthcoming).
- 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.