Projects per year
Personal profile
Personal profile
Mei Choi obtained her BSc degree in Mathematical Sciences from Hong Kong Baptist University, MPhil degree in Mathematics from Hong Kong University of Science and Technology (HKUST), and PhD degree in Systems Engineering and Engineering Management (SEEM) from the Chinese University of Hong Kong (CUHK). Her work experience includes postdoctoral fellowship at SEEM of CUHK, research associate at Department of Statistics of CUHK, visiting scholar at Department of Mathematics of HKUST, and part-time consultant for the MSc degree program in Financial Mathematics and Statistics of HKUST. She joined Hong Kong Institute of Education as a lecturer in 2012.
Research interests
Mei Choi is interested in the application of stochastic optimal control, stochastic processes and probability theory to Mathematical Finance and Operational Research.
External Appointments
- Mei Choi was invited to serve as External Examiner for MPhil Thesis in 2018.
- Mei Choi was invited to serve as External Examiner for PhD Thesis in 2017.
- Mei Choi was invited to serve as External Examiner for MPhil Thesis in 2016.
Professional information
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Projects
- 3 Finished
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Stochastic Optimal Control Problems in Finance with Non-linear Cointegration: Thresholding and Regime-switching
01/01/15 → 31/12/18
Project: Research project
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Developing and Evaluating a Learning Analytics Platform to Support University Teachers for Pedagogical Decision-making in Fostering Reflective Engagement of Students
KONG, S. C., LIM, C. P., CHIU, M. C., POON, W. Y. I., Wong, Y. W. E., James, P., MOK, M. M. C., LI, P., Clement, L., WONG, K. W. G., SONG, Y., LING, M. H. A. & POON, K. M.
01/07/14 → 30/12/17
Project: Research project
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Mean-variance Portfolio Selection and Asset-liability Management with the Wishart Process
01/08/13 → 31/01/17
Project: Research project
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Volterra mortality model: Actuarial valuation and risk management with long-range dependence
WANG, L., CHIU, M. C. & WONG, H. Y., Jan 2021, In: Insurance: Mathematics and Economics. 96, p. 1-14Research output: Contribution to journal › Articles › peer-review
2 Citations (Scopus) -
Mean–variance equilibrium asset-liability management strategy with cointegrated assets
CHIU, M. C., Apr 2020, In: The ANZIAM Journal. 62, 2, p. 209-234Research output: Contribution to journal › Articles › peer-review
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Pairs trading with illiquidity and position limits
FENG, M., CHIU, M. C. & WONG, H. Y., Nov 2020, In: Journal of Industrial and Management Optimization. 16, 6, p. 2991-3009Research output: Contribution to journal › Articles › peer-review
Open Access -
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy
CHEN, K., CHIU, M. C., SHIN, Y. H. & WONG, H. Y., 2019, In: SIAM Journal on Financial Mathematics. 10, 4, p. 977-1005Research output: Contribution to journal › Articles › peer-review
4 Citations (Scopus) -
Time-consistent mean-variance pairs-trading under regime-switching cointegration
CHEN, K., CHIU, M. C. & WONG, H. Y., 2019, In: SIAM Journal on Financial Mathematics. 10, 2, p. 632-665Research output: Contribution to journal › Articles › peer-review
5 Citations (Scopus)
Prizes
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The IMA Journal of Management Mathematics 2018 Best Paper Prize
CHIU, Mei Choi 徐美彩 (Recipient) & WONG, H. Y. (Recipient), Nov 2018
Prize: Prizes / Awards