LO Chi Fai
Associate Professor
Associate Professor
Education:
- MSc in Financial Management, S.O.A.S., University of London, London, UK, 2001
- PhD in Physics, Massachussetts Institute of Technology, Cambridge, Massachussetts, USA,1989
- SB in Physics, Massachussetts Institute of Technology, Cambridge, Massachussetts, USA,1983
Current Position:
- Associate Professor, Department of Physics, The Chinese University of Hong Kong, Hong Kong
Research Interests:
- Theoretical and Mathematical Physics
- Quantitative Finance
Honours and Awards:
- Certificate of Merit for the 2009 International Conference of Financial Engineering for the paper entitled "Valuation of Fixed Rate Mortgages by Moving Boundary Approach".
- Certificate of Merit for the 2009 International Conference of Systems Biology and Bioengineering for the paper entitled "Stochastic Nonlinear Gompertz Model of Tumour Growth".
- Best Paper Award of the 2007 International Conference of Financial Engineering for the paper entitled "Double barrier hitting time distribution of a mean-reverting lognormal process and its application to pricing exotic options".
- Best Paper Award of the IAENG International Conference on Mathematical, Statistical and Computer Methods in HIV/AIDS 2006 for the paper entitled "First passage time density for the disease progression of HIV infected patients".
Selected Recent Publications:
- C.F. Lo, "A Modified Stochastic Gompertz Model for Tumour Cell Growth", Computational and Mathematical Methods in Medicine 11, 3-11 (2010).
- C.F. Lo, "Exact Time-Dependent Wave Functions of a Confined Time-Dependent Harmonic Oscillator with Two Moving Boundaries", Communications in Theoretical Physics 52, 820-824 (2009).
- C.H. Hui and C.F. Lo, "A Note on Estimating Realignment Probabilities - A First-Passage-Time Approach", Journal of International Money and Finance 28, 804-812 (2009).
- C.F. Lo, H.M. Tang, K.C. Ku and C.H. Hui, "Valuing Time-Dependent CEV Barrier Options", Journal of Applied Mathematics and Decision Sciences 2009, 359623 (2009).
- C.H. Hui, C.F. Lo, E.T.C. Wong and P.K. Man, "Measuring Provisions for Collateralized Retail Lending", The Banking Sector in Hong Kong, ed. by H. Genberg and C.H. Hui, 214-239 (2008).
- C.H. Hui, E.T.C. Wong, C.F. Lo and M.X. Huang, "Benchmarking Model of Default Probabilities of Listed Companies", The Banking Sector in Hong Kong, ed. by H. Genberg and C.H. Hui, 191-213 (2008).
- C.H. Hui, C.F. Lo, V. Yeung and L. Fung, "Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar", International Journal of Finance and Economics 13, 118-134 (2008).
- C.H. Hui, C.F. Lo and K.C. Ku, "Pricing Vulnerable European Options with Stochastic Default Barriers", IMA Journal of Management Mathematics 18, 315-329 (2007).
- C.F. Lo, "Stochastic Gompertz model of tumour cell growth", Journal of Theoretical Biology 248, 317-321 (2007).
- C.H. Hui, C.F. Lo and M.X. Huang, "Are corporates' target leverage ratios time-dependent?", International Review of Financial Analysis 15, 220-236 (2006).
- C.F. Lo and C.M.Y. Kwok, "Modelling suicide risk in later life", Mathematical Biosciences 202, 340-348 (2006).
- C.F. Lo and C.H. Hui, "Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary", Applied Mathematics Letters 19, 1399-1405 (2006).
- S.C. Tse, S.K. So M.Y. Yeung, C.F. Lo, S.W. Wen and C.H. Chen, "The role of charge-transfer integral in determining and engineering the carrier mobilities of 9, 10-di (2-naphthyl)anthracene compounds", Chemical Physics Letters 422, 354-357 (2006).
| Office: | Room 207, 2/F, Science Centre North Block |
| Phone: | (852) 39436362 |
| E-mail: | cflo@phy.cuhk.edu.hk |