Fung, Siu-Leung
 

B.Sc., M.Phil., Ph.D., HKU.

Job Title: Lecturer

Office: FSC 1207, Fong Shu Chuen Building.

Phone: (852) 3411-5147

Address: Department of Mathematics,
Hong Kong Baptist University, Kowloon Tong, Hong Kong

E-mail: slfung@math.hkbu.edu.hk

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Profile

Siu Leung Fung is a Lecturer in the Department of Mathematics, Faculty of Science at Hong Kong Baptist University.  His research areas are mathematical modeling, bioinformatics and mathematical finance, actuarial science, risk management.  His current research interests include modeling credit risk, pricing financial options and regime-switching models in finance and actuarial science.  He is an author of over 20 publications and his publications include articles published in journals such as Quantitative Finance, Journal of Computational Economics, and others.  He serves as reviewers for journals in various fields including economics, statistics and applied mathematics. He has got his B.Sc., M. Phil. and Ph.D from the Department of Mathematic at the University of Hong Kong in 2001, 2003 and 2006 respectively.  He was awarded the Outstanding Research Postgraduate Student Prize in the University of Hong Kong, Hong Kong (2004).  He was a visiting lecturer in the Department of Applied Mathematics of Hong Kong Polytechnic University from 2007 to 2008.

 

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My Research Interests Include

Markov chain modeling.

Stochastic models for inventory systems.

Biological modeling and computing.

Mathematical finance.

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Selected Papers

Submitted Papers

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Research Grants

1. Non-profit Credit Rating Initiative, (With Robert J. Elliott, Tak-Kuen Siu), RMI Credit Rating

    Research Grant, National University of Singapore, Singapore, 2010.

2. Multivariate Double Hidden Markov Models for Some Financial Time Series, FRG/07-08/II-43,

    HKBU, 2008-2010.

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Reviewer for

International Journal of Robust and Nonlinear Control

The Gazette of the Australian Mathematical Society

Journal of Statistics

Journal of Computational and Applied Mathematics
Business Intelligence in Economic Forecasting: Technologies and Techniques

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Book Recommendation in Mathematical Finance

Frequently asked questions in quantitative finance, Paul Wilmott.

Introduction to the Mathematics of finance, R.J.Williams.

Introduces quantitative finance, Paul Wilmott.

Quantitative risk management, Alexander J. McNeil, Rudiger Frey, Paul Embrechts.

 Lectures on Stochastic analysis: Diffusion Theory, Daniel W. Stroock.

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Students

Current Postgraduates

1.

Chi Yan AU (M.Phil) Co-supervisor

2.

Liu, Yang (Ph.D.) Co-supervisor

Previous M.Sc. students

1.

Tao Jun, Some Markov Chain Models for Credit Risk Measurement, M.Sc. thesis, HKBU, 2009.

2.

Jiang Jun Hua, Some Markov models for credit ratings migration, M.Sc. thesis, HKBU, 2009.

3.

Zeng Xiaolong, Option Pricing under Complete Market, M.Sc. thesis, HKBU, 2009.

4.

Lan Yin Option Pricing under Complete Market and Incomplete Markets, M.Sc. thesis, HKBU, 2009.

5.

Liu Hao, Some Markov chain models for Credit Risk, M.Sc. thesis, HKBU, 2009.

6.

Qian Wangxin, Option Pricing under Complete and Incomplete Markets, M.Sc. thesis, HKBU, 2009.

7.

Hou Jing, Markov Chain Models for Credit Risk Modeling, M.Sc. thesis, HKBU, 2008.

Summer Project Students
1. Cheng Shing Chuen, Hidden Markov Model and Its Applications, 2007.
2. Lee Siu Wing, Markov-Chain Models of Forest Successions, 2007.

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Teaching

Academic Year 2009-2010

(1st semester 09-10) MATH1670 Advanced Calculus

(1st semester 09-10) MATH2150 Mathematical Analysis III

(1st semester 09-10)  SCI1710 Science in Today's Society

(2nd semester 09-10) Risk and Portfolio Management

(2nd semester 09-10) MATH1670 Recreational Mathematics

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Academic Year 2008-2009

(1st semester 08-09) STAT1210 Probability & Statistics

(1st semester 08-09) SCI1710 Science in Today's Society

(1st semester 08-09) SCI3510 Mathematical & Statistical Modelling

 (2nd semester 08-09) MATH1670 Recreational Mathematics

(2nd semester 08-09) MATH1140 Computational Mathematics

(2nd semester 08-09) MATH2230 Operations Research I

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Academic Year 2007-2008

(1st semester 07-08) MATH2110 Differential Equations

(1st semester 07-08) MATH1140 Computational Mathematics

(1st semester 07-08) SCI3510 Mathematical & Statistical Modelling

(2nd semester 07-08) MATH1670 Recreational Mathematics

(2nd semester 07-08) MATH2230 Operations Research I

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Academic Year 2006-2007

(1st semester 06-07) MATH2110 Differential Equations

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Summer Course Program

數趣樂

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