Department of Statistical Sciences

University of Toronto

St George office: **Hydro Building, Room 9114**

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.

Google schole profile:

arXiv profile:

My research is partially supported by

In 2020 I received a

Steven Campbell (Statistics, cosupervised by Yuchong Zhang)

Madhu Gunasingam (Statistics)

Amanjit Kainth (Computer Science, cosupervised by Frank Rudzicz)

**Functional portfolio optimization in stochastic portfolio theory**

With Steven Campbell.

To appear in*SIAM Journal on Financial Mathematics*(2022).

[arXiv] [codes]**λ-deformation: A canonical framework for statistical manifolds of constant curvature**

With Jun Zhang.

To appear in*Entropy*(2022).

**λ-deformed probability families with subtractive and divisive normalizations**

With Jun Zhang.

*Handbook of Statistics*(2021).

[chapter]**Pseudo-Riemannian geometry encodes information geometry in optimal transport**

With Jiaowen Yang.

*Information Geometry*(2021).

[journal]**Random concave functions**

With Peter Baxendale.

To appear in*Annals of Applied Probability*(2021).

[arXiv]**Projections with logarithmic divergences**

With Zhixu Tao.

*Proceedings of the 5th Conference on Geometric Science of Information*(2021).

[proceeding]**On time-consistent conditional expectation under probability distortion**

With Jin Ma and Jianfeng Zhang.

*Mathematics of Operations Research*(2021).

[journal]**Multiplicative Schrödinger problem and the Dirichlet transport**

With Soumik Pal.

*Probability Theory and Related Fields*(2020).

[journal]**Scalable gradients for stochastic differential equations**

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

*AISTATS 2020*.

[arXiv] [proceeding]**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 divergence: geometry and interpretation of curvature**

With Jiaowen Yang.

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

[proceeding]

**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*Geometric Structures of Information*, Springer (2019).

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

*Information Geometry*(2018).

[journal]**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.

[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**

[arXiv]

**St George campus:**

STA2047: Stochastic Calculus (Fall 2021)**Scarborough campus:**

STAC70H3: Statistics and Finance I (Winter 2022)

STAD70H3: Statistics and Finance II (Winter 2022)

**St George campus:**

STA4246 (Research Topics in Mathematical Finance) (Winter 2019 2nd half)

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

STA2570H: Numerical Methods for Finance and Insurance (Winter 2020 2nd half)**Scarborough campus:**

STAB52: An Introduction to Probability (Fall 2020)

STAC70H3: Statistics and Finance I (Winter 2019, 2020, 2021)