C.F. Lo's Home Page

• Education
• Position
• Awards and Honours
• Current Research Interests
• Research Grants
• Recent Representative Publications
• Address/Telephone no./E-mail

Education

1. S.B., Massachussetts Institute of Technology, Cambridge, Massachussetts, U.S.A.,1983
2. Ph.D., Massachussetts Institute of Technology, Cambridge, Massachussetts, U.S.A.,1989
3. M.Sc., Centre for Financial and Management Studies, University of London, London, U.K., 2001

Position

1. 1989-1991, Research Associate, Physics Department, Floride State University, Florida, U.S.A.
2. 1991-now, Associate Professor/Lecturer, Physics Department, The Chinese University of Hong Kong, Hong Kong

Awards and Honours

1. 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".
2. 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"

Current Research Interests

1. Theoretical and Mathematical Physics
2. Condensed Matter Physics
3. Quantum Optics
4. Quantitative Finance

Research Grants

1. Earmarked Grant (93/94): Correlated Squeezed-State Approach for a Dissipative Two-State System
2. Direct Grant (92/93): Squeezing Phenomena in Systems with Strong Electron-Phonon Interaction
3. Direct Grant (93/94): Strong Two-Mode Squeezing
4. Direct Grant (95/96): Correlated Squeezed-State Approach for the Ground State of Strongly Correlated Electrons Coupled to Local Holstein Phonons
5. Direct Grant (96/97): Bosons in Confining Potentials
6. Direct Grant (97/98): Option Valuation of Constant Elasticity of Variance Process with Absorbing Boundaries and Its Applications to the Hong Kong Equity Market
7. Direct Grant (99/00): Valuation of European Options Subject to Default Risk Using Signaling Process
8. Direct Grant (02/03): Estimation of Default Probability by Three-factor Structural Model
9. Visiting Research Fellowship of Hong Kong Institute for Monetary Research, Hong Kong Monetary Authority (06): Structural Models for Estimating the Probabilities of Default of Listed Companies

Recent Representative Publications

1. C.F. Lo
   "Stochastic Gompertz model of tumour cell growth", Journal of Theoretical Biology 248, pp.317-321 (2007).
   
   
2. C.H. Hui, C.F. Lo and M.X. Huang
   "Are corporates' target leverage ratios time-dependent?", International Review of Financial Analysis 15, pp.220-236 (2006).
   
   
3. C.F. Lo and C.M.Y. Kwok
   "Modelling suicide risk in later life", Mathematical Biosciences 202, pp.340-348 (2006).
   
   
4. 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, pp.1399-1405 (2006).
   
   
5. 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, pp.354-357 (2006).
   
   
6. C.F. Lo
   "Exact solutions of the Fokker-Planck equations with moving boundaries", Annals of Physics 319, pp. 326-332 (2005).
   
   
7. C.F. Lo and D. Kiang
   "Quantum oligopoly", Europhysics Letters 64, pp.592-598 (2003).
   
   
8. C.H. Hui, C.F. Lo and S.W. Tsang
   "Pricing corporate bonds with dynamic default barriers", Journal of Risk 5, pp.17-37 (Spring 2003).
   
   
9. C.F. Lo and C.H. Hui
   "Valuation of financial derivatives with time-Dependent parameters - Lie algebraic approach", Quantitative Finance 1, pp.73-78 (2001).
   
   
10. C.F. Lo, K.L. Liu, K.M. Ng and P.H. Yuen
    "Is there a spontaneous breaking of the parity symmetry of the Jaynes-Cummings model without the rotating-wave approximation", Quantum and Semiclasscial Optics 10, pp.L63-L68 (1998).
    
    
11. C.F. Lo and K.L. Liu
    "Multimode bosonic realization of the su(1,1) Lie algebra", Physical Review A 48, pp.3362-3364 (1993).
    
    
12. C.F. Lo and R. Sollie
    "Variational study of a simple model for bipolarons", Physical Review B 45, pp.7102-7105 (1992).