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 the 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.

I am an associate editor of the journal Information Geometry (2022-present).

Mathematical finance, probability, optimal transport, information geometry, and their applications.

Google schole profile:

arXiv profile:

My research is partially supported by

In 2020 I was happy to receive a

I also gratefully acknowledge support from the

Madhu Gunasingam (Statistics)

Amanjit Kainth (Computer Science, cosupervised by Frank Rudzicz)

Steven Campbell (Statistics, cosupervised by Yuchong Zhang) (defended 2023)

**Adapted optimal transport between Gaussian processes in discrete time**

With Madhu Gunasingam.

Preprint (2024).

[arXiv]

**JKO schemes with general costs**

With Cale Rankin.

Preprint (2024).

[arXiv]

**Information geometry for the working information theorist**

With Kumar Vijay Mishra and M Ashok Kumar.

Preprint (2023).

[arXiv]

**Bregman-Wasserstein divergence: geometry and applications**

With Cale Rankin.

Preprint (2023).

[arXiv]

**Efficient convex PCA with applications to Wasserstein geodesic PCA and ranked data**

With Steven Campbell.

Preprint (2022).

[arXiv]

**Conformal mirror descent with logarithmic divergences**

With Amanjit Singh Kainth and Frank Rudzicz.

*Information Geometry*(2022).

[Journal]

**Tsallis and Rényi deformations linked via a new λ-duality**

With Jun Zhang.

*IEEE Transactions on Information Theory*(2022).

[journal]**Functional portfolio optimization in stochastic portfolio theory**

With Steven Campbell.

*SIAM Journal on Financial Mathematics*(2022).

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

With Jun Zhang.

*Entropy*(2022).

[journal]**Random concave functions**

With Peter Baxendale.

*Annals of Applied Probability*(2022).

[journal]**λ-deformed probability families with subtractive and divisive normalizations**

With Jun Zhang.

*Handbook of Statistics*(2021).

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

With Jiaowen Yang.

*Information Geometry*(2021).

[journal]**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:**

None

**Scarborough campus:**

STAB52: An Introduction to Probability (Fall 2023)

STAC58: Statistical Inference (Winter 2024)

**St George campus:**

STA2047: Stochastic Calculus (Fall 2021)

STA2570: Numerical Methods for Finance and Insurance (Winter 2020, 2023)

STA4246: Research Topics in Mathematical Finance (Winter 2019)

STA4519: Optimal Transport: Theory & Algorithms (Fall 2019)

STA4531: Information Geometry (Fall 2022)

**Scarborough campus:**

STAB52: An Introduction to Probability (Fall 2020)

STAC58: Statistical Inference (Winter 2023)

STAC70: Statistics and Finance I (Winter 2019-2022)

STAD70: Statistics and Finance II (Winter 2022)