Tony Wirjanto

Professor, Finance

Office: Hagey Hall 383D

Picture of Tony W

Phone: 519-888-4567 x45210

Email: twirjant@uwaterloo.ca

Education and certifications

PhD (Queen's University)

Brief biography

My research interests lie in the following areas: (i) AI & Deep Learning in Cybersecurity, (ii) Climate Change, Climate Finance & Climate Risk, (iii) Computational Finance & Quantitative Finance, (iv) Portfolio Optimization in Finance, and (v) Time Series & Functional Time Series with Financial Applications.

I am also a full professor at the Department of Statistics & Actuarial Science of the Faculty of Mathematics; visit my web page with the Department of Statistics and Actuarial Science. In addition, I am also cross-appointed as a full professor to the Cheriton School of Computer Science of the Faculty of Mathematics.

Selected publications (2024-2020)

AI & Deep Learning in Cybersecurity

  • Chen, J., S. Fu, Z. Ma, M. Feng, T. Wirjanto and Q. Peng (2024). Towards Cross-domain Few-shot Graph Anomaly Detection. Submitted. Working Paper.
  • Chen, J., S. Fu, Z. Ma, M. Feng, T. Wirjanto and Q. Peng (2024). Semi-supervised Anomaly Detection with Extremely Limited Labels in Dynamic Graphs. Submitted. Working Paper.
  • Chen, K., M. Feng, and T. S. Wirjanto (2024). Modeling Cohesive Spatial Relationships in Multivariate Time Series Anomaly Detection. Submitted. Working Paper.
  • Chen, K., M. Feng, and T. S. Wirjanto (2024). Multivariate Time Series Anomaly Detection via Dynamic Graph Forecasting. Submitted. An earlier version of this paper is available at https://arxiv.org/abs/2302.02051.
  • Chen, K., M. Feng, and T. S. Wirjanto (2024). Time-series Anomaly Detection via Contextual Discriminative Contrastive Learning. Submitted. An earlier version of this paper is available at https://arxiv.org/abs/2304.07898.

Climate Change, Climate Finance & Climate Risk

  • Fang, M., K. S. Tan, and T. S. Wirjanto (2024). Valuation of carbon emission allowance options under an open trading phase. Energy Economics 131 (2024) 107351.
  • Cao, H., and T. S. Wirjanto (2023). ESG information integration into portfolio optimization. Journal of Risk Management in Financial Institutions, 2023, Vol. 16, 2, 1–22.
  • Fang, M., K. S. Tan, and T. S. Wirjanto (2024). Some thoughts on the design and modeling of carbon-emission-allowance-linked annuities. Working Paper.
  • Fang, M., K. S. Tan, and T. S. Wirjanto (2024). What lessons can we draw from EU-ETS Phase 1? Valuation of carbon emission allowances under a closed trading phase. Main Text and Appendix. R&R. Working Paper.
  • Zhang, J., K. S. Tan, T. S. Wirjanto and L. Porth (2024). Joint Liability Model with Adaptation to Climate Change. Available at https://arxiv.org/abs/2404.13818.
  • Zhang, J., K. S. Tan, T. S. Wirjanto and L. Porth (2024). Navigating Uncertainty in ESG Investing. An earlier version of this paper is available at https://arxiv.org/abs/2310.02163.
  • He, S., Bui, T., Huang, Y., Zhang, W., Jian, J., Wong, S. W., & Wirjanto, T. S. (2023). Understanding the Impact of Seasonal Climate Change on Canada's Economy by Region and Sector. Submitted. An earlier version of this paper is available at https://arxiv.org/abs/2311.03497.
  • Li, H., Q. Chen and Tony Wirjanto (2024). On Performance of ESG Investing Strategies in Chinese Market. Working Paper.
  • Verhaar, T., X. Xia, and T. Wirjanto (2024). A Statistical Inquiry into Corporate ESG Ratings: Similarity Measures and Clustering Analysis. Working Paper.
  • Dadzie-Dennis, R. A. and T. S. Wirjanto (2024). A Feasibility Study of Climate Portfolio Construction Strategies. Working Paper.
  • Wang, Y., and T. S. Wirjanto (2022). ESG Integration within Equity Portfolios. Working Paper.
  • Zhang, Y. and T. S. Wirjanto (2022). Disagreements on ESG Ratings with Perspectives from Real-Estate Industry. Working Paper.

Computational Finance & Quantitative Finance

  • Li, X., M. Feng, and T. S. Wirjanto (2023). Cutting through the noise: machine learning proxies for high dimensional nested simulation. Proceedings of the 2023 Winter Simulation Conference. C. G. Corlu, S. R. Hunter, H. Lam, B. S. Onggo, J. Shortle, and B. Biller, eds.
  • Choi, Y, and T. S. Wirjanto (2022). A Simple Model of the Nominal Term Structure of Interest Rates. Working Paper.
  • Cheng, Y. H., Y. Shen, and T. S. Wirjanto (2022). Pricing European Call Options with Gram-Charlier Expansions. Working Paper.
  • Chan, P. L., and T. S. Wirjanto (2022). Pricing Asian Options with Matching by Moments. Working Paper.
  • Redekop, J. and T. S. Wirjanto (2022). Exploring a Two-State Markov-Switching Model for Option Pricing. Working Paper.
  • Fang, M. Bruce and T. S. Wirjanto (2022a). Mixture-of-Lognormal Models for European Option Pricing. Working Paper.
  • Fang, M. Bruce and T. S. Wirjanto (2022b). Pricing Exotic Options with Mixture-of-Lognormal Models. Working Paper.
  • Wirjanto, T. S. and G. Zhang (2022). A Framework for Stress Testing using Infinite Server Queueing Theory. Working Paper.
  • Wang, Y. and T. S. Wirjanto (2022). SABR Surface Construction and Comparison Beyond Feller Condition. Working Paper.
  • Mao, Z. and T. S. Wirjanto (2022). Fast Swaption Valuation Methods of Affine Term Structure Models. Working Paper.
  • Liu, C. and T. S. Wirjanto (2022). A Computational Approach to Optimal Execution Strategies. Working Paper.
  • Ye, Z. and T. S. Wirjanto (2022). The Black-Scholes and Heston Models for American Option. Working Paper.
  • Luo, T. and T. Wirjanto (2022). Heston Model in a Low and Negative Interest-Rate Environment. R&R. Working Paper.
  • Zhang, K. and T. S. Wirjanto (2022). Stock Option Volatility Smiles and Non-Parametric Approach to Estimate Implied Volatility Surfaces. Working Paper.
  • Yang, Z. and T. S. Wirjanto (2022). Mean-Conditional Value at Risk Optimization and Non-normal Returns Modeling. Working Paper.

Portfolio Optimization in Finance

  • Huang, Z., P. Wei, C. Weng, and T. S. Wirjanto (2024). Winning Probability Weighted Combined Portfolio. R&R. Working Paper.
  • Guo, D., P. Boyle, C. Weng and T. S. Wirjanto (2024). Age Matters. R&R. An earlier version of this paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3363360.
  • Guo, D., P. Boyle, C. Weng, and T. S. Wirjanto (2024). Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization. Submitted. An earlier version of this paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3070416.
  • Guo, D., P. Boyle, C. Weng, and T. S. Wirjanto (2024). When Does The 1/N Rule Work? R&R. An earlier version of this paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3111531.
  • Guo, D., C. Weng and T. Wirjanto (2024). Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models. R&R. An earlier version of this paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2959808.
  • Sun, M, F. Tao and T. S. Wirjanto (2022). Discrete-time Portfolio Optimization with Transaction Costs for CRRA Investors. Working Paper.
  • Yang, Y. and T. S. Wirjanto (2022). Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints. Working Paper.
  • Wang, Q. and Tony S. Wirjanto (2022). Social Networks, Asset Allocation, and Portfolio Diversification. Main Text and Appendix. Working Paper.

Time Series & Functional Time Series with Financial Applications

  • Rice, G., T. Wirjanto and Y. Zhao (2023). Exploring volatility of crude oil intraday return curves: a functional GARCH-X model. Journal of Commodity Markets, 32, 100361.
  • Diao, L., Y. Meng, C. Weng and T. S. Wirjanto (2023). Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble. North American Actuarial Journal, Volume 27, 2023 - Issue 4, 751-770.
  • Rice, G., T. Wirjanto and Y. Zhao (2020). Tests for Conditional Heteroscedasticity of Functional Data. Journal of Time Series Analysis, Vol. 41, 733-758.
  • Rice, G., T. Wirjanto and Y. Zhao (2020). Forecasting Integrated Volatility Using Functional GARCH Models. International Journal of Forecasting, Vol. 36, 1023-1038.
  • Men, Z., T. S. Wirjanto, and A. W. Kolkiewicz (2021). Multiscale Stochastic Volatility with Heavy Tail and Leverage Effect. Journal of Risk and Financial Management, Vol.14, No. 5, 225.
  • Wang, D., J. Ding, G. Chu, D. Xu and T. S. Wirjanto (2021). Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China. Applied Economics, Vol. 53, No. 7, 781-804.
  • Wirjanto, T. S., Z. Men, and A. W. Kolkiewicz (2022). Stochastic Conditional Duration Models with Mixture Processes. Working Paper.
  • Ng, W. M. and T. S. Wirjanto (2022). Bias in the Estimate of a Mean-Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process. Working Paper.
  • Kolkiewicz, A. W. and T. S. Wirjanto (2022). Best Monotone M-estimators for Autoregressive Processes with Stable Innovations. R&R. Working Paper.
  • Samoo, Y. P. and T. S. Wirjanto (2022). Predicting Cost of Damage due to Pluvial Flooding. Working Paper.
  • Niu, S. and T. S. Wirjanto (2022). Implications of Electricity Price Regimes on Hydroelectric Power Plant Valuation. Working Paper.

Funding

Recent research grants:

  • Society of Actuaries (SOA) Research Institute. 2023-2024, USD $40,000.00, “The Impact of Climate Change Risk on Retirement.”
  • Centers of Actuarial Excellence (CEA): 2023-2027 (extended), $297,000.00, “Maintaining Financial Stability in an Era of Changing Climate and Demographics.”
  • The Social Sciences and Humanities Research Council (SSHRC): 2019-2025 (extended), $140,000.00, "Return Correlations during Episodes of Systemic Crises in Financial Markets."

Editorial boards

  • Co-Editor, Review of Economic Analysis.
  • Editorial Board, Austin Statistics.
  • Associate Editor-in-Chief, Journal of Mathematical Finance.
  • Editorial Board, Mathematical Finance Letters.

Professional services

Courses

  • AFM 323/STAT 374: Quantitative Foundations for Finance.
  • AFM 423/ACTSC 423: Topics in Financial Econometrics: Machine-Learning Approach to Quantitative Investing.
  • ACTSC 974/STAT 974: Financial Econometrics.
  • ACTSC 991/STAT 946: Quantitative Approach to Sustainable Finance.

News

Charting a course down an unknown road

Tony Wirjanto is an expert in using mathematics and statistics to model, measure and forecast financial risk. But the professor of statistics and actuarial science admits if you want to know what lies ahead for the economy - look back. Read more.

Links
Contact information: Tony Wirjanto
Link to additional information: Personal website