Professor

Tony Wirjanto

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Tony Wirjanto

Tony Wirjanto's personal website

Research interests

Professor Wirjanto's research interests focus on developing statistical methodology for applications in the finance area. His work has centered on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of finite mixtures of distributions as well as ultra high-frequency data for volatility forecasting, portfolio choice and financial risk management.

Education/biography

Professor Wirjanto is a professor with the School of Accounting and Finance of the Faculty of Arts and Department of Statistics and Actuarial Science of the Faculty of Mathematics at the University of Waterloo. His other academic appointments and duties include: an associate director of Waterloo Research Institute in Insurance, Securities and Quantitative finance (WatRISQ); a senior fellow at the Rimini Centre for Economic Analysis (RCEA), Rimini, Italy; a senior guest professor at the Department of Finance of the School of Economics at Zhejiang University, Hangzhou, Zhejiang, China; and an associate editor of the Journal of Mathematical Finance, Mathematical Finance Letters, Econometrics, and Empirical Economics.

Selected publications

  • Shen, Y. and T. S. Wirjanto (2018). Stationarity as a Path Property. To appear in Probability and Mathematical Statistics.
  • Fang, M., K. S. Tan, and T. S. Wirjanto (2018). Sustainable Portfolio Management under Climate Change, Journal of Sustainable Finance & Investment, September 21. Doi:10.1080/20430795.2018.1522583.
  • Melkuev, D, D. Guo and T. S. Wirjanto (2018). Applications of Random-Matrix Theory and Nonparametric Change-Point Analysis to Three Notable Systemic Crises. A special issue on Systemic Risk Measurement in Quantitative Finance and Economics, 2(2): 413–467, doi: 10.3934/QFE.2018.2.413.
  • Men, Z. and T. S. Wirjanto (2018). A New Variant of Estimation Approach to Asymmetric Stochastic Volatility Model. A special issue on Volatility of Prices of Financial Assets in Quantitative Finance and Economics, 2(2): 325-347, doi: 10.3934/QFE.2018.2.325.
  • Andrews, D., J. Oberoi, T. S. Wirjanto and C. M. Zhou (2018). Demography and Inflation: An International Study. North American Actuarial Journal, February 13, https://doi.org/10.1080/10920277.2017.1387572.
  • Wirjanto, T. S. and A. Zhu (2018). Implied Volatility Surfaces During the Period of Global Financial Crisis. International Journal of Financial Engineering, March, Vol. 05, No. 01, https://doi.org/10.1142/S2424786318500019.
Affiliation: 
University of Waterloo
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