Prof. HONG Jeff (洪流教授)

PhD - Industrial Engineering and Management Sciences (Northwestern University)
MSc - Applied Mathematics (University of Cincinnati)
BEng - Automotive Engineering (Tsinghua University)

Endowed Chair Professor

Prof. HONG Jeff (洪流教授)

Contact Information

Address: 7-235, Lau Ming Wai Academic Building
City University of Hong Kong
Phone: +852 34426548
Fax: +852 34420189
E-mail:
jeffhong@cityu.edu.hk
Personal Web:
http://personal.cb.cityu.edu.hk/jeffhong/
Public CV: Download

Professor Jeff Hong received his PhD in Industrial Engineering and Management Sciences from Northwestern University in 2004, MSc in Applied Mathematics from the University of Cincinnati in 2001, and BEng in Automative Engineering and BEng in Industrial Engineering from Tsinghua University in 1999. Prior to joining the City University of Hong Kong, he was Professor, Associate Director of Logistics and Supply Chain Management Institute, and Director of Financial Engineering Laboratory in Department of Industrial Engineering and Logistics Management at the Hong Kong University of Science and Technology. Professor Hong’s research interests include management sciences, operations research, financial engineering and risk management, and business analytics. He published extensively on leading academic journals such as Operations Research and Management Science. He was the winner of the 2009 Operations Best Paper Award from the Institute of Industrial Engineers, the 2012 Outstanding Simulation Publication Award from the INFORMS Simulation Society, and the inaugural Outstanding Research Award from the Operational Research Society of China in 2014. He is currently an Associate Editor of Operations Research, Naval Research Logistics and ACM Transactions on Modeling and Computer Simulation.

 

Publications

Journal Articles
  • L. Jeff Hong, SandeepJuneja, and Guangwu Liu. (2017), "Kernel smoothing for nested estimation with application to portfolio risk measurement", Operations Research, 65, 3, 657-673.
  • Weiwei Fan, L. Jeff Hong, and Barry L. Nelson (2016), "Indifference-zone-free selection of the best", Operations Research, 64, 1499-1514.
  • L. Jeff Hong, Xiaowei Xu, and Shenghao Zhang (2015), "Capacity reservation for time-sensitive service providers: An application in seaport management", European Journal of Operational Research, 245, 490-490.
  • L. Jeff Hong, Jun Luo, and Barry L. Nelson (2015), "Chance constrained selection of the best", Informs Journal on Computing, 27, 317-334.
  • Jun Luo, L. Jeff Hong, Barry L. Nelson, and Yang Wu (2015), "Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environments.", Operations Research, 63, 1177-1194.
  • L. Jeff Hong, Zhaolin Hu, and Guangwu Liu (2014), "Monte Carlo methods for value-at-risk and conditional value-at-risk: A review", ACM Transactions on Modeling and Computer Simulation, 24, 22/1-22/37.
  • Lihua Sun, L. Jeff Hong, and Zhaolin Hu. (2014), "Balancing exploitation and exploration in discrete optimization via simulation through a Gaussian process-based search", Operations Research, 62, 1416-1438.
  • L. Jeff Hong, Zhaolin Hu, and Liwei Zhang (2014), "Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo", Informs Journal on Computing, 26, 385-400.
  • L. Jeff Hong, Sandeep Juneja, and Jun Luo (2014), "Estimating sensitivities of portfolio credit risk using Monte Carlo", Informs Journal on Computing, 26, 848-865.
  • Zhaolin Hu, L. Jeff Hong, and Liwei Zhang (2013), "A smooth Monte Carlo approximation to joint chance-constrained programs", IIE Transactions, 45, 716-735.
  • Jie Xu, L. Jeff Hong, and Barry Nelson (2013), "An adaptive hyperbox algorithm for high-dimensional discrete optimization via simulation problems", Informs Journal on Computing, 25, 133-146.
  • Kuo-Hao Chang, L. Jeff Hong, and Hong Wan (2013), "Stochastic trust-region response-surface method (STRONG) – A new response surface framework for simulation optimization", Informs Journal on Computing, 25, 230-243.
  • Zhaolin Hu, Jing Cao, and L. Jeff Hong (2012), "Robust simulation of global warming policies using the DICE model", Management Science, 58, 2190-2206.
  • Jie Zhang, L. Jeff Hong, and Rachel Q. Zhang (2012), "Fighting strategies in a market with counterfeits", Annals of Operations Research, 192, 49-66.
  • L. Jeff Hong, Yi Yang, and Liwei Zhang (2011), "Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach", Operations Research, 59, 617-630.
  • Guangwu Liu and L. Jeff Hong (2011), "Kernel estimation of the Greeks of financial options", Operations Research, 59, 96-108.
  • L. Jeff Hong, Barry L. Nelson, and Jie Xu (2010), "Speeding up COMPASS for high-dimensional discrete optimization via simulation", Operations Research Letters, 38, 550-555.
  • Lihua Sun and L. Jeff Hong (2010), "Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk.", Operations Research Letters, 38, 246-251.
  • L. Jeff Hong and Guangwu Liu (2010), "Pathwise estimation of probability sensitivities through terminating and steady-state simulations", Operations Research, 58, 357-370.
  • Jie Xu, Barry L. Nelson, and L. Jeff Hong (2010), "Industrial Strength COMPASS: A comprehensive algorithm and software for optimization via simulation.", ACM Transactions on Modeling and Computer Simulation, 20, 3/1-3/29.
  • Michael C. Fu, L. Jeff Hong, and J.Q. Hu (2009), "Conditional Monte Carlo estimation of quantile sensitivities", Management Science, 55, 2019-2027.
  • Guangwu Liu and L. Jeff Hong (2009), "Revisit of stochastic mesh method for pricing American options", Operations Research Letters, 37, 411-414.
  • Guangwu Liu and L. Jeff Hong (2009), "Kernel estimation of quantile sensitivities", Naval Research Logistics, 56, 511-525.
  • L. Jeff Hong and Guangwu Liu (2009), "Simulating sensitivities of conditional value-at-risk", Management Science, 55, 281-293.
  • L. Jeff Hong (2009), "Estimating quantile sensitivities", Operations Research, 57, 118-130.
  • L. Jeff Hong and Barry L. Nelson (2007), "A framework of locally convergent random search algorithms for discrete optimization via simulation", ACM Transactions on Modeling and Computer Simulation, 17, 19/1-19/22.
  • L. Jeff Hong and Barry L. Nelson (2007), "Selecting the best system when systems are revealed sequentially", IIE Transactions, 39, 723-734.
  • Juta Pichitlamken, Barry L. Nelson, and L. Jeff Hong (2006), "A sequential procedure for neighborhood selection-of-the-best in optimization via simulation", European Journal of Operational Research, 173, 283-298.
  • L. Jeff Hong (2006), "Fully sequential indifference-zone selection procedures with variance dependent sampling", Naval Research Logistics, 53, 464-476.
  • L. Jeff Hong and Barry L. Nelson (2006), "Discrete optimization via simulation using COMPASS", Operations Research, 54, 115-129.
  • L. Jeff Hong and Barry L. Nelson (2005), "The tradeoff between sampling and switching: New sequential procedures for indifference-zone selection", IIE Transactions, 37, 623-634.