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吳庭斌

Wu, Ting-Pin

tpwu@ncu.edu.tw

其他補助

補助國內大專院校購置「 Datastream 財經資訊」資料庫專案
1050101~1051130

國科會計畫統計

SOFR利率選擇權之評價與避險
1150801~1160731
SOFR利率選擇權之評價與避險
1140801~1150731
SOFR利率模型，SOFR利率模型參數估計與SOFR利率衍生性商品評價與避險
1130801~1141031
[SOFR 利率模型,SOFR利率衍生性商品評價,利率風險管理 , SOFR Interest Rate Model,Pricing of Interest Rate Derivatives,Interest Rate Risk Management]
SOFR利率模型，SOFR利率模型參數估計與SOFR利率衍生性商品評價與避險
1120801~1130731
[SOFR 利率模型,SOFR利率衍生性商品評價,利率風險管理 , SOFR Interest Rate Model,Pricing of Interest Rate Derivatives,Interest Rate Risk Management]
數個關於界限選擇權定價的相關研究
1100801~1111031
[界限選擇權；蒙地卡羅模擬法；金融商品評價 , Barrier Options; Monte Carlo Simulation; Pricing Financial Instruments]
探討台灣以房養老商品目前發展現況與困境:契約設計、契約定價、改善方法及相關建議
1090801~1101031
[台灣以房養老契約設計與評價,利率模型,社會福利 , the design and pricing of Taiwanese reverse mortgages,interest rate models,social welfare]
探討台灣以房養老商品目前發展現況與困境:契約設計、契約定價、改善方法及相關建議
1080801~1090731
[台灣以房養老契約設計與評價,利率模型,社會福利 , the design and pricing of Taiwanese reverse mortgages,interest rate models,social welfare]
人民幣 TRF 之探討: 設計方法、交易動機、交易爭議原因、交易相關建議及定價與風險分析
1070801~1080731
[目標可贖回遠期合約,匯率模型,衍生性商品定價 , Target Redemption Forwards, Exchange Rate Model, Pricing for Derivative Securities]
台灣牛/熊證之定價、避險及分析：雙指數跳躍模型架構下
1060801~1070731
[台灣牛熊證定價及避險,新奇選擇權,平賭過程定價方法 , Pricing and Hedging of Taiwan Callable Bull/Bear Contracts,Exotic Options,Martingale Pricing Method]
人民幣 TRF 之探討: 設計方法、交易動機、交易爭議原因、交易相關建議及定價與風險分析
1060801~1070731
[目標可贖回遠期合約,匯率模型,衍生性商品定價 , Target Redemption Forwards, Exchange Rate Model, Pricing for Derivative Securities]
利率衍生性商品市場之效率性分析
1050801~1060731
[利率衍生性商品市場效率性,利率選擇權定價及避險,利率選擇權套利策略分析 , Efficiency of Interest-Rate Derivatives Markets, Pricing and Hedging of Interest Rate Derivatives, Arbitrage Strategies of Interest Rate Options]
台灣牛/熊證之定價、避險及分析：雙指數跳躍模型架構下
1050801~1060731
[台灣牛熊證定價及避險,新奇選擇權,平賭過程定價方法 , Pricing and Hedging of Taiwan Callable Bull/Bear Contracts,Exotic Options,Martingale Pricing Method]
利率衍生性商品市場之效率性分析
1040801~1050731
[利率衍生性商品市場效率性,利率選擇權定價及避險,利率選擇權套利策略分析 , Efficiency of Interest-Rate Derivatives Markets, Pricing and Hedging of Interest Rate Derivatives, Arbitrage Strategies of Interest Rate Options]

產學合作計畫統計

衍生性商品定價及風險分析
1051201~1091231

期刊著作

Valuation of Spread and Basket Options 價差選擇權與一籃子選擇權之評價
NTU Management Review 臺大管理論叢, 34, 1, 1-44, 2024-04-01
[ basket options,martingale pricing method,spread options ]
Pricing and Risk Management of Multi-Assets Financial Instruments to Natural Disasters
Emerging Markets Finance and Trade, 60, 1, 19-43, 2023-01-01
[ basket options,G13,gamma distribution family,Risk management,risk-neutral valuation relationship,spread options ]
考量跳躍風險下的一籃子選擇權評價
期貨與選擇權學刊, 15, 3, 77~128, 2022-12-16
[ 一籃子選擇權,波松跳躍擴散過程,伯努立跳躍擴散過程,Johnson分配族,Basket options,Poisson jump diffusion process,Bernoulli jump diffusion process,Johnson distribution family ]
Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment
Mathematics, 10, 14, 2022-07-01
[ defined contribution pension plan,dynamic optimization,exchange rate risk,foreign investment,interest rate risk ]
Analytical valuation of exotic double barrier options
Journal of Derivatives, 28, 3, 97-122, 2021-03-01
臺灣以房養老契約設計之改良與評價
證券市場發展季刊, 32, 4, 155-202, 2020-12-01
[ 台灣以房養老契約,台灣老人長期照護問題,公平保險費 ]
Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
Insurance: Mathematics and Economics, 78, 87-104, 2018-01-01
[ Asset allocation , Defined contribution pension plan , Inflation-indexed bond , Minimum guarantee , Stochastic interest rate ]
Barrier caps and floors under the LIBOR market model with double exponential jumps
Journal of Derivatives, 21, 4, 7-30, 2014-01-01
Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Journal of Futures Markets, 33, 9, 827-867, 2013-09-01
A note to enhance the BPW model for the pricing of basket and spread options
Journal of Derivatives, 19, 3, 77-82, 2012-03-01
Pricing Asian-style interest rate swaps within a multi-factor gaussian hjm framework
International Journal of Information and Management Sciences, 22, 4, 357-375, 2011-12-01
[ Asian-style interest rate swaps , Closed-form , HJM model , LIBOR rate , Path-dependent ]
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Journal of Derivatives, 19, 1, 41-55, 2011-09-01
Modifying the LMM to price constant maturity swaps
Journal of Derivatives, 18, 2, 20-32, 2010-12-01
Analytical valuation of barrier interest rate options under market models
Journal of Derivatives, 17, 1, 21-37, 2009-09-01
Valuation of interest rate spread options in a multifactor LIBOR market model
Journal of Derivatives, 16, 3, 38-52, 2009-03-01
Valuation of floating range notes in a LIBOR market model
Journal of Futures Markets, 28, 7, 697-710, 2008-07-01
Cross-currency equity swaps in the BGM model
Journal of Derivatives, 15, 2, 60-76, 2007-12-01
Equity swaps in a LIBOR market model
Journal of Futures Markets, 27, 9, 893-920, 2007-09-01

校內獲獎

106 研究傑出獎
105 研究傑出獎

吳庭斌

Wu, Ting-Pin

現職

專長

專長簡述

最高學歷

相關連結

科技部學門領域

政府GRB研究專長領域

教育部學門領域

其他補助

補助國內大專院校購置「 Datastream 財經資訊」資料庫專案 1050101~1051130

國科會計畫統計

SOFR利率選擇權之評價與避險 1150801~1160731

SOFR利率選擇權之評價與避險 1140801~1150731

SOFR利率模型，SOFR利率模型參數估計與SOFR利率衍生性商品評價與避險 1130801~1141031 [SOFR 利率模型,SOFR利率衍生性商品評價,利率風險管理 , SOFR Interest Rate Model,Pricing of Interest Rate Derivatives,Interest Rate Risk Management]

SOFR利率模型，SOFR利率模型參數估計與SOFR利率衍生性商品評價與避險 1120801~1130731 [SOFR 利率模型,SOFR利率衍生性商品評價,利率風險管理 , SOFR Interest Rate Model,Pricing of Interest Rate Derivatives,Interest Rate Risk Management]

數個關於界限選擇權定價的相關研究 1100801~1111031 [界限選擇權；蒙地卡羅模擬法；金融商品評價 , Barrier Options; Monte Carlo Simulation; Pricing Financial Instruments]

探討台灣以房養老商品目前發展現況與困境:契約設計、契約定價、改善方法及相關建議 1090801~1101031 [台灣以房養老契約設計與評價,利率模型,社會福利 , the design and pricing of Taiwanese reverse mortgages,interest rate models,social welfare]

探討台灣以房養老商品目前發展現況與困境:契約設計、契約定價、改善方法及相關建議 1080801~1090731 [台灣以房養老契約設計與評價,利率模型,社會福利 , the design and pricing of Taiwanese reverse mortgages,interest rate models,social welfare]

人民幣 TRF 之探討: 設計方法、交易動機、交易爭議原因、交易相關建議及定價與風險分析 1070801~1080731 [目標可贖回遠期合約,匯率模型,衍生性商品定價 , Target Redemption Forwards, Exchange Rate Model, Pricing for Derivative Securities]

台灣牛/熊證之定價、避險及分析：雙指數跳躍模型架構下 1060801~1070731 [台灣牛熊證定價及避險,新奇選擇權,平賭過程定價方法 , Pricing and Hedging of Taiwan Callable Bull/Bear Contracts,Exotic Options,Martingale Pricing Method]

人民幣 TRF 之探討: 設計方法、交易動機、交易爭議原因、交易相關建議及定價與風險分析 1060801~1070731 [目標可贖回遠期合約,匯率模型,衍生性商品定價 , Target Redemption Forwards, Exchange Rate Model, Pricing for Derivative Securities]

台灣牛/熊證之定價、避險及分析：雙指數跳躍模型架構下 1050801~1060731 [台灣牛熊證定價及避險,新奇選擇權,平賭過程定價方法 , Pricing and Hedging of Taiwan Callable Bull/Bear Contracts,Exotic Options,Martingale Pricing Method]

產學合作計畫統計

衍生性商品定價及風險分析 1051201~1091231

期刊著作

Valuation of Spread and Basket Options 價差選擇權與一籃子選擇權之評價 NTU Management Review 臺大管理論叢, 34, 1, 1-44, 2024-04-01 [ basket options,martingale pricing method,spread options ]

Pricing and Risk Management of Multi-Assets Financial Instruments to Natural Disasters Emerging Markets Finance and Trade, 60, 1, 19-43, 2023-01-01 [ basket options,G13,gamma distribution family,Risk management,risk-neutral valuation relationship,spread options ]

Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment Mathematics, 10, 14, 2022-07-01 [ defined contribution pension plan,dynamic optimization,exchange rate risk,foreign investment,interest rate risk ]

Analytical valuation of exotic double barrier options Journal of Derivatives, 28, 3, 97-122, 2021-03-01

臺灣以房養老契約設計之改良與評價 證券市場發展季刊, 32, 4, 155-202, 2020-12-01 [ 台灣以房養老契約,台灣老人長期照護問題,公平保險費 ]

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee Insurance: Mathematics and Economics, 78, 87-104, 2018-01-01 [ Asset allocation , Defined contribution pension plan , Inflation-indexed bond , Minimum guarantee , Stochastic interest rate ]

Barrier caps and floors under the LIBOR market model with double exponential jumps Journal of Derivatives, 21, 4, 7-30, 2014-01-01

Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM Journal of Futures Markets, 33, 9, 827-867, 2013-09-01

A note to enhance the BPW model for the pricing of basket and spread options Journal of Derivatives, 19, 3, 77-82, 2012-03-01

Pricing Asian-style interest rate swaps within a multi-factor gaussian hjm framework International Journal of Information and Management Sciences, 22, 4, 357-375, 2011-12-01 [ Asian-style interest rate swaps , Closed-form , HJM model , LIBOR rate , Path-dependent ]

Valuation of CMS spread options with nonzero strike rates in the LIBOR market model Journal of Derivatives, 19, 1, 41-55, 2011-09-01

Modifying the LMM to price constant maturity swaps Journal of Derivatives, 18, 2, 20-32, 2010-12-01

Analytical valuation of barrier interest rate options under market models Journal of Derivatives, 17, 1, 21-37, 2009-09-01

Valuation of interest rate spread options in a multifactor LIBOR market model Journal of Derivatives, 16, 3, 38-52, 2009-03-01

Valuation of floating range notes in a LIBOR market model Journal of Futures Markets, 28, 7, 697-710, 2008-07-01

Cross-currency equity swaps in the BGM model Journal of Derivatives, 15, 2, 60-76, 2007-12-01

Equity swaps in a LIBOR market model Journal of Futures Markets, 27, 9, 893-920, 2007-09-01

校內獲獎

補助國內大專院校購置「 Datastream 財經資訊」資料庫專案
1050101~1051130

SOFR利率選擇權之評價與避險
1150801~1160731

SOFR利率選擇權之評價與避險
1140801~1150731

SOFR利率模型，SOFR利率模型參數估計與SOFR利率衍生性商品評價與避險
1130801~1141031
[SOFR 利率模型,SOFR利率衍生性商品評價,利率風險管理 , SOFR Interest Rate Model,Pricing of Interest Rate Derivatives,Interest Rate Risk Management]

SOFR利率模型，SOFR利率模型參數估計與SOFR利率衍生性商品評價與避險
1120801~1130731
[SOFR 利率模型,SOFR利率衍生性商品評價,利率風險管理 , SOFR Interest Rate Model,Pricing of Interest Rate Derivatives,Interest Rate Risk Management]

數個關於界限選擇權定價的相關研究
1100801~1111031
[界限選擇權；蒙地卡羅模擬法；金融商品評價 , Barrier Options; Monte Carlo Simulation; Pricing Financial Instruments]

探討台灣以房養老商品目前發展現況與困境:契約設計、契約定價、改善方法及相關建議
1090801~1101031
[台灣以房養老契約設計與評價,利率模型,社會福利 , the design and pricing of Taiwanese reverse mortgages,interest rate models,social welfare]

探討台灣以房養老商品目前發展現況與困境:契約設計、契約定價、改善方法及相關建議
1080801~1090731
[台灣以房養老契約設計與評價,利率模型,社會福利 , the design and pricing of Taiwanese reverse mortgages,interest rate models,social welfare]

人民幣 TRF 之探討: 設計方法、交易動機、交易爭議原因、交易相關建議及定價與風險分析
1070801~1080731
[目標可贖回遠期合約,匯率模型,衍生性商品定價 , Target Redemption Forwards, Exchange Rate Model, Pricing for Derivative Securities]

台灣牛/熊證之定價、避險及分析：雙指數跳躍模型架構下
1060801~1070731
[台灣牛熊證定價及避險,新奇選擇權,平賭過程定價方法 , Pricing and Hedging of Taiwan Callable Bull/Bear Contracts,Exotic Options,Martingale Pricing Method]

人民幣 TRF 之探討: 設計方法、交易動機、交易爭議原因、交易相關建議及定價與風險分析
1060801~1070731
[目標可贖回遠期合約,匯率模型,衍生性商品定價 , Target Redemption Forwards, Exchange Rate Model, Pricing for Derivative Securities]

台灣牛/熊證之定價、避險及分析：雙指數跳躍模型架構下
1050801~1060731
[台灣牛熊證定價及避險,新奇選擇權,平賭過程定價方法 , Pricing and Hedging of Taiwan Callable Bull/Bear Contracts,Exotic Options,Martingale Pricing Method]

衍生性商品定價及風險分析
1051201~1091231

Valuation of Spread and Basket Options 價差選擇權與一籃子選擇權之評價
NTU Management Review 臺大管理論叢, 34, 1, 1-44, 2024-04-01
[ basket options,martingale pricing method,spread options ]

Pricing and Risk Management of Multi-Assets Financial Instruments to Natural Disasters
Emerging Markets Finance and Trade, 60, 1, 19-43, 2023-01-01
[ basket options,G13,gamma distribution family,Risk management,risk-neutral valuation relationship,spread options ]

Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment
Mathematics, 10, 14, 2022-07-01
[ defined contribution pension plan,dynamic optimization,exchange rate risk,foreign investment,interest rate risk ]

Analytical valuation of exotic double barrier options
Journal of Derivatives, 28, 3, 97-122, 2021-03-01

臺灣以房養老契約設計之改良與評價
證券市場發展季刊, 32, 4, 155-202, 2020-12-01
[ 台灣以房養老契約,台灣老人長期照護問題,公平保險費 ]

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
Insurance: Mathematics and Economics, 78, 87-104, 2018-01-01
[ Asset allocation , Defined contribution pension plan , Inflation-indexed bond , Minimum guarantee , Stochastic interest rate ]

Barrier caps and floors under the LIBOR market model with double exponential jumps
Journal of Derivatives, 21, 4, 7-30, 2014-01-01

Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Journal of Futures Markets, 33, 9, 827-867, 2013-09-01

A note to enhance the BPW model for the pricing of basket and spread options
Journal of Derivatives, 19, 3, 77-82, 2012-03-01

Pricing Asian-style interest rate swaps within a multi-factor gaussian hjm framework
International Journal of Information and Management Sciences, 22, 4, 357-375, 2011-12-01
[ Asian-style interest rate swaps , Closed-form , HJM model , LIBOR rate , Path-dependent ]

Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Journal of Derivatives, 19, 1, 41-55, 2011-09-01

Modifying the LMM to price constant maturity swaps
Journal of Derivatives, 18, 2, 20-32, 2010-12-01

Analytical valuation of barrier interest rate options under market models
Journal of Derivatives, 17, 1, 21-37, 2009-09-01

Valuation of interest rate spread options in a multifactor LIBOR market model
Journal of Derivatives, 16, 3, 38-52, 2009-03-01

Valuation of floating range notes in a LIBOR market model
Journal of Futures Markets, 28, 7, 697-710, 2008-07-01

Cross-currency equity swaps in the BGM model
Journal of Derivatives, 15, 2, 60-76, 2007-12-01

Equity swaps in a LIBOR market model
Journal of Futures Markets, 27, 9, 893-920, 2007-09-01