教師個人簡歷
現職
國立中央大學
理學院統計研究所
教授
專長
應用機率
財務數學
財務工程
專長簡述
應用機率、財務數學、財務工程
最高學歷
美國University of California-Santa Barbara
統計學類
博士
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
-
舉辦The 8th Asian Quantitative Finance Conference (AQFC)研討會
1130808~1130815
[無 , 無]
國科會計畫統計
-
非線性時間序列模型下的即時線上改變點偵測
1140801~1150731
-
非線性時間序列模型下的即時線上改變點偵測
1130801~1140731
-
非線性時間序列模型下的即時線上改變點偵測
1120801~1130731
-
金融系統性風險與過度自信:強化學習框架下的隨機環境及部分資訊銀行借貸系統
1110801~1121031
[金融系統風險,過度自信,銀行借貸系統,強化學習,隨機環境,部份資訊,納許均衡 , Systemic risk,overconfidence,interbank lending and borrowing,reinforcement learning,stochastic environment,partial information,Nash equilibrium] -
金融系統性風險與過度自信:強化學習框架下的隨機環境及部分資訊銀行借貸系統
1100801~1110731
[金融系統風險,過度自信,銀行借貸系統,強化學習,隨機環境,部份資訊,納許均衡 , Systemic risk,overconfidence,interbank lending and borrowing,reinforcement learning,stochastic environment,partial information,Nash equilibrium] -
金融系統性風險與泡沫資產下之隨機賽局
1090801~1100731
[系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game] -
金融系統性風險與泡沫資產下之隨機賽局
1080801~1090731
[系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game] -
投資組合最佳化
1070801~1080731
[延遲因子模型,最佳化,隨機微分方程,高頻交易,隨機賽局,相對表現,納許均衡 , Delay factor model, optimization, coupled forward and backward stochastic differential equations, high frequency trading, stochastic differential games, relative performance, Nash equilibrium] -
財務系統風險與銀行借貸系統
1060801~1070731
-
財務系統風險與隨機延遲賽局
1050801~1060731
產學合作計畫統計
-
資源數據分析與統計報告產學合作計畫
1140901~1141031
[雙樣本檢定,改變點偵測 , two sample t test,change point detection] -
勝圖國際企業股份有限公司系統架構與統計諮訊服務案
1140101~1141231
[黏著度分析,線性迴歸模型,羅吉斯迴歸模型 *計畫英文關鍵詞 , stickiness,generalized linear regressio,logistic regression model] -
勝圖國際企業股份有限公司系統資訊安全架構諮訊服務案
1130101~1131231
[黏著度分析,線性迴歸模型,羅吉斯迴歸模型 , stickiness,generalized linear regression model,logistic regression model] -
金融衍生品市場之金融科技先期研究
1100701~1110630
[財務工程,金融科技,程式交易 , Financial engineering,Financial technology,Algorithm trading]
期刊著作
-
Change point estimation for finite mixture normal time series based on copula-based Markov chain models
中國統計學報 Journal of the Chinese Statistical Association, 63, 4, 337-363, 2025-11-26
[ Change point,copula,Markov chain,mixture Gaussian time series ] -
Detecting Structural Shifts and Estimating Single Change-Points in Interval-Based Time Series
Statistics and Computing, 35, 5, 2025-10-01
[ Change-point estimation,Interval-valued time series,Parametric bootstrap,Stochastic differential equation ] -
Partial Information in a Mean-Variance Portfolio Selection Game
Mathematical Finance, 2025-09-22
[ filtering,mean-variance portfolio selection,partial information,relative performance criteria,regime switching,soft inter-personal equilibria ] -
Pricing formulas for American perpetual knock-out and callable volatility options
Communications in Statistics Part B: Simulation and Computation, 2025-03-21
[ American option,Callable option,Mean-reverting process,Ordinary differential equation,Volatility option ] -
Change point estimation for Gaussian time series data with copula-based Markov chain models
Computational Statistics, 40, 3, 1541-1581, 2025-03-01
[ Change point,Copula,Gaussian time series,Markov chain,Sequential analysis,Serial dependence ] -
Cabinet Stability under Taiwan's Semi-presidentialism: A Power-law Analysis
Taiwan Journal of Democracy, 21, 1, 123-157, 2025-01-01
[ Cabinet stability,Governance,Power law,President-parliament congruence,President-parliament incongruence,Taiwan,Semi-presidentialism ] -
Changepoint detection in Gaussian sequential data with copula-based Markov chain models in an online environment
Journal of Statistical Computation and Simulation, 95, 9, 2117-2144, 2025-01-01
[ Bayesian inference,copula,Markov model,Online changepoint detection,serial dependence ] -
Testing unconditional and conditional independence via mutual information
Journal of Econometrics, 240, 2, 2024-03-01
[ Convex optimization,Density ratio,Independence test,Mutual information ] -
Formulas for pricing American VIX options under the generalized mixture volatility models
Communications in Statistics Part B: Simulation and Computation, 53, 12, 5952-5972, 2024-01-01
[ American options,Free boundary problem,General mixture models,Generalized 3/2 and 1/2 models,Quadratic approximation ] -
The Pareto type I joint frailty-copula model for clustered bivariate survival data
Communications in Statistics Part B: Simulation and Computation, 53, 4, 2006-2030, 2024-01-01
[ Censoring: multivariate survival analysis,Copula,Pareto distribution,Shared frailty model,Truncation ] -
OPTIMAL INVESTMENT AND REINSURANCE OF INSURERS WITH LOGNORMAL STOCHASTIC FACTOR MODEL
Mathematical Control and Related Fields, 12, 2, 531-566, 2022-06-01
[ Asset management,HJB equation,Lognormal interest rate,Risk-sensitive control ] -
Change point estimation under a copula-based Markov chain model for binomial time series
Econometrics and Statistics, 2022-01-01 -
Mean Field Games with Heterogeneous Groups: Application to Banking Systems
Journal of Optimization Theory and Applications, 192, 1, 130-167, 2022-01-01
[ Heterogeneous group,Inter-bank borrowing and lending system,Mean field game,Nash equilibrium,Relative ensemble average,Systemic risk ] -
Estimation under copula-based Markov normal mixture models for serially correlated data
Communications in Statistics Part B: Simulation and Computation, 50, 12, 4483-4515, 2021-01-01 -
A Bayesian inference for time series via copula-based Markov chain models
Communications in Statistics Part B: Simulation and Computation, 49, 11, 2897-2913, 2020-01-01
[ Bayesian inference,Clayton copula,Markov chain Monte Carlo,Metropolis-Hastings algorithm,Nonstandardized Student’s t-distribution ] -
Fitting competing risks data to bivariate Pareto models
Communications in Statistics - Theory and Methods, 48, 5, 1193-1220, 2019-03-04
[ Bivariate Pareto distribution , Frank copula , Kendall's tau , Newton-Raphson algorithm , Survival analysis ] -
Modeling financial interval time series
PLoS ONE, 14, 2, 2019-02-01 -
Systemic Risk and Interbank Lending
Journal of Optimization Theory and Applications, 179, 2, 400-424, 2018-11-01
[ Feller diffusion , Inter lending system , Linear quadratic regulator , Mean Field Game , Nash equilibrium , Stochastic game , Systemic risk ] -
Systemic Risk and Stochastic Games with Delay
Journal of Optimization Theory and Applications, 179, 2, 366-399, 2018-11-01
[ Inter-bank borrowing and lending , Nash equilibrium , Stochastic game with delay , Systemic risk ] -
SYSTEMIC RISK AND STOCHASTIC GAME WITH A CENTRAL BANK
中國統計學報 Journal of the Chinese Statistical Association, 55, 1-19, 2017-12-01
[ Systemic risk,interbank borrowing and lending,stochastic game,Nash equilibrium,central bank ] -
R routines for performing estimation and statistical process control under copula-based time series models
Communications in Statistics Part B: Simulation and Computation, 46, 4, 3067-3087, 2017-04-21
[ Clayton copula , Joe copula , Newton–Raphson algorithm , Shewhart control chart ] -
Mean field games and systemic risk
Communications in Mathematical Sciences, 13, 4, 911-933, 2015-01-01
[ Inter-bank borrowing and lending , Mean field game , Nash equilibrium , Stochastic games , Systemic risk ]
研討會著作
-
Mean field social optimization: Feedback person-by-person optimality and the master equation
4921-4926, 2020-12-14
專書
-
Copula-Based Markov Models for Time Series: Parametric Inference and Process Control
131, 2020-07-01
[ Copula, Maximum Likelihood Estimator, Serial Correlation, Markov Chain, Serial Dependence, Statistical Process Control, Statistical Process Control ]
校外榮譽
- 114 [國際統計學會 ( ISI )] 國際統計學會 Elected Member
- 112 [國家科學及技術委員會] 優秀年輕學者研究計畫
校內獲獎
- 115 研究傑出獎
- 114 研究傑出獎
- 104 新進教師補助
期刊編輯
-
114 ~ 115
Journal of Statistical Computation and Simulation
ISSN 0094-9655 EISSN 1563-5163
副編輯 -
114 ~ 115
Measurement
ISSN 1536-6367 EISSN 1536-6359
副編輯 -
114 ~ 115
中國統計學報 Journal of the Chinese Statistical Association
ISSN 0529-6528
副編輯 -
113 ~ 114
Journal of Statistical Computation and Simulation
ISSN 0094-9655 EISSN 1563-5163
副編輯 -
113 ~ 114
Measurement
ISSN 1536-6367 EISSN 1536-6359
副編輯 -
112 ~ 113
Journal of Statistical Computation and Simulation
ISSN 0094-9655 EISSN 1563-5163
副編輯 -
112 ~ 113
Measurement
ISSN 1536-6367 EISSN 1536-6359
副編輯 -
112 ~ 112
Measurement
ISSN 1536-6367 EISSN 1536-6359
副編輯 -
111 ~ 112
Journal of Statistical Computation and Simulation
ISSN 0094-9655 EISSN 1563-5163
副編輯
著作審查:
-
113 ~ 113
Statistics and Computing
ISSN 0960-3174 EISSN 1573-1375
著作審查 -
111 ~ 111
Stochastic Processes and their Applications
ISSN 0304-4149 EISSN 1879-209X
著作審查 -
110 ~ 110
Journal of Machine Learning Research
ISSN 1532-4435 EISSN 1533-7928
著作審查 -
108 ~ 108
IEEE Transactions on Reliability
ISSN 0018-9529 EISSN 1558-1721
著作審查 -
108 ~ 108
SIAM Journal on Control and Optimization
ISSN 0363-0129 EISSN 1095-7138
著作審查 -
107 ~ 107
SIAM Journal on Financial Mathematics
ISSN 1945-497X EISSN 1945-497X
著作審查
國立中央大學