國立中央大學教師履歷平台

教師個人簡歷 »

中文姓名

孫立憲

英文姓名

Sun, Li-Hsien

電子郵件

Nash equilibrium Systemic risk Mean Field Game 財務工程財務數學應用機率納許均衡 Clayton copula Copula Inter-bank borrowing and lending inter-bank borrowing and lending system heterogeneous group relative performance 銀行借貸系統數學

現職	國立中央大學理學院統計研究所副教授
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
相關連結	個人網頁 Research Gate GRB資訊系統

科技部學門領域	M - 自然科學 M01 - 統計 M0101 - 數理統計與機率 M0102 - 統計方法 M01020005 - 財務統計(工程、數學) M0105 - 其他應用統計 M02 - 數學 M0206 - 機率理論與應用 M02060003 - 財務數學
政府GRB研究專長領域	1 - 理 10 - 數學 8 - 社會、心理、法律或政治 89 - 統計學
教育部學門領域	4 - 科學 46 - 數學及統計學門 4602 - 統計學類

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

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 Gaussian time series data with copula-based Markov chain models
Computational Statistics, 2024-09-05
[ Change point,Copula ]
Testing unconditional and conditional independence via mutual information
Journal of Econometrics, 240, 2, 2024-03-01
[ Convex optimization,Density ratio,Independence test,Mutual information ]
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 ]
Formulas for Pricing American VIX Options under The Generalized Mixture Volatility Models
Communications in Statistics Part B: Simulation and Computation, 2023-05-07
[ American options,quadratic approximation,generalized 3/2 and 1/2 models,general mixture models,free boundary problem ]
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 ]
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 ]

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]

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

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 Gaussian time series data with copula-based Markov chain models Computational Statistics, 2024-09-05 [ Change point,Copula ]

Testing unconditional and conditional independence via mutual information Journal of Econometrics, 240, 2, 2024-03-01 [ Convex optimization,Density ratio,Independence test,Mutual information ]

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 ]

Formulas for Pricing American VIX Options under The Generalized Mixture Volatility Models Communications in Statistics Part B: Simulation and Computation, 2023-05-07 [ American options,quadratic approximation,generalized 3/2 and 1/2 models,general mixture models,free boundary problem ]

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

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 ]

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 ]

舉辦The 8th Asian Quantitative Finance Conference (AQFC)研討會
1130808~1130815
[無 , 無]

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]

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

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]

Change point estimation for Gaussian time series data with copula-based Markov chain models
Computational Statistics, 2024-09-05
[ Change point,Copula ]

Testing unconditional and conditional independence via mutual information
Journal of Econometrics, 240, 2, 2024-03-01
[ Convex optimization,Density ratio,Independence test,Mutual information ]

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 ]

Formulas for Pricing American VIX Options under The Generalized Mixture Volatility Models
Communications in Statistics Part B: Simulation and Computation, 2023-05-07
[ American options,quadratic approximation,generalized 3/2 and 1/2 models,general mixture models,free boundary problem ]

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

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 ]

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 ]

Mean field social optimization: Feedback person-by-person optimality and the master equation
4921-4926, 2020-12-14

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 ]