國立中央大學教師履歷平台

期刊著作

• Cross-Market Manipulation on Derivative Market Expiration Dates
  Journal of Derivatives, 33, 1, 94-132, 2025-09-01

• Determinants of disposition effect in the real estate market: Evidence from Taiwan
  Pacific Basin Finance Journal, 87, 2024-10-01
  [ Disposition effect,Information uncertainty,Quantile regression,Real estate,Trading volume ]

• Banks can help? Evidence in the speed of lending for COVID-19 personal relief loans and financial inclusion
  Pacific Basin Finance Journal, 86, 2024-09-01
  [ COVID-19,Financial inclusion,Relief loan ]

• Trust in and Demand for Financial Advice 財務顧問諮詢的信任與需求
  Journal of Management and Business Research, 41, 1, 123-154, 2024-03-01
  [ financial advisor,financial behaviors,financial literacy,mediating effect,trust ]

• A reduced-form model for lease contract valuation with embedded options
  Review of Quantitative Finance and Accounting, 62, 2, 841-864, 2024-02-01
  [ Credit risk,Embedded options,Lease rate,Reduced-form model ]

• Revisiting the valuation of deposit insurance
  Journal of Futures Markets, 42, 1, 77-103, 2022-01-01

• Model risk in risk analysis for no-negative-equity-guarantees
  Journal of Derivatives, 28, 4, 87-110, 2021-06-01
  [ Quantitative methods,Real estate,Use of alternative risk measures of trading risk,VAR ]

• Modeling Housing Price Dynamics and their Impact on the Cost of no-Negative-Equity-Guarantees for Equity Releasing Products
  Journal of Real Estate Finance and Economics, 2020-01-01
  [ Conditional Esscher transform,Equity-releasing products,House Price returns,NNEGs ]

• Derivatives usage for banking industry: evidence from the European markets
  Review of Quantitative Finance and Accounting, 51, 4, 921-941, 2018-11-01
  [ Bank,Derivatives,European markets ]

• Modeling temperature behaviors: Application to weather derivative valuation
  Journal of Futures Markets, 38, 9, 1152-1175, 2018-09-01
  [ equilibrium pricing,long memory,temperature derivatives ]

• The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market
  Journal of Banking and Finance, 94, 152-165, 2018-09-01
  [ Information asymmetry,Informed traders,Option illiquidity premium,Short sales,Short-sale constraints ]

• Anchoring bias in house purchasing decisions: A quantile regression perspective
  Taiwan Economic Review 經濟論文叢刊, 46, 3, 451-500, 2018-09-01
  [ Anchoring bias , G18 , G38 , Homebuyer , Quantile regression JEL classication: G14 , Real estate ]

• 不動產交易之損失趨避
  財務金融學刊 (原中國財務學刊), 26, 1, 25-58, 2018-03-31
  [ 損失趨避,投資者經驗,分量迴歸,不動產市場 ]

• A generalized Brennan–Rubinstein approach for valuing options with stochastic interest rates
  Quarterly Review of Economics and Finance, 67, 92-99, 2018-02-01
  [ American put options,Generalized Brennan–Rubinstein framework,Geske and Johnson method ]

• Qualified Foreign Institutional Investors and the Earnings Informativeness of Income Smoothing 公司盈餘平穩化行為與盈餘資訊性之關係-合格境外機構投資者角色之檢測
  NTU Management Review 臺大管理論叢, 27, 4, 1-42, 2017-12-01
  [ Deregulation,Earnings informativeness,Income smoothing,QFIIs ]

• RISK-SHIFTING BEHAVIOR AT COMMERCIAL BANKS WITH DIFFERENT DEPOSIT INSURANCE ASSESSMENTS: FURTHER EVIDENCE FROM U.S. MARKETS
  Journal of Financial Research, 40, 1, 55-80, 2017-01-01

• ANALYSIS OF INVESTMENT UNCERTAINTY RELATIONSHIP UNDER A JUMP-DIFFUSION MODEL AND CONSTANT ELASTICITY OF VARIANCE PROCESS
  中國統計學報 Journal of the Chinese Statistical Association, 54, 4, 205-228, 2016-12-01
  [ 實質選擇權,CEV模型,跳躍擴散模型 ]

• 評價溫度衍生性商品--以臺灣為例
  財務金融學刊 (原中國財務學刊), -, 24:2, 25-53, 2016-06-01
  [ 溫度衍生性商品,均衡定價模型,日高溫度指數,日低溫度指數 ]

• The role of buy-side anchoring bias: Evidence from the real estate market
  Pacific Basin Finance Journal, 38, 34-58, 2016-06-01
  [ Anchoring bias , Real estate markets , Willingness to pay ]

• Detecting and modelling the jump risk of CO2 emission allowances and their impact on the valuation of option on futures contracts
  Quantitative Finance, 16, 5, 749-762, 2016-05-03
  [ Conditional Esscher transform,Dynamic jump model,Emission allowances,Jump test ]

• 臺灣選擇權市場交易活動之實證研究：文獻回顧與展望
  Academia Economic Papers　經濟論文, 44, 13:2, 57-75, 2016-03-01
  [ 資訊內涵,行為財務學,台指選擇權,實證研究,文獻回顧 ]

• 臺灣財務領域研究之回顧與展望
  休閒產業管理學刊, 33, 1, 105-137, 2016-03-01
  [ 財務領域,財務期刊,文獻回顧 ]

• The effect of stochastic interest rates on a firm’s capital structure under a generalized model
  Review of Quantitative Finance and Accounting, 45, 4, 695-719, 2015-11-01
  [ Bivariate binomial tree,Capital structure,Economy with stochastic interest rates ]

• Sophistication, sentiment, and misreaction
  Journal of Financial and Quantitative Analysis, 50, 4, 903-928, 2015-09-28

• The intraday behavior of information misreaction across various categories of investors in the Taiwan options market
  Journal of Financial Markets, 16, 2, 362-385, 2013-05-01
  [ Investors,Misreaction,Model-free implied variance,Options,Stochastic volatility ]

• The price impact of options and futures volume in after-hours stock market trading
  Pacific Basin Finance Journal, 21, 1, 984-1007, 2013-01-01
  [ After-hours trading , Futures volume , Informed traders , Options volume , Price impact ]

• Fitting and testing for the implied volatility curve using parametric models
  Journal of Futures Markets, 32, 12, 1171-1191, 2012-12-01

• Using Richardson extrapolation techniques to price American options with alternative stochastic processes
  Review of Quantitative Finance and Accounting, 39, 3, 383-406, 2012-10-01
  [ American options,Repeated Richardson extrapolation,Richardson extrapolation,Stochastic process ]

• Re-examining the investment-uncertainty relationship in a real options model
  Review of Quantitative Finance and Accounting, 38, 2, 241-255, 2012-02-01
  [ Critical investment value,Mean reversion,Real options model ]

• Pricing and hedging quanto forward-starting floating-strike asian options
  Journal of Derivatives, 18, 4, 37-53, 2011-06-01

• Efficient and accurate quadratic approximation methods for pricing Asian strike options
  Quantitative Finance, 11, 5, 729-748, 2011-05-01
  [ Asian options,Derivatives pricing,Genetic algorithms,Value at Risk,Wavelets in finance ]

• The valuation of contingent claims using alternative numerical methods
  Journal of International Financial Markets, Institutions and Money, 20, 5, 490-508, 2010-12-01
  [ Executive stock options,Low-discrepancy,Markov chain methods,Multivariate contingent claims,Trinomial tree method ]

• Pricing credit card loans with default risks: A discrete-time approach
  Review of Quantitative Finance and Accounting, 34, 4, 413-438, 2010-05-01
  [ Closed-form solutions,Credit card loans,Default risks ]

• The valuation of multivariate contingent claims under transformed trinomial approaches
  Review of Quantitative Finance and Accounting, 34, 1, 23-36, 2010-01-01
  [ Binary options,Multivariate contingent claims,Transformed-trinomial approaches ]

• Information content of options trading volume for future volatility: Evidence from the Taiwan options market
  Journal of Banking and Finance, 34, 1, 174-183, 2010-01-01
  [ Emerging markets,Foreign investors,Option volume,Volatility ]

• Pricing weather derivatives using a predicting power time series process
  Asia-Pacific Journal of Financial Studies, 38, 6, 863-890, 2009-12-01
  [ CDD,Equilibrium valuation,HDD,Risk aversion,Weather derivatives ]

• Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange
  Journal of Banking and Finance, 33, 4, 757-764, 2009-04-01
  [ Emerging markets , Foreign investors , Option volume ]

• Richardson extrapolation techniques for the pricing of American-style options
  Journal of Futures Markets, 27, 8, 791-817, 2007-08-01

• A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks
  Research in Finance, 23, 193-220, 2006-12-19

• Loan guarantee portfolios and joint loan guarantees with stochastic interest rates
  Quarterly Review of Economics and Finance, 46, 1, 16-35, 2006-02-01
  [ Default probability,Joint loan guarantees,Loan guarantee portfolios ]

• Pricing Options With Price Limits and Market Illiquidity
  Research in Finance, 22, 187-214, 2005-01-01

• Pricing options with American-style average reset features
  Quantitative Finance, 4, 3, 292-300, 2004-06-01

• Analytic approximation formulae for pricing forward-starting Asian options
  Journal of Futures Markets, 23, 5, 487-516, 2003-05-01

• The analysis of duration and immunization strategy under the HJM term structure framework
  Research in Finance, 19, 241-268, 2002-12-01

• Pricing Asian-style interest rate swaps
  Journal of Derivatives, 9, 4, 45-55, 2002-06-01

• Credit enhancement and loan default risk premiums
  Canadian Journal of Administrative Sciences, 19, 3, 301-312, 2002-01-01

• Valuation and hedging of differential swaps
  Journal of Futures Markets, 22, 1, 73-94, 2002-01-01

• Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates
  Journal of Multinational Financial Management, 11, 3, 241-268, 2001-07-01
  [ Currency options,Domestic interest rate risk,Forward hedging strategy,G13 ]

• A binomial option pricing model under stochastic volatility and jump
  Canadian Journal of Administrative Sciences, 18, 3, 192-203, 2001-01-01

研討會著作

• The valuation of a Euro-Convertible Bond
  115-122, 2003-01-01
  [ Bonding,Cost accounting,Economic indicators,Exchange rates,Finance,Least squares methods,Mathematics,National security,Pricing ]