國立中央大學教師履歷平台

教師個人簡歷

中文姓名

張傳章

英文姓名

Chang, Chuang-Chang

電子郵件

ccchang@cc.ncu.edu.tw

Derivatives Real estate 國際財管 Financial literacy 衍生性金融商品 Multivariate contingent claims Option volume Foreign investors Informed traders Emerging markets Anchoring bias Conditional Esscher transform 文獻回顧投資人情緒金融知識 Investor sentiment International Finance Management Risk Management 風險管理財務財務工程 Finance 期貨與選擇權

現職	國立中央大學管理學院財務金融學系教授
專長	衍生性金融商品風險管理國際財管 Derivatives Risk Management International Finance Management
專長簡述	期貨與選擇權、財務工程、國際財管
最高學歷	英國The University of Lancaster 會計財務博士
相關連結	個人網頁 Research Gate GRB資訊系統

科技部學門領域	E - 工程及應用科學 E22 - 創新產學平台專案規劃 H - 人文及社會科學 H15 - 經濟學 H15A7 - 財務經濟學 H16 - 管理學 H16AA - 財務 H16AA05 - 衍生性金融商品 H16AA06 - 國際財務 H40 - 財金及會計 H40A1 - 財務 P - 企劃 PNE - 企劃處能源國家型科技計畫 PNE11 - 能源科技策略分項計畫－能源政策
政府GRB研究專長領域	4 - 醫 9 - 管理、科學教育及行政 90 - 管理科學 93 - 財政（含金融，保險）
教育部學門領域	3 - 社會科學、商業及法律 34 - 商業及管理學門 3405 - 財務金融學類

國科會計畫統計

新冠疫情期間紓困貸款政策、銀行流動性創造與金融穩定之探討：以臺灣為例
1140801~1150731
新冠疫情期間紓困貸款政策、銀行流動性創造與金融穩定之探討：以臺灣為例
1130801~1140731
投資人金融知識與ETFs市場參與度
1120801~1130731
[金融知識,行為財務,樂觀偏見 , Financial literacy,Behavior finance,Optimistic biases]
投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例
1110801~1121031
[金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]
投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例
1100801~1110731
[金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]
投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例
1090801~1100731
[金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]
個股選擇權投資人交易資訊與公司創新之研究
1080801~1091031
[投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]
個股選擇權投資人交易資訊與公司創新之研究
1070801~1080731
[投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]
買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係
1060801~1071031
[買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]
個股選擇權投資人交易資訊與公司創新之研究
1060801~1070731
[投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]
買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係
1050801~1060731
[買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]
買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係
1040801~1050731
[買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]
如何使用台灣財金資料庫發表國際財務頂尖期刊-臺灣本土財金巨量資料整合與應用
1040401~1040930
[Big data, Local data, doing research, Industry-academic Cooperation ]

產學合作計畫統計

2017年臺灣財務工程學會年會暨國際學術研討會-高頻交易與金融大數據
1060301~1060630

期刊著作

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, 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 ]

國科會計畫統計

新冠疫情期間紓困貸款政策、銀行流動性創造與金融穩定之探討：以臺灣為例 1140801~1150731

新冠疫情期間紓困貸款政策、銀行流動性創造與金融穩定之探討：以臺灣為例 1130801~1140731

投資人金融知識與ETFs市場參與度 1120801~1130731 [金融知識,行為財務,樂觀偏見 , Financial literacy,Behavior finance,Optimistic biases]

投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例 1110801~1121031 [金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]

投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例 1100801~1110731 [金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]

投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例 1090801~1100731 [金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]

個股選擇權投資人交易資訊與公司創新之研究 1080801~1091031 [投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]

個股選擇權投資人交易資訊與公司創新之研究 1070801~1080731 [投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]

買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係 1060801~1071031 [買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]

個股選擇權投資人交易資訊與公司創新之研究 1060801~1070731 [投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]

買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係 1050801~1060731 [買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]

買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係 1040801~1050731 [買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]

如何使用台灣財金資料庫發表國際財務頂尖期刊-臺灣本土財金巨量資料整合與應用 1040401~1040930 [Big data, Local data, doing research, Industry-academic Cooperation ]

產學合作計畫統計

2017年臺灣財務工程學會年會暨國際學術研討會-高頻交易與金融大數據 1060301~1060630

期刊著作

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 ]

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, 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 ]

新冠疫情期間紓困貸款政策、銀行流動性創造與金融穩定之探討：以臺灣為例
1140801~1150731

新冠疫情期間紓困貸款政策、銀行流動性創造與金融穩定之探討：以臺灣為例
1130801~1140731

投資人金融知識與ETFs市場參與度
1120801~1130731
[金融知識,行為財務,樂觀偏見 , Financial literacy,Behavior finance,Optimistic biases]

投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例
1110801~1121031
[金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]

投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例
1100801~1110731
[金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]

投資人自我控制,財務專家建議及金融消費糾紛之關聯性分析:以台灣為例
1090801~1100731
[金融知識,自我控制,金融消費糾紛 , Financial literacy,self-control,Finandcial dispute.]

個股選擇權投資人交易資訊與公司創新之研究
1080801~1091031
[投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]

個股選擇權投資人交易資訊與公司創新之研究
1070801~1080731
[投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]

買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係
1060801~1071031
[買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]

個股選擇權投資人交易資訊與公司創新之研究
1060801~1070731
[投資人交易資訊,投資人情緒,公司創新 , Investor trading information,Investor sentiment,Corporate innovation]

買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係
1050801~1060731
[買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]

買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係
1040801~1050731
[買賣權隱含波動度差, 投資人情緒,盈餘宣告,選擇權報酬 , Call-put implied volatility spread, Investor sentiment, Earnings announcement, Option returns]

如何使用台灣財金資料庫發表國際財務頂尖期刊-臺灣本土財金巨量資料整合與應用
1040401~1040930
[Big data, Local data, doing research, Industry-academic Cooperation ]

2017年臺灣財務工程學會年會暨國際學術研討會-高頻交易與金融大數據
1060301~1060630

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 ]

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, 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

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 ]