國立中央大學
教師個人簡歷
現職
國立中央大學
理學院數學系
助理教授
專長
專長簡述
最高學歷
國立政治大學
金融學系
博士
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
高教深耕計畫
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數學系-陳亭甫
1120101~1121231
國科會計畫統計
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物理資訊神經網路於選擇權定價與校準之研究
1160801~1170731
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物理資訊神經網路於選擇權定價與校準之研究
1150801~1160731
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Copula與狀態相關粒子濾波法的參數估計
1110801~1130731
[Copula、粒子濾波法、狀態相關模型、參數估計 , Copula,Particle Filter,State Dependent Model,Parameter Estimation.]
期刊著作
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Modeling EUA price dynamics: A multistage PDE framework with Market Stability Reserve mechanisms
International Review of Economics and Finance, 110, 2026-09-01
[ EU ETS,EUA pricing,Market stability reserve ] -
The dynamics of correlated shocks: option pricing and estimation in a regime-switching co-jump model
Journal of Statistical Computation and Simulation, 96, 14, 3545-3569, 2026-01-01
[ co-jumps,particle filter,Regime-switching,stochastic volatility ] -
Portfolio Allocation with Dynamic Risk Preferences via Reinforcement Learning
Computational Economics, 64, 4, 2033-2052, 2024-10-01
[ Mean–variance portfolio,Reinforcement learning,Reward function,Risk preference ] -
Upside and downside correlated jump risk premia of currency options and expected returns
Financial Innovation, 9, 1, 2023-12-01
[ Correlated jumps,Currency option,Jump-diffusion process,Risk premia ] -
The Pricing Model of Pension Benefit Guaranty Corporation Insurance with Regime-Switching Processes
Journal of Risk and Financial Management, 15, 6, 2022-06-01
[ EM algorithm,PBGC insurance,pension benefit,regime-switching ] -
Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
Quantitative Finance, 20, 7, 1085-1100, 2020-07-02
[ Capital forbearance,Credit default swaps,Deposit insurance,Moral hazard ] -
Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence
North American Journal of Economics and Finance, 52, 2020-04-01
[ Implied volatility smiles,Mean reversion,Particle filtering,Stochastic volatility,Volatility jumps ] -
The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices
Review of Quantitative Finance and Accounting, 48, 3, 819-848, 2017-04-01
[ Affine styled-facts price dynamics,Jump risk,Mean reversion,Natural gas options,Seasonality ] -
Pricing and hedging european energy derivatives: A case study of wti oil options
Asia-Pacific Journal of Financial Studies, 43, 3, 317-355, 2014-01-01
[ Jump-diffusion,Mean-reversion,Seasonality,Systematic biases ]
校內獲獎
- 114 論文進步獎
- 113 新聘傑出人才獎勵
- 112 新進教師補助