國立台灣大學    National Taiwan University      國際企業學系    Department of International Business
Basic Information
	Chinese Name 王之彥 English Name Jr-Yan Wang Tel +886-2-33664987 Email jryanwang@ntu.edu.tw Office Room 712 in Building 2 of College of Management, National Taiwan University ORCID orcid.org/0000-0001-7952-121X
Current Position
	Institution Department Position Year National Taiwan University International Business Chairman 2023/08–present National Taiwan University International Business Professor of Finance 2017/08–present National Taiwan University FinTech Center Research Fellow 2019/01–present
Experience
	Institution Department Position Year National Taiwan University International Business Associate Professor 2010/08–2017/07 National Taiwan University   International Business Assistant Professor 2008/08–2010/07 National Taiwan University International Business Adjunct Assistant Professor 2004/02–2008/07 National Taiwan University of Science and Technology Finance Assistant Professor 2006/02–2008/07 National Chung Hsing University Finance Adjunct Assistant Professor 2006/02–2012/01 National Chung Hsing University Finance Assistant Professor 2003/02–2006/01
Education
	Institution Department Major Degree Year National Taiwan University International Business Finance Ph.D. 1997/08–2002/07 National Taiwan University Computer Science and Information Engineering Computer Science M.S. 1996/08–1997/07 National Taiwan University Computer Science and Information Engineering Computer Science B.S. 1992/08–1996/07

Research Areas

• Financial Engineering

• Credit Risk and Stochastic Interest Rate Models

• Stochastic Volatility Models

• Utility and Stochastic Dominance

• Asset Pricing and Behavioral Finance

• Security Trading and Machine Learning

Professional Service

• Reviewer

  • Management Science [SSCI], Journal of Banking and Finance [SSCI], Journal of Futures Markets [SSCI], Economic Modelling [SSCI], Applied Economics [SSCI], Communications in Statistics - Simulation and Computation [SCI]

  • Review of Securities and Futures Markets (證券市場發展季刊) [TSSCI], NTU Management Review (台大管理論叢) [TSSCI], Academia Economic Papers (經濟論文) [TSSCI], Journal of Financial Studies (財務金融學刊) [TSSCI], Sun Yat-Sen Management Review (中山管理評論) [TSSCI], Journal of Futures and Options (期貨與選擇權學刊) [TSSCI], Taiwan Academy of Management Journal (台灣管理學刊) 

  • Project Reviewer, Grant Review Committee, and Appeal Committee, Discipline of Finance and Accounting, Department of Humanities and Social Sciences, National Science and Technology Council, Taiwan (台灣國家科學及技術委員會人文及社會科學研究發展處財務與會計學門初審審員、複審委員與申覆委員)

• Others

• Consultant of Financial Ombudsman Institution (財團法人金融消費評議中心諮詢顧問) 

Awards

• Exceptional Performance Award (Flexible Salary Subsidy), National Taiwan University (台大年度績優教師 (彈性薪資加給)) (August 2023–July 2024, August 2022–July 2023, August 2021–July 2022, August 2020–July 2021, August 2018–July 2019)

• Excellent Teaching Award (top 10% teaching performance in a year), National Taiwan University (台大校教學優良) (August 2023)

• Excellent Teaching in English Award, College of Management of National Taiwan University (台大管理學院全英語授課教學優良) (August 2023)

• International Paper Publication Award, College of Management of National Taiwan University (台大管理學院國際論文發表獎勵) (2023, 2022, 2019, 2018, 2017, 2016, 2015, 2014, 2012, 2011, 2010)

• Exemption from Faculty Evaluation, National Taiwan University (台大免評鑑教師) (since February 2022)

• Excellent Teaching in English Award (top 5% performance for teaching in English in a year), National Taiwan University (台大全英語授課教學優良) (July 2019)

• Academic Award, E. Sun Financial Holding (台大管理學院玉山學術獎) (September 2018)

• 2002 Honorary Member of The Phi Tau Phi Scholastic Honor Society of the Republic of China (中華民國斐陶斐榮譽學會台大分會民國91年榮譽會員)

• National Taiwan University Presidential Award (台大成績優良學生書卷獎) (top 5% academic performance in a semester) (1996, 1995)

Course Information

• Asset Securitization (graduate level)

• Financial Computation or Financial Engineering (graduate level)

• Financial Management (undergraduate level)

• Financial Risk Management (graduate level)

• Financial Risk Management (undergraduate level)

• Financial Theory (graduate level)

• International Financial Investments (graduate level)

• Investments (undergraduate level)

• Mathematics for Management (undergraduate level)

• Numerical Analysis (graduate level)

• Options and Futures (graduate level)

• Options and Futures (undergraduate level)

• Quantitative Methods for Decision Making (undergraduate level)

Student-Related Information

• Rules for Requesting Recommendation Letters (撰寫推薦函之相關規則)

• Contact Information and Job Positions of Former Master and Ph.D. Students

Publications

    A. Journal Publications

1. “An Application of Damped Diffusion for Modeling Volatility Dynamics,” (Mao-Wei Hung, Yi-Chen Ko*, and Jr-Yan Wang), 2023, Journal of Financial Econometrics, Vol. 21, No. 3 (Summer), pp. 779–809. [SSCI] (2021 5-yr Impact Factor 3.593) (NSTC_Finance_2020-A_Tier-1)

2. “A Stochastic-Volatility Equity Price Tree for Pricing Convertible Bonds with Endogenous Firm Values and Default Risks Determined by the First-Passage Default Model,” (Tian-Shyr Dai, Chen-Chiang Fan, Liang-Chih Liu, Chuan-Ju Wang, and Jr-Yan Wang*), 2022, Journal of Futures Markets, Vol. 42, No. 12 (December), pp. 2103–2134. [SSCI] (2021 5-yr Impact Factor 2.350) (NSTC_Finance_2020-A_Tier-2)

3. “Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options,” (Jr-Yan Wang, Chuan-Ju Wang, Tian-Shyr Dai, Tzu-Chun Chen, Liang-Chih Liu*, and Lei Zhou), 2022, Mathematical Problems in Engineering, 5843491, https://doi.org/10.1155/2022/5843491 (May), pp. 1–20. [SCI]

4. “Estimating the Implicit Market Model from Option Prices,” (Bing-Huei Lin, Dean Paxson, Jr-Yan Wang*, and Mei-Mei Kuo), 2022, Review of Securities and Futures Markets, Vol. 34, No. 1 (March), pp. 1–63. [TSSCI]

5. “Comment on "Aging Population, Retirement, and Risk Taking",” (Rachel J. Huang, Larry Y. Tzeng*, Jr-Yan Wang, and Lin Zhao), 2020, Management Science, Vol. 66, No. 6  (June), pp. 2792–2795. [SSCI] (2017 5-yr Impact Factor 4.927) (NSTC_OR_2012-Rank#1)

6. “Operational Asymptotic Stochastic Dominance,” (Rachel J. Huang, Larry Y. Tzeng, Jr-Yan Wang, and Lin Zhao*), 2020, European Journal of Operational Research, Vol. 280, No. 1 (January), pp. 312–322. [SSCI] (2017 5-yr Impact Factor 3.960) (NSTC_OR_2012-Rank#12)

7. “Semistatic Hedging and Pricing American Floating Strike Lookback Options,” (San-Lin Chung*, Yi-Ta Huang, Pai-Ta Shih, and Jr-Yan Wang), 2019, Journal of Futures Markets, Vol. 39, No.4 (April), pp. 418–434. [SSCI] (2016 5-yr Impact Factor 1.378) (NSTC_Finance_2011-A_Tier-2)

8. “A Simple Iteration Algorithm to Price Perpetual Bermudan Options under the Lognormal Jump-Diffusion-Ruin Process,” (San-Lin Chung and Jr-Yan Wang*), 2018, Journal of Futures Markets, Vol. 38, No. 8 (August), pp. 898–924. [SSCI] (2016 5-yr Impact Factor 1.378) (NSTC_Finance_2011-A_Tier-2)

9. “Using Forward Monte-Carlo Simulation for the Valuation of American Barrier Options,” (Daniel Wei-Chung Miao*, Yung-Hsin Lee, and Jr-Yan Wang), 2018, Annals of Operations Research, Vol. 264, No. 1 (May), pp. 339–366. [SCI] (2016 5-yr Impact Factor 1.918) (NSTC_OR_2012-Rank#15)

10. “Rainbow Trend Options: Valuation and Applications,” (Jr-Yan Wang*, Hsiao-Chuan Wang, Yi-Chen Ko, and Mao-Wei Hung), 2017, Review of Derivatives Research, Vol. 20, No. 2 (July), pp. 91–133. [SSCI] (2018 5-yr Impact Factor 0.685) (NSTC_Finance_2011-A-)

11. “A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds,” (Jr-Yan Wang and Tian-Shyr Dai*), 2017,  Journal of Derivatives, Vol. 24, No. 4 (June), pp. 52–79. [SSCI] (2016 5-yr Impact Factor 0.716) (NSTC_Finance_2011-A_Tier-2)

12. “The Valuation of Forward-Start Rainbow Options,” (Chun-Ying Chen, Hsiao-Chuan Wang, Jr-Yan Wang*), 2015, Review of Derivatives Research, Vol. 18, No. 2 (July), pp. 145–189. [SSCI] (2018 5-yr Impact Factor 0.685) (NSTC_Finance_2011-A-)

13. “A Lattice Model for Option Pricing Under GARCH-Jump Processes,” (Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang*, and Ping-Da Wu), 2013, Review of Derivatives Research, Vol. 16, No. 3 (October), pp. 295–329. [SSCI] (2018 5-yr Impact Factor 0.685) (NSTC_Finance_2011-A-)

14. “Loss Aversion and the Term Structure of Interest Rates,” (Mao-Wei Hung* and Jr-Yan Wang), 2011, Applied Economics, Vol. 43, No. 29 (November), pp. 4623–4640. [SSCI] (2016 5-yr Impact Factor 0.81) (NSTC_Economics_2010-C)

15. “Structure of Spot Rates and Duration Hedging,” (Bing-Huei Lin, Jr-Yan Wang, and Shih-Wen Tai*), 2011, Asia-Pacific Journal of Financial Studies, Vol. 40, No. 4 (August), pp. 550–576. [SSCI] (2016 5-yr Impact Factor 0.481) (NSTC_Finance_2011-B+)

16. “Tight Bounds on American Option Prices,” (San-Lin Chung, Mao-Wei Hung, and Jr-Yan Wang*), 2010, Journal of Banking & Finance, Vol. 34, No. 1 (January), pp. 77–89. [SSCI] (2016 5-yr Impact Factor 2.57) (NSTC_Finance_2011-A_Tier-1)

17. “Adaptive Placement Method on Pricing Arithmetic Average Options,” (Tian-Shyr Dai, Jr-Yan Wang*, and Hui-Shan Wei), 2008, Review of Derivatives Research, Vol. 11, No. 1–2 (November), pp. 83–118. [SSCI] (2018 5-yr Impact Factor 0.685) (NSTC_Finance_2011-A-)

18. “Variance Reduction for Multivariate Monte Carlo Simulation,” (Jr-Yan Wang*), 2008, Journal of Derivatives, Vol. 16, No. 1 (September), pp. 7–28. [SSCI] (2016 5-yr Impact Factor 0.716) (NSTC_Finance_2011-A_Tier-2)

19. “An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options,” (Tian-Shyr Dai*, Jr-Yan Wang, and Hui-Shan Wei), 2007, Lecture Notes in Computer Science, Vol. 4508 (June), pp. 262–272. [SCI-Expanded]

20. “Asset Prices under Prospect Theory and Habit Formation,” (Mao-Wei Hung* and Jr-Yan Wang), 2005, Review of Pacific Basin Financial Markets and Policies, Vol. 8, No. 1 (March), pp. 1–29. (NSTC_Finance_2011-B)

21. “Pricing Convertible Bonds Subject to Default Risk,” (Mao-Wei Hung* and Jr-Yan Wang), 2002, Journal of Derivatives, Vol. 10, No. 2 (December), pp. 75–87. [SSCI] (2016 5-yr Impact Factor 0.716) (NSTC_Finance_2011-A_Tier-2)

    * The ways to use the PDF files of the papers on this website are under the restrictions of the journals’ or publishers’ copyright policies.

    B. Conference Publications

1. “Comparative Analyses of Stochastic Volatility Dynamics for Predicting Realized Volatility and Pricing Index Options on the S&P 500,” (Mao-Wei Hung, Yi-Chen Ko, Daniel Wei-Chung Miao, and Jr-Yan Wang*), in 2024 Cross-Strait Economic Management Theory and Practice Conference, Beijing, China, March 29–April 1, 2024.

2. “Comparative Analyses of Stochastic Volatility Dynamics for Predicting Realized Volatility and Pricing Index Options on the S&P 500,” (Mao-Wei Hung, Yi-Chen Ko, Daniel Wei-Chung Miao, and Jr-Yan Wang*), in 2023 World Finance Conference, Kristiansand, Norway, August 2–4, 2023.

3. “Estimate Alpha, Beta, and Firm-Specific Risk from Option Prices,” (Bing-Huei Lin, Dean Paxson, Jr-Yan Wang*, and Mei-Mei Kuo), in 2020 International Conference on Business, Information, Tourism, and Economics, Osaka, Japan, January 15–17, 2020.

4. “Estimate Alpha, Beta, and Firm-Specific Risk from Option Prices,” (Bing-Huei Lin, Dean Paxson, Jr-Yan Wang*, and Mei-Mei Kuo), in 2019 International Conference on Business, Big-Data, and Decision Sciences, Tokyo, Japan, August 22–24, 2019.

5. “Semi-Static Hedging and Pricing American Floating Strike Lookback Options,” (San-Lin Chung, Yi-Ta Huang, Pai-Ta Shih, and Jr-Yan Wang*), in 2019 2nd International Conference on Business Management, Social Science and Sustainable Development, Tokyo, Japan, January 19–20, 2019.

6. “Semi-Static Hedging and Pricing American Floating Strike Lookback Options,” (San-Lin Chung*, Yi-Ta Huang, Pai-Ta Shih, and Jr-Yan Wang), in 2018 FMA Annual Meeting, San Diego, U.S.A., October 10–13, 2018.

7. “Semi-Static Hedging and Pricing American Floating Strike Lookback Options,” (San-Lin Chung, Yi-Ta Huang, Pai-Ta Shih, and Jr-Yan Wang*), in the 8th Academic International Conference on Business, Marketing, and Management, Boston, U.S.A., July 16–18, 2018.

8. “Semi-Static Hedging and Pricing American Floating Strike Lookback Options,” (San-Lin Chung, Yi-Ta Huang, Pai-Ta Shih, and Jr-Yan Wang*), in the 25th Annual Conference of the Multinational Finance Society, Budapest, Hungary, June 24–27, 2018.

9. “Asymptotic Stochastic Dominance,” (Rachel J. Huang*, Larry Y. Tzeng, Jr-Yan Wang, and Lin Zhao), in 2017 ARIA Annual Meeting, Toronto, Canada, August 6–9, 2017.

10. “Price Behavior of EU Emission Allowances,” (Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang*), in 2017 SIBR Osaka Conference on Interdisciplinary Business & Economics Research, Osaka, Japan, July 6–7, 2017.

11. “Price Dynamics of CO2 Emission Allowance and Theory of Storage,” (Mao-Wei Hung, Yi-Chen Ko*, and Jr-Yan Wang), in 2016 FMA Annual Meeting, Las Vegas, U.S.A., October 19–22, 2016.

12. “Pricing Convertible Bonds under the First-Passage Credit Risk Model,” (Chuan-Ju Wang, Tian-Shyr Dai*, and Jr-Yan Wang), in 2016 FMA Annual Meeting, Las Vegas, U.S.A., October 19–22, 2016.

13. “Price Dynamics of CO2 Emission Allowance and Theory of Storage,” (Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang*), in 2016 World Finance Conference, New York, U.S.A., July 29–31, 2016.

14. “Price Dynamics of CO2 Emission Allowance and Theory of Storage,” (Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang*), in 2016 FMA European Conference, Helsinki, Finland, June 9–10, 2016.

15. “A Simple Iteration Algorithm to Price Perpetual Bermudan Options,” (San-Lin Chung and Jr-Yan Wang*), in 2015 FMA European Conference, Venice, Italy, June 11–12, 2015.

16. “Pricing Convertible Bonds under the First-Passage Credit Risk Model,” (Tian-Shyr Dai, Jr-Yan Wang, and Chuan-Ju Wang*), in the 22nd Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Nagoya, Japan, September 4–5, 2014.

17. “Rainbow Trend Options: Valuation and Applications,” (Hsiao-Chuan Wang*  and Jr-Yan Wang), in the 21st Annual Conference of the Multinational Finance Society, Prague, Czech Republic, June 29–July 2, 2014.

18. “Rainbow Trend Options: Valuation and Applications,” (Hsiao-Chuan Wang  and Jr-Yan Wang*), in 2014 FMA European Conference, Maastricht, Netherlands, June 11–13, 2014.

19. “A Revised Reduced-Form Model: Application for Pricing Convertible Bonds,” (Tian-Shyr Dai and Jr-Yan Wang*), in 2013 FMA Annual Meeting, Chicago, U.S.A., October 16–19, 2013.

20. “A Revised Reduced-Form Model: Application for Pricing Convertible Bonds,” (Tian-Shyr Dai and Jr-Yan Wang*), in 2013 FMA European Conference, Luxembourg City, Luxembourg, June 12–14, 2013.

21. “Deriving Implied Betas and Firm-Specific Risks from Option Prices,” (Bing-Huei Lin, Dean Paxson, Jr-Yan Wang*, and Mei-Mei Kuo), in 2013 FMA Asian Conference, Shanghai, China, April 17–19, 2013.

22. “Deriving Implied Betas from Option Prices,” (Bing-Huei Lin, Dean Paxson, Jr-Yan Wang*, and Mei-Mei Kuo), in 2012 FMA European Conference, Istanbul, Turkey, June 6–8, 2012.

23. “Measuring Systematic Risk Using Implied Beta in Option Prices,” (Bing-Huei Lin*, Dean Paxson, Jr-Yan Wang, and Mei-Mei Kuo), in 2011 European FMA Conference, Braga, Portugal, June 22–25, 2011.

24. “The Valuation of Forward-Start Rainbow Options,” (Chun-Ying Chen and Jr-Yan Wang*), in 2011 FMA European Conference, Porto, Portugal, June 8–10, 2011.

25. “Linear-Time Combinatorial Option Pricing Algorithms on the Trinomial Lattice Model,” (Tzu-Chun Chen, Tian-Shyr Dai*, and Jr-Yan Wang), in The 2010 International Conference on Scientific Computing, Las Vegas, Nevada, USA, July 12–15, 2010.

26. “The Valuation of Forward-Start Rainbow Options,” (Chun-Ying Chen and Jr-Yan Wang*), in The Third Workshop on Derivatives Innovation and Risk Management, Taipei, Taiwan, October 1–2, 2009.

27. “The Valuation of Forward-Start Rainbow Options,” (Chun-Ying Chen and Jr-Yan Wang*), in 2009 FMA European Conference, Turin, Italy, June 3–5, 2009.

28. “Simulation Approaches for Pricing Option under GARCH-Jump Process,”  (Bing-Huei Lin, Jr-Yan Wang, and Shih-Wen Tai*), in First Asia Conference on Financial Engineering and Markets (ACFE), City University of Hong Kong, Kowloon, Hong Kong, June 23–24, 2008.

29. “An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options,”  (Tian-Shyr Dai*, Jr-Yan Wang, and Hui-Shan Wei), in The Third International Conference on Algorithmic Aspects in Information and Management, Portland, USA, June 6–8, 2007.

30. “Option Pricing with Discontinuous Jumps and GARCH Effect,” (Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang*, and Tsung-Hsing Wu), in The First International Financial Planning Conference and CEO forum, Taipei, Taiwan, April 13–14, 2007.

31. “Variance Reduction for Multivariate Monte Carlo Simulation,” (Jr-Yan Wang*) in New Paradigms of Management, the 4th Annual Academic Conference, Taipei, Taiwan, November 7, 2005.

32. “Behavioral Finance Utility Functions and the Optimal Hedge ratio of the Futures,” (Mao-Wei Hung and Jr-Yan Wang*), in Academic Conference of Finance, Taiwan Finance Association, Taichung, Taiwan, May 7, 2004.

33. “Asset Prices under Prospect Theory and Habit Formation,” (Mao-Wei Hung and Jr-Yan Wang*), in the 11^th Annual Conference on Pacific Basin Finance, Economics, and Accounting (PBFEA), Taipei, Taiwan, November 21–22, 2003.

34. “Asset Prices under Prospect Theory and Habit Formation,” (Mao-Wei Hung and Jr-Yan Wang*), in Academic Conference of Finance, Taiwan Finance Association, Taichung, Taiwan, March 26, 2003.

35. “Pricing Convertible Bonds Subject to Default Risk,” (Mao-Wei Hung and Jr-Yan Wang*), in Academic Conference of Finance, Taiwan Finance Association, Taichung, Taiwan, 2002.

    C. Books or Dissertation

1. “Prospect Theory and Asset Pricing,” Ph.D. Dissertation, 2002, National Taiwan University.

Research Grants

1. “Static Hedge and Valuation of American Options under Stochastic Volatility,” National Science and Technology Council of Taiwan, NSTC 112-2410-H-002-148, August 2023–July 2024.

2. “Three Essays for American or European Multi-Asset Extremum Options,” Ministry of Science and Technology of Taiwan, MOST 109-2410-H-002-034-MY3 (3/3), August 2022–July 2023.

3. “Three Essays for American or European Multi-Asset Extremum Options,” Ministry of Science and Technology of Taiwan, MOST 109-2410-H-002-034-MY3 (2/3), August 2021–July 2022.

4. “Three Essays for American or European Multi-Asset Extremum Options,” Ministry of Science and Technology of Taiwan, MOST 109-2410-H-002-034-MY3 (1/3), August 2020–July 2021.

5. “Between First- and Second-Order Stochastic Dominance Bounds for Option Prices,” Ministry of Science and Technology of Taiwan, MOST 107-2410-H-002-059-MY2 (2/2), August 2019–July 2020.

6. “Between First- and Second-Order Stochastic Dominance Bounds for Option Prices,” Ministry of Science and Technology of Taiwan, MOST 107-2410-H-002-059-MY2 (1/2), August 2018–July 2019.

7. “Estimation for Generalized Stochastic Volatility Models with VIX,” Ministry of Science and Technology of Taiwan, MOST 106-2410-H-002-062-, August 2017–July 2018.

8. “Pricing CO2 Emission Allowance Derivatives and Theory of Storage,” Ministry of Science and Technology of Taiwan, MOST104-2410-H-002-039-MY2 (2/2), August 2016–July 2017.

9. “Pricing CO2 Emission Allowance Derivatives and Theory of Storage,” Ministry of Science and Technology of Taiwan, MOST104-2410-H-002-039-MY2 (1/2), August 2015–July 2016.

10. “A Structural Model of Default Risk With the Jump-Diffusion Leverage Ratio Process,” National Science Council of Taiwan, NSC101-2410-H-002-063-MY3 (3/3), August 2014–July 2015.

11. “A Structural Model of Default Risk With the Jump-Diffusion Leverage Ratio Process,” National Science Council of Taiwan, NSC101-2410-H-002-063-MY3 (2/3), August 2013–July 2014.

12. “A Structural Model of Default Risk With the Jump-Diffusion Leverage Ratio Process,” National Science Council of Taiwan, NSC101-2410-H-002-063-MY3 (1/3), August 2012–July 2013.

13. “Tree-Based Correlated Default Models, National Science Council of Taiwan,” NSC 99-2410-H-002-073-MY2 (2/2), August 2011–July 2012.

14. “Tree-Based Correlated Default Models, National Science Council of Taiwan,” NSC 99-2410-H-002-073-MY2 (1/2), August 2010–July 2011.

15. “Tight Lower and Upper Bounds on American Option Prices,” National Science Council of Taiwan, NSC 98-2410-H-002-082, August 2009–July 2010.

16. “Information Contents of Derivatives Markets-Habit Formation, Business Cycle, and Index Option Value,” National Science Council of Taiwan, NSC 95-2416-H-002-064-MY3 (3/3), August 2008–July 2009.

17. “Information Contents of Derivatives Markets-Habit Formation, Business Cycle, and Index Option Value,” National Science Council of Taiwan, NSC 95-2416-H-002-064-MY3 (2/3), August 2007–July 2008.

18. “Information Contents of Derivatives Markets-Habit Formation, Business Cycle, and Index Option Value,” National Science Council of Taiwan, NSC 95-2416-H-002-064-MY3 (1/3), August 2006–July 2007.

19. “The Analysis of the Interest Rate Futures Market and its Future Development,” Taiwan Futures Exchange, January 2007–June 2007 (with Bing-Huei Lin).

20. “The Study of the Cash Settlement for Treasury Bond Futures,” Taiwan Futures Exchange, April 2006–August 2006 (with Bing-Huei Lin).

21. “Disappointment Aversion and Value at Risk: Optimal Risk Management Using Options,” National Science Council of Taiwan, NSC 94-2416-H-011-016-, August 2005–July 2006.

22. “Loss Aversion Attitude on Habit Formation and the Equity Premium Puzzle,” National Science Council of Taiwan, NSC 93-2416-H-005-025-, August 2004–July 2005.

23. “Loss Aversion, Disappointment Aversion, and the Term Structure of Interest Rates,” National Science Council of Taiwan, NSC 92-2416-H-005-007-, August 2003–July 2004.

24. “Behavioral Finance and Behavioral Accounting-Behavior Financial Utility Functions and the Optimal Hedge ratio of the Futures,” National Science Council of Taiwan, NSC 92-2416-H-002-047-EF, September 2003–June 2005 (with Mao-Wei Hung).

Academic Presentations

“A Revised Reduced-Form Model and Its Application for Pricing Convertible Bonds,” presented in Graduate Institute of Finance, National Taiwan University of Science and Technology, Taipei, Taiwan, January 8, 2015. “A Revised Reduced-Form Model and Its Application for Pricing Convertible Bonds,” presented in Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan, October 2, 2014. “The Valuation of Discrete-Sampling Path-Dependent Rainbow Options,” presented in Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan, September 18, 2008. “The Valuation of Discrete-Sampling Path-Dependent Rainbow Options,” presented in Department of International Business, National Taiwan University, Taipei, Taiwan, March 10, 2008. “Asset Prices Under Prospect Theory and Habit Formation,” presented in Graduate Institute of Finance, National Taiwan University of Science and Technology, Taipei, Taiwan, 2005. “Behavioral Finance Utility Functions and the Optimal Hedge Ratio of the Futures,” presented in Feng Chia University, Taichung, Taiwan, January 6, 2005. “Asset Prices Under Prospect Theory and Habit Formation,” presented in Graduate Institute of Finance, National Chiao Tung University, Hsinchu, Taiwan, 2004. “Asset Prices Under Prospect Theory and Habit Formation,” Department of Finance, presented in Yuan Ze University, Taoyuan, Taiwan, December 4, 2003. “Asset Prices Under Prospect Theory and Habit Formation,” presented in Department of Finance, National Central University, Taoyuan, Taiwan, 2003.

Last updated in 2024/04