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 iD iconorcid.org/0000-0001-7952-121X
 
Current Position
 
Institution Department Position Year
National Taiwan University International Business Professor of Finance 2017/08-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. 1997/082002/07
National Taiwan University Computer Science and Information Engineering Computer Science M.S. 1996/081997/07
National Taiwan University Computer Science and Information Engineering Computer Science B.S. 1992/081996/07
 
Research Areas
   
Professional Service
 
Course Information
   
 
Publications
 

    A. Journal Publications

  1. 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. 27922795. [SSCI] (2017 5-yr Impact Factor 4.927) (MOST_OR_2012-Rank#1)

  2. 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. 312322. [SSCI] (2017 5-yr Impact Factor 3.960) (MOST_OR_2012-Rank#12)

  3. Semi-Static Hedging and Pricing American Floating Strike Lookback Options,” (San-Lin Chung*, Yi-Ta Huang, Pai-Ta Shia, and Jr-Yan Wang), 2019, Journal of Futures Markets, Vol. 39, No.4 (April), pp. 418434. [SSCI] (2016 5-yr Impact Factor 1.378) (MOST_Finance_2011-ATier-2)

  4. 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. 898924. [SSCI] (2016 5-yr Impact Factor 1.378) (MOST_Finance_2011-ATier-2)

  5. 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. 339366. [SCI] (2016 5-yr Impact Factor 1.918) (MOST_OR_2012-Rank#15)

  6. 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. 91133. [SSCI] (2018 5-yr Impact Factor 0.685) (MOST_Finance_2011-A-)

  7. 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. 5279. [SSCI] (2016 5-yr Impact Factor 0.716) (MOST_Finance_2011-ATier-2)

  8. 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. 145189. [SSCI] (2018 5-yr Impact Factor 0.685) (MOST_Finance_2011-A-)

  9. 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. 295329. [SSCI] (2018 5-yr Impact Factor 0.685) (MOST_Finance_2011-A-)

  10. 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. 46234640. [SSCI] (2016 5-yr Impact Factor 0.81) (MOST_Economics_2010-C)

  11. 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. 550576. [SSCI] (2016 5-yr Impact Factor 0.481) (MOST_Finance_2011-B+)

  12. 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. 7789. [SSCI] (2016 5-yr Impact Factor 2.57) (MOST_Finance_2011-ATier-1)

  13. 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. 12 (November), pp. 83118. [SSCI] (2018 5-yr Impact Factor 0.685) (MOST_Finance_2011-A-)

  14. Variance Reduction for Multivariate Monte Carlo Simulation, (Jr-Yan Wang*), 2008, Journal of Derivatives, Vol. 16, No. 1 (September), pp. 728. [SSCI] (2016 5-yr Impact Factor 0.716) (MOST_Finance_2011-ATier-2)

  15. 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. 262272. [SCI-Expanded]

  16. 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. 129. (MOST_Finance_2011-B)

  17. Pricing Convertible Bonds Subject to Default Risk, (Mao-Wei Hung* and Jr-Yan Wang), 2002, Journal of Derivatives, Vol. 10, No. 2 (December), pp. 7587. [SSCI] (2016 5-yr Impact Factor 0.716) (MOST_Finance_2011-ATier-2)

 

    B. Working Papers

  1. Estimating the Implicit Market Model from Option Prices,” under review.

  2. An Application of Damped Diffusion for Modeling Volatility Dynamics,” under review.

  3. Linear-Time Combinatorial Option Pricing Algorithms on the Trinomial Lattice Model,” prepared for submission.

  4. Modelling Theoretical Relations among Stock Prices, Firm Values, and Default Risks for Convertible Bond Pricing,” prepared for submission.

 

    C. Conference Publications

  1. “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 1517, 2020.

  2. “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 2224, 2019.

  3. 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 1920, 2019.

  4. 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., October 1013, 2018.

  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 the 8th Academic International Conference on Business, Marketing, and Management, Boston, U.S., July 1618, 2018.

  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 the 25th Annual Conference of the Multinational Finance Society, Budapest, Hungary, June 2427, 2018.

  7. Asymptotic Stochastic Dominance, (Rachel J. Huang*, Larry Y. Tzeng, Jr-Yan Wang, and Lin Zhao), in 2017 ARIA Annual Meeting, Toronto, Canada, August 69, 2017.

  8. 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 67, 2017.

  9. 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., October 1922, 2016.

  10. “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., October 1922, 2016.

  11. 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., July 2931, 2016.

  12. 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 910, 2016.

  13. A Simple Iteration Algorithm to Price Perpetual Bermudan Options, (San-Lin Chung and Jr-Yan Wang*), in 2015 FMA European Conference, Venice, Italy, June 1112, 2015.

  14. 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 45, 2014.

  15. 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 29July 2, 2014.

  16. Rainbow Trend Options: Valuation and Applications, (Hsiao-Chuan Wang  and Jr-Yan Wang*), in 2014 FMA European Conference, Maastricht, Netherlands, June 1113, 2014.

  17. 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., October 1619, 2013.

  18. 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 1214, 2013.

  19. 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 1719, 2013.

  20. 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 68, 2012.

  21. 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 2225, 2011.

  22. The Valuation of Forward-Start Rainbow Options, (Chun-Ying Chen and Jr-Yan Wang*), in 2011 FMA European Conference, Porto, Portugal, June 810, 2011.

  23. 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 1215, 2010.

  24. 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 12, 2009.

  25. The Valuation of Forward-Start Rainbow Options, (Chun-Ying Chen and Jr-Yan Wang*), in 2009 FMA European Conference, Turin, Italy, June 35, 2009.

  26. 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 2324, 2008.

  27. 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 68, 2007.

  28. 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 1314, 2007.

  29. 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.

  30. 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.

  31. Asset Prices under Prospect Theory and Habit Formation, (Mao-Wei Hung and Jr-Yan Wang*), in the 11th Annual Conference on Pacific Basin Finance, Economics, and Accounting (PBFEA), Taipei, Taiwan, November 2122, 2003.

  32. 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.

  33. 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.

 

    D. Books or Dissertation

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

 
 
Research Grants
 
  1. 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), Aug. 2022July 2023.

  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 (2/3), Aug. 2021July 2022.

  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 (1/3), Aug. 2020July 2021.

  4. 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), Aug. 2019July 2020.

  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 (1/2), Aug. 2018July 2019.

  6. Estimation for Generalized Stochastic Volatility Models with VIX, Ministry of Science and Technology of Taiwan, MOST 106-2410-H-002-062-, Aug. 2017July 2018.

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

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

  9. 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), Aug. 2014July 2015.

  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 (2/3), Aug. 2013July 2014.

  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 (1/3), Aug. 2012July 2013.

  12. Tree-Based Correlated Default Models, National Science Council of Taiwan, NSC 99-2410-H-002-073-MY2 (2/2), Aug. 2011July 2012.

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

  14. Tight Lower and Upper Bounds on American Option Prices, National Science Council of Taiwan, NSC 98-2410-H-002-082, Aug. 2009July 2010.

  15. 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), Aug. 2008July 2009.

  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 (2/3), Aug. 2007July 2008.

  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 (1/3), Aug. 2006July 2007.

  18. The Analysis of the Interest Rate Futures Market and its Future Development,” Taiwan Futures Exchange, Jan. 2007Jun. 2007 (with Bing-Huei Lin).

  19. The Study of the Cash Settlement for Treasury Bond Futures,” Taiwan Futures Exchange, Apr. 2006Aug. 2006 (with Bing-Huei Lin).

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

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

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

  23. 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, Aug. 2003July 2004 (with Mao-Wei Hung).

 
 
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 Last updated in 2020/09