Projects per year
Personal profile
Research Interests
Derivatives Pricing, Credit Risk, Interest Rate Term Structure, Algorithms
Experience
2014 ~ present Director, Institute of Finance, National Chiao Tung University
Education/Academic qualification
PhD, Computer Science and Information Engineering, National Taiwan University
Jun 1999 → Jan 2004
Master, Computer Science and Information Engineering, National Taiwan University
Sep 1997 → Jun 1999
Bachelor, Computer Science and Information Engineering
Sep 1993 → Jun 1997
External positions
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Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Analyzing The Covenants That Cause Assets Injections/Leakages And The Change Of Capital Structures On The Evaluations Of Catastrophe-Type Derivatives And Employee Stock Options
1/08/22 → 31/07/23
Project: Government Ministry › Other Government Ministry Institute
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產學合作計畫-處理多樣態配對交易而開發客製化強化學習、預訓練模型及偵測交易量發生結構變動的機制
1/06/22 → 31/05/23
Project: Government Ministry › Other Government Ministry Institute
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Analyzing The Covenants That Cause Assets Injections/Leakages And The Change Of Capital Structures On The Evaluations Of Catastrophe-Type Derivatives And Employee Stock Options
1/08/21 → 31/07/22
Project: Government Ministry › Other Government Ministry Institute
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Trading with the trend stationary process filtered by Intraday news
1/06/21 → 31/05/22
Project: Government Ministry › Other Government Ministry Institute
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Analyzing The Covenants That Cause Assets Injections/Leakages And The Change Of Capital Structures On The Evaluations Of Catastrophe-Type Derivatives And Employee Stock Options
1/08/20 → 31/07/21
Project: Government Ministry › Other Government Ministry Institute
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Analyzing interactive call, default, and conversion policies for corporate bonds
Liu, L. C., Dai, T. S., Zhou, L. & Chang, H. H., Aug 2022, In: Journal of Futures Markets. 42, 8, p. 1597-1638 42 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
Liu, L. C., Dai, T. S., Chang, H. H. & Zhou, L., 2022, In: Quantitative Finance. 22, 11, p. 2021-2045 25 p.Research output: Contribution to journal › Article › peer-review
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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, T. S., Fan, C. C., Liu, L. C., Wang, C. J. & Wang, J. Y., 2022, (Accepted/In press) In: Journal of Futures Markets.Research output: Contribution to journal › Article › peer-review
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Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options
Wang, J. Y., Wang, C. J., Dai, T. S., Chen, T. C., Liu, L. C. & Zhou, L., 2022, In: Mathematical Problems in Engineering. 2022, 5843491.Research output: Contribution to journal › Article › peer-review
Open Access -
Feature Engineering and Resampling Strategies for Fund Transfer Fraud with Limited Transaction Data and a Time-Inhomogeneous Modi Operandi
Hsin, Y. Y., Dai, T. S., Ti, Y. W., Huang, M. C., Chiang, T. H. & Liu, L. C., 2022, In: IEEE Access. 10, p. 86101-86116 16 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Scopus citations
Prizes
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2015 FMA Annual Meeting. Best Paper Award in Derivatives
Dai, Tian-Shyr (Recipient), Wang, Chuan-Ju (Recipient) & Liu, Liang-Chih (Recipient), 2015
Prize: Honorary award
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Asian FA/FMA 2006 Meeting, Auckland, New Zealand, Jul. 2006. (Winner of the University of Rhode Island best paper awards)
Dai, Tian-Shyr (Recipient), Lyuu, Yuh-Dauh (Recipient) & Shea, Jerry (Recipient), 2006
Prize: Honorary award
Activities
- 1 Invited talk