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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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
Projects
- 31 Finished
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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
Dai, T.-S. (PI)
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
Dai, T.-S. (PI)
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
Dai, T.-S. (PI)
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
Dai, T.-S. (PI)
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
Dai, T.-S. (PI)
1/08/20 → 31/07/21
Project: Government Ministry › Other Government Ministry Institute
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Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading
Dai, T. S., Luo, Y. J., Chang, H. H., Kao, C. L., Wang, K. L. & Liu, L. C., Nov 2024, In: Review of Quantitative Finance and Accounting. 63, 4, p. 1391-1411 21 p.Research output: Contribution to journal › Article › peer-review
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Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model
Dai, T. S., Chen, B. J., Sun, Y. J., Yang, D. Y. & Wu, M. E., Nov 2024, In: Computational Economics. 64, 5, p. 3117-3142 26 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters
Ti, Y. W., Dai, T. S., Wang, K. L., Chang, H. H. & Sun, Y. J., Nov 2024, In: Computational Economics. 64, 5, p. 2717-2745 29 p.Research output: Contribution to journal › Article › peer-review
Open Access3 Scopus citations -
On the design of bail-in-able bonds from the perspective of non-financial firms
Liu, L. C., Dai, T. S. & Zhou, L., Jan 2024, In: International Review of Economics and Finance. 89, p. 1136-1155 20 p.Research output: Contribution to journal › Article › peer-review
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Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
Dai, T. S., Liu, L. C. & Yang, S. S., 2023, In: Quantitative Finance. 23, 9, p. 1325-1339 15 p.Research output: Contribution to journal › Article › peer-review
Prizes
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2015 FMA Annual Meeting. Best Paper Award in Derivatives
Dai, T.-S. (Recipient), Wang, C.-J. (Recipient) & Liu, L.-C. (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, T.-S. (Recipient), Lyuu, Y.-D. (Recipient) & Shea, J. (Recipient), 2006
Prize: Honorary award
Activities
- 1 Invited talk