每年專案
個人檔案
研究專長
衍生性金融商品定價、信用風險、利率期限結構、演算法
經歷
2014 ~ 迄今 國立交通大學財務金融研究所兼資訊管理與財務金融學系系主任
教育/學術資格
PhD, 資訊工程, National Taiwan University
6月 1999 → 1月 2004
Master, 資訊工程, National Taiwan University
9月 1997 → 6月 1999
Bachelor, 資訊工程
9月 1993 → 6月 1997
外部位置
指紋
- 1 類似的個人檔案
過去五年中的合作和熱門研究領域
專案
- 31 已完成
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分析具備資本流入/出及資本結構改變的條款對評價巨災衍生性商品和員工認股選擇權的影響
1/08/22 → 31/07/23
研究計畫: 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
研究計畫: Other Government Ministry Institute
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分析具備資本流入/出及資本結構改變的條款對評價巨災衍生性商品和員工認股選擇權的影響
1/08/21 → 31/07/22
研究計畫: Other Government Ministry Institute
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分析具備資本流入/出及資本結構改變的條款對評價巨災衍生性商品和員工認股選擇權的影響
1/08/20 → 31/07/21
研究計畫: 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., 8月 2022, 於: Journal of Futures Markets. 42, 8, p. 1597-1638 42 p.研究成果: Article › 同行評審
1 引文 斯高帕斯(Scopus) -
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, 於: Quantitative Finance. 22, 11, p. 2021-2045 25 p.研究成果: Article › 同行評審
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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) 於: Journal of Futures Markets.研究成果: Article › 同行評審
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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, 於: Mathematical Problems in Engineering. 2022, 5843491.研究成果: Article › 同行評審
開啟存取1 引文 斯高帕斯(Scopus) -
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, 於: IEEE Access. 10, p. 86101-86116 16 p.研究成果: Article › 同行評審
開啟存取4 引文 斯高帕斯(Scopus)
獎品
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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
獎品: 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
獎品: Honorary award
活動
- 1 Invited talk