Tian-Shyr Dai

2024

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., 2024, (Accepted/In press) 於: Review of Quantitative Finance and Accounting.

研究成果: Article › 同行評審

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., 2024, (Accepted/In press) 於: Computational Economics.

研究成果: Article › 同行評審

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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., 2024, (Accepted/In press) 於: Computational Economics.

研究成果: Article › 同行評審

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2 引文斯高帕斯（Scopus）

On the design of bail-in-able bonds from the perspective of non-financial firms

Liu, L. C., Dai, T. S. & Zhou, L., 1月 2024, 於: International Review of Economics and Finance. 89, p. 1136-1155 20 p.

研究成果: Article › 同行評審

2023

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, 於: Quantitative Finance. 23, 9, p. 1325-1339 15 p.

研究成果: Article › 同行評審

2022

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

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., 12月 2022, 於: Journal of Futures Markets. 42, 12, p. 2103-2134 32 p.

研究成果: Article › 同行評審

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

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2 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

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7 引文斯高帕斯（Scopus）

Feature generation and contribution comparison for electronic fraud detection

Ti, Y. W., Hsin, Y. Y., Dai, T. S., Huang, M. C. & Liu, L. C., 12月 2022, 於: Scientific reports. 12, 1, 18042.

研究成果: Article › 同行評審

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2 引文斯高帕斯（Scopus）

Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance

Kuo, W. L., Chang, W. C., Dai, T. S., Chen, Y. P. & Chang, H. H., 2022, 於: IEEE Access. 10, p. 97030-97046 17 p.

研究成果: Article › 同行評審

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4 引文斯高帕斯（Scopus）

Option pricing with the control variate technique beyond Monte Carlo simulation

Chiu, C. Y., Dai, T. S., Lyuu, Y. D., Liu, L. C. & Chen, Y. T., 11月 2022, 於: North American Journal of Economics and Finance. 62, 101772.

研究成果: Article › 同行評審

1 引文斯高帕斯（Scopus）

2021

Analytical pricing formulae for vulnerable vanilla and barrier options

Liu, L. C., Chiu, C. Y., Wang, C. J., Dai, T. S. & Chang, H. H., 29 5月 2021, 於: Review of Quantitative Finance and Accounting. 58, 1, p. 137-170 34 p.

研究成果: Article › 同行評審

2 引文斯高帕斯（Scopus）

Interpretable Electronic Transfer Fraud Detection with Expert Feature Constructions

Hsin, Y. Y., Dai, T. S., Ti, Y. W. & Huang, M. C., 2021, 於: CEUR Workshop Proceedings. 3052

研究成果: Conference article › 同行評審

5 引文斯高帕斯（Scopus）

Solving Unconverged Learning of Pairs Trading Strategies with Representation Labeling Mechanism

Kuo, W. L., Dai, T. S. & Chang, W. C., 2021, 於: CEUR Workshop Proceedings. 3052

研究成果: Conference article › 同行評審

1 引文斯高帕斯（Scopus）

Structural break-aware pairs trading strategy using deep reinforcement learning

Lu, J. Y., Lai, H. C., Shih, W. Y., Chen, Y.-F., Huang, S. H., Chang, H.-H., Wang, J. Z., Huang, J.-L. & Dai, T.-S., 17 8月 2021, 於: Journal of Supercomputing. 78, 40 p.

研究成果: Article › 同行評審

14 引文斯高帕斯（Scopus）

2020

Improving Pair Trading Performances with Structural Change Detections and Revised Trading Strategies

Chang, H. H., Dai, T. S., Wang, K. L., Chu, C. H. & Wang, J. Z., 12月 2020, Proceedings - 2020 International Conference on Pervasive Artificial Intelligence, ICPAI 2020. Institute of Electrical and Electronics Engineers Inc., p. 105-109 5 p. 9302715. (Proceedings - 2020 International Conference on Pervasive Artificial Intelligence, ICPAI 2020).

研究成果: Conference contribution › 同行評審

2 引文斯高帕斯（Scopus）

Online structural break detection for pairs trading using wavelet transform and hybrid deep learning model

Huang, S. H., Shih, W.-Y., Lu, J. Y., Chang, H. H., Chu, C. H., Wang, J. Z., Huang, J.-L. & Dai, T.-S., 2月 2020, Proceedings - 2020 IEEE International Conference on Big Data and Smart Computing, BigComp 2020. Lee, W., Chen, L., Moon, Y.-S., Bourgeois, J., Bennis, M., Li, Y.-F., Ha, Y.-G., Kwon, H.-Y. & Cuzzocrea, A. (編輯). Institute of Electrical and Electronics Engineers Inc., p. 209-216 8 p. 9070533. (Proceedings - 2020 IEEE International Conference on Big Data and Smart Computing, BigComp 2020).

研究成果: Conference contribution › 同行評審

5 引文斯高帕斯（Scopus）

Pricing fair deposit insurance: Structural model approach

Tai, T., Lee, C. F., Dai, T. S., Wang, K. L. & Chen, H. Y., 1 1月 2020, Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes). World Scientific Publishing Co., p. 583-602 20 p.

研究成果: Chapter › 同行評審

2018

An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process

Wang, C. J. & Dai, T.-S., 1 11月 2018, 於: IEEE Computational Intelligence Magazine. 13, 4, p. 35-45 11 p., 8492370.

研究成果: Article › 同行評審

1 引文斯高帕斯（Scopus）

2017

A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds

Wang, J. Y. & Dai, T.-S., 1 6月 2017, 於: Journal of Derivatives. 24, 4, p. 52-79 28 p.

研究成果: Article › 同行評審

5 引文斯高帕斯（Scopus）

Recap of the 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management

Lee, C. F. & Dai, T.-S., 22 3月 2017, 於: Review of Pacific Basin Financial Markets and Policies. 20, 1, 14 p.

研究成果: Article › 同行評審

2016

Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure

Liu, L. C., Dai, T.-S. & Wang, C. J., 1 11月 2016, 於: Journal of Banking and Finance. 72, p. 151-174 24 p.

研究成果: Article › 同行評審

8 引文斯高帕斯（Scopus）

2015

Accurate formulas for evaluating barrier options with dividends payout and the application in credit risk valuation

Dai, T.-S. & Chiu, C. Y., 1 1月 2015, Handbook of Financial Econometrics and Statistics. Springer New York, p. 1771-1800 30 p.

研究成果: Chapter › 同行評審

1 引文斯高帕斯（Scopus）

An economic model for utilizing cloud computing resources via pricing elasticity of demand and supply

Qanbari, S., Li, F., Dustdar, S. & Dai, T.-S., 1 1月 2015, Cloud Computing and Services Sciences - International Conference in Cloud Computing and Services Sciences, CLOSER 2014, Revised Selected Papers. Helfert, M., Desprez, F., Ferguson, D., Leymann, F. & Muñoz, V. M. (編輯). Springer Verlag, p. 47-62 16 p. (Communications in Computer and Information Science; 卷 512).

研究成果: Conference contribution › 同行評審

1 引文斯高帕斯（Scopus）

Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes

Chiu, C. Y., Dai, T.-S. & Lyuu, Y. D., 1 2月 2015, 於: Applied Mathematics and Computation. 252, p. 418-437 20 p.

研究成果: Article › 同行評審

4 引文斯高帕斯（Scopus）

Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

Dai, T.-S., Yang, S. S. & Liu, L. C., 1 9月 2015, 於: Insurance: Mathematics and Economics. 64, p. 364-379 16 p.

研究成果: Article › 同行評審

16 引文斯高帕斯（Scopus）

2014

Cloud Asset Pricing Tree (CAPT) elastic economic model for cloud service providers

Qanbari, S., Li, F., Dustdar, S. & Dai, T.-S., 2014, CLOSER 2014 - Proceedings of the 4th International Conference on Cloud Computing and Services Science. SciTePress, p. 221-229 9 p. (CLOSER 2014 - Proceedings of the 4th International Conference on Cloud Computing and Services Science).

研究成果: Conference contribution › 同行評審

5 引文斯高帕斯（Scopus）

Evaluating corporate bonds with complicated liability structures and bond provisions

Wang, C. J., Dai, T.-S. & Lyuu, Y. D., 1 9月 2014, 於: European Journal of Operational Research. 237, 2, p. 749-757 9 p.

研究成果: Article › 同行評審

8 引文斯高帕斯（Scopus）

Pricing barrier stock options with discrete dividends by approximating analytical formulae

Dai, T.-S. & Chiu, C. Y., 1 1月 2014, 於: Quantitative Finance. 14, 8, p. 1367-1382 16 p.

研究成果: Article › 同行評審

5 引文斯高帕斯（Scopus）

2013

A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions

Yanga, S. S. & Dai, T.-S., 1 3月 2013, 於: Insurance: Mathematics and Economics. 52, 2, p. 231-242 12 p.

研究成果: Article › 同行評審

31 引文斯高帕斯（Scopus）

A multiphase, flexible, and accurate lattice for pricing complex derivatives with multiple market variables

Dai, T.-S., Wang, C.-J. & Lyuu, Y. D., 9月 2013, 於: Journal of Futures Markets. 33, 9, p. 795-826 32 p.

研究成果: Article › 同行評審

6 引文斯高帕斯（Scopus）

Outperformance Certificates: Analysis, pricing, interpretation, and performance

Hernández, R., Lee, W. Y., Liu, P. & Dai, T.-S., 1 1月 2013, 於: Review of Quantitative Finance and Accounting. 40, 4, p. 691-713 23 p.

研究成果: Article › 同行評審

12 引文斯高帕斯（Scopus）

Realized Tax Benefits and Capital Structure

Dai, T.-S. & Wang, C.-J., 2013, 於: International Journal of Bonds and Derivatives. 1, 1, p. 88-109

研究成果: Article › 同行評審

2012

A multi-phase, flexible, and accurate lattice for pricing complex derivatives with multiple market variables

Wang, C. J., Dai, T.-S. & Lyuu, Y. D., 2012, 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. p. 77-84 8 p. 6327775. (2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings).

研究成果: Conference contribution › 同行評審

1 引文斯高帕斯（Scopus）

2011

A reliable fingerprint orientation estimation algorithm

Liu, L. & Dai, T.-S., 1月 2011, 於: Journal of Information Science and Engineering. 27, 1, p. 353-368 16 p.

研究成果: Article › 同行評審

11 引文斯高帕斯（Scopus）

2010

An efficient and accurate lattice for pricing derivatives under a jump-diffusion process

Dai, T.-S., Wang, C. J., Lyuu, Y. D. & Liu, Y. C., 1 12月 2010, 於: Applied Mathematics and Computation. 217, 7, p. 3174-3189 16 p.

研究成果: Article › 同行評審

7 引文斯高帕斯（Scopus）

The bino-trinomial tree: A simple model for efficient and accurate option pricing

Dai, T.-S. & Lyuu, Y. D., 1 6月 2010, 於: Journal of Derivatives. 17, 4, p. 7-24 18 p.

研究成果: Article › 同行評審

38 引文斯高帕斯（Scopus）

2009

Accurate and efficient lattice algorithms for American-style Asian options with range bounds

Dai, T.-S. & Lyuu, Y. D., 15 3月 2009, 於: Applied Mathematics and Computation. 209, 2, p. 238-253 16 p.

研究成果: Article › 同行評審

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7 引文斯高帕斯（Scopus）

Accurate approximation formulas for stock options with discrete dividends

Dai, T.-S. & Lyuu, Y. D., 11月 2009, 於: Applied Economics Letters. 16, 16, p. 1657-1663 7 p.

研究成果: Article › 同行評審

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10 引文斯高帕斯（Scopus）

A Hybrid Importance Sampling Algorithm for Estimating VaR Under the Jump Diffusion Model

Dai, T.-S. & Liu, L.-M., 2009, 於: Journal of Software Engineering and Applications. 2, 4

研究成果: Article › 同行評審

An efficient and accurate lattice for pricing derivatives under a jump-diffusion process

Wang, C. J., Dai, T.-S., Lyuu, Y. D. & Liu, Y. C., 2009, 24th Annual ACM Symposium on Applied Computing, SAC 2009. p. 966-970 5 p. (Proceedings of the ACM Symposium on Applied Computing).

研究成果: Conference contribution › 同行評審

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1 引文斯高帕斯（Scopus）

Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

Dai, T.-S., 1 1月 2009, 於: Quantitative Finance. 9, 7, p. 827-838 12 p.

研究成果: Article › 同行評審

19 引文斯高帕斯（Scopus）

Using the LIBOR Market Model to Price the Interest Rate Derivatives: A Recombining Binomial Tree Methodology

Dai, T.-S., 2009, 於: NTU Management Review. p. 41-68 28 p.

研究成果: Article › 同行評審

2008

Adaptive placement method on pricing arithmetic average options

Dai, T.-S., Wang, J. Y. & Wei, H. S., 2008, 於: Review of Derivatives Research. 11, 1-2, p. 83-118 36 p.

研究成果: Article › 同行評審

6 引文斯高帕斯（Scopus）

Linear-time option pricing algorithms by combinatorics

Dai, T.-S., Liu, L. M. & Lyuu, Y. D., 5月 2008, 於: Computers and Mathematics with Applications. 55, 9, p. 2142-2157 16 p.

研究成果: Article › 同行評審

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12 引文斯高帕斯（Scopus）

使用 Hull-White 短利模型與求面積法評價雪球型債券

Wang, K. L., Dai, T.-S., Wang, K. & Tzu, T., 12月 2008, 於: Journal of Futures and Options. p. 73-108 36 p.

研究成果: Article › 同行評審

2007

A hybrid importance sampling algorithm for value-at-risk

Dai, T. S., Lin, S. K. & Liu, L. M., 1 1月 2007, Second International Conference on Innovative Computing, Information and Control, ICICIC 2007. IEEE Computer Society, 4427853. (Second International Conference on Innovative Computing, Information and Control, ICICIC 2007).

研究成果: Conference contribution › 同行評審

An efficient, and fast convergent algorithm for barrier options

Dai, T.-S. & Lyuu, Y. D., 2007, Algorithmic Aspects in Information and Management - Third International Conference, AAIM 2007, Proceedings. Springer Verlag, p. 251-261 11 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); 卷 4508 LNCS).

研究成果: Conference contribution › 同行評審

2 引文斯高帕斯（Scopus）

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