Personal Information
Mao-Wei Hung
Ph.D. Ph.D., Northwestern University
Office : Building II, College of Management 1111
Tel : 3366-4988
Fax : 2369-0833
Office Hour :
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Research Field
• Asset Pricing
• Financial Engineering and Computation
• International Investment
Research Field Summary
No Data Available
Education
• Ph.D., Northwestern University
Courses
• Financial Engineering
• Financial Management
• International Financial Investments
• Seminar on Derivatives Research
Honors
No Data Available
Experience
No Data Available
Conference Paper
No Data Available
Journal Paper
  1. Hung, Mao-Wei,Bing-Huei Lin, Jr-Yan Wang, and Ping-Da Wu, February 2013, A Lattice Model for Option Pricing under GARCH-Jump Process, Review of Derivatives Research.
  2. Hung, Mao-We,H. Lu, F. Tsai, H. Chen, S. Li, October 2012, Credit Rating Change Modeling Using News and Financial Ratios, ACM Journal, 14:1 - 14:30.
  3. Mao-Wei Hung,J.Chang, F. Tsai, August 2012, Cross-Market Hedging Strategies for Credit Default Swaps under Markov Regime Switching, Journal of Fixed Income, 44 - 56.
  4. Hung, Mao-Wei,Chyi-Lun Chiou, Pei-Gi Shu, July 2012, Foreign Direct Investment in Emerging Markets: Bondholders’ Perspective, Emerging Markets Finance and Trade.
  5. Mao-Wei Hung, N. Han, July 2012, Optimal Asset Allocation for DC Pension Plans under Inflation, Insurance: Mathematics and Economics, 172 - 181.
  6. Hung, Mao-Wei,Y. Liu and C. Tsai, 2012, Managerial Personal Diversification and Portfolio Equity Incentives, Journal of Corporate Finance, 38 - 64.
  7. Hung, Mao-Wei,S. Wu, 2012, A Note on Endogenous Propagation in One-Sector Business Cycle Models, Macroeconomic Dynamics, 1136 - 1159.
  8. Hung, Mao-Wei,Y. Chou and N. Han, 2011, Optimal Portfolio-Consumption Choice under Stochastic Inflation, Applied Stochastic Models in Business and Industry, 691 - 706.
  9. Hung, Mao-Wei,B. Lin, Y. Huang and J. Chou, 2011, Determinants of Futures Contract Success:Empirical Examinations, International Review of Economics and Finance, 452 - 458.
  10. Hung, Mao-Wei, 2011, Loss Aversion and the Term Structure of Interest Rates, Applied Economics, 1 - 18.
  11. Jung-hsien Chang, Mao-wei Hung, March 2010, Liquidity Spreads in the Corporate Bond Market: Estimation Using a Semi-parametric Model, Journal of Applied Statistics, 359 - 374.
  12. San-Lin Chung, Mao-Wei Hung, Jr-Yan Wang, January 2010, Tight Bounds on American Option Prices, Journal of Banking and Finance, 77 - 89.
  13. Hsin-Min Lu, Hsinchun Chen, Tsai-Jyh Chen, Mao-Wei Hung, Shu-Hsing Li, January 2010, Financial Text Mining: Supporting Decision Making Using Web 2.0 Content, IEEE Intelligent Systems, 78 - 82.
  14. Hung, Mao-Wei, S. Chung and J. Wang, 2010, Tight Bounds on American Option Prices, Journal of Banking and Finance.
  15. Hung, Mao-Wei,T. Pan , S. Huang, 2010, Geographic Effect of Futures Hedge Performance, Review of Securities and Futures Markets, 49 - 78.
  16. Hung, Mao-Wei,M. Lo and H. Yu, 2010, On the Currency Effect to Home Bias Puzzle, Applied Economics Letters, 815 - 821.
  17. Hung, Mao-Wei,H. Lu, H. Chen, T. Chen and S. Li, 2010, Financial Text Mining: Supporting Decision Making Using Web 2.0 Content, IEEE Intelligent Systems, 78 - 82, ..
  18. Hung, Mao-Wei,J. Chang, 2010, Liquidity Spreads in the Corporate Bond Market: Estimation Using a Semi-parametric Model, Journal of Applied Statistics, 359 - 374.
  19. Lung-fu Chang , Mao-Wei Hung (洪茂蔚), October 2009, Analytical Valuation of Catastrophe Equity Options with Negative Exponential Jumps, Insurance: Mathematics and Economics, 59 - 69.
  20. Jia-Hau Guo, Mao-Wei Hung (洪茂蔚), Leh-Chyan So, October 2009, A Generalization of the Brone-Adesi and Whaley Approach for the Analytic Approximation of American Options, Journal of Futures Markets, 478 - 493.
  21. Hung, Mao-Wei,L. So, 2009, New Insights into India’s Single Stock Futures Markets, Review of Futures Markets, 17 - 0.
  22. Hung, Mao-Wei,L.Chang, 2009, Analytical Valuation of Catastrophe Equity Options with Negative Exponential Jumps, Insurance: Mathematics and Economics, 59 - 69.
  23. Hung, Mao-Wei,J. Guo and L. So, 2009, A Generalization of the Brone-Adesi and Whaley Approach for the Analytic, Journal of Futures Markets, 478 - 493.
  24. Hung, Mao-Wei,H. Shu, 2009, Effect of Wind on Stock Market Returns: Evidence from European Markets, Applied Financial Economics, 893 - 904.
  25. Mao Wei Hung, Hsiao-Yuan Yu, December 2008, On the Currency Effect to Home Bias Puzzle, Applied Economics Letters.
  26. Mao Wei Hung, Hui Chu Shu, December 2008, Effect of Wind on Stock Market Evidence from European, Applied Financial Economics, 893 - 904.
  27. M. W. Hung, J. Guo, L. So, September 2008, A Generalization of Rubinstein’s “Pay Now, Choose Later”, Journal of Futures Markets, 488 - 515.
  28. Mao-Wei Hung, I-Ming Jiang, Cheng-Han Kuei, August 2008, Pricing Catastrophe Derivatives Using A Recursive Evaluation Approach, Asia-Pacific Journal of Financial Studies, 569 - 598.
  29. M. W. Hung, H. Shu, 2008, Effect of Wind on Stock Market Returns: Evidence from European Markets, Applied Financial Economics, forthcoming.
  30. M. W. Hung, H. Yu, 2008, On the Currency Effect to Home Bias Puzzle, Applied Financial Economics Letters, forthcoming.
  31. M. W. Hung, J. Guo and L. So, 2008, A Generalization of Brone-Adesi and Whaley Approach for the Analytic Approximation of American Options, Journal of Futures Markets, forthcoming.
  32. Hung, Mao-Wei,Y. Liu, I. Jiang, and C. Kuei, 2008, Pricing Catastrophe Derivatives Using A Recursive Evaluation Approach, Asia-Pacific Journal of Financial Studies, 569 - 598.
  33. Hung, Mao-Wei,J. Guo, 2008, A Generalization of Rubinstein’s “Pay Now, Choose Later, Journal of Futures Markets, 488 - 515.
  34. with L. Chang, June 2007, Pricing Vulnerable American Options with Correlated Credit Risk, Review of Derivatives Research, 137 - 165, EconLit.
  35. with J. Chang, C. Lee, and H. Lu, June 2007, The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht, Review of Pacific Basin Financial Markets and Policies, 265 - 288, EconLit.
  36. M.W. Hung, J. Guo, June 2007, Pricing American Options on Foreign Currency with Stochastic Volatility, Jumps, and Stochastic Interest Rates, Journal of Futures Markets.
  37. M.W. Hung, J. Guo, June 2007, A Note on the Discontinuity Problem in Heston’s Stochastic Volatility, Applied Mathematical Finance.
  38. Hung, Mao-Wei,L.Chang, 2007, Pricing Vulnerable American Options with Correlated Credit Risk, Review of Derivatives Research, 137 - 165.
  39. Hung, Mao-Wei,J. Guo, 2007, Pricing American Options on Foreign Currency with Stochastic Volatility Jumps, and Stochastic Interest Rates, Journal of Futures Markets, 867 - 892.
  40. Hung, Mao-Wei, J.Guo, 2007, A Note on the Discontinuity Problem in Heston’s Stochastic Volatility Model, Applied Mathematical Finance, 339 - 346.
  41. Hung, Mao-Wei,J. Chang, C. Lee, and H. Lu, 2007, The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht, Review of Pacific Basin Financial Markets and Policies, 265 - 288.
  42. Hung, Mao-Wei,C. Lin and Y. Liu, 2007, The Profitability and The Determinants of Momentum Investment Strategy, Sun Yat- Sen Management Review, 515 - 546.
  43. Hung, Mao-Wei, S. Chang and Y. Liu, 2007, Contributions to International Finance Journals by Taiwanese Universities, Review of Securities and Futures Markets, 1 - 22.
  44. Hung, Mao-Wei; Yu, Hsiao-Yuan, October 2006, A heterogeneous model of disposition effect, Applied Economics, 2147 - 2157.
  45. Nan-Wei Hana and Mao-Wei Hung, September 2006, Estimated Inflation Rate, Consumption and Portfolio Decision, Economics Letters, 402 - 408.
  46. M.W. Hung, J. Chang, June 2006, Optimal Timing to Invest in E-commerce, Psychology and Marketing, 335 - 348.
  47. M.W. Hung, H. Yu, June 2006, A Heterogeneous Model of Disposition Effect, Applied Economics, 2147 - 2157.
  48. M.W. Hung, J. Chang, June 2006, Intertemporal Risk and Currency Risk, Encyclopedia of Finance.
  49. M.W. Hung, Y. Jan, June 2006, Sharpe Timing Ratio, Journal of Investing, 75 - 79.
  50. M.W. Hung, C. Lin and Y. Liu, June 2006, The Profitability and The Determinants of Momentum Investment Strategy, Sun Yat- Sen Management Review.
  51. M.W. Hung, S. Chang and Y. Liu, June 2006, Contributions to International Finance Journals by Taiwanese Universities and Colleges, Review of Securities and Futures Markets.
  52. M.W. Hung, Y. Liu, June 2006, Valuation of Weather Derivatives, Journal of Financial Studies, 1 - 34.
  53. Hung, Mao-Wei,J. Chang, April 2006, Optimal Timing to Invest in E-commerce, Psychology and, 335 - 348.
  54. Jow-Ran Chang, Mao-Wei Hung, February 2006, Optimal Timing to Invest in E-commerce, Psychology and Marketing, 335 - 348.
  55. Hung, Mao-Wei,J. Chang, 2006, Intertemporal Risk and Currency Risk, Encyclopedia of Finance.
  56. Hung, Mao-Wei,N, Han, 2006, Estimated Inflation Rate, Consumption and Portfolio Decision, Economics Letters, 402 - 408.
  57. Hung, Mao-Wei,H. Yu, 2006, A Heterogeneous Model of Disposition Effect, Applied Economics, 2147 - 2157.
  58. Hung, Mao-Wei,, 2006, Sharpe Timing Ratio, Journal of Investing.
  59. Hung, Mao-Wei,Y. Liu, 2006, Valuation of Weather Derivatives, Journal of Financial Studies, 1 - 34.
  60. Huang, S.-C. Hung, M.-W., December 2005, Pricing Foreign Equity Options under Levy Processes, JOURNAL OF FUTURES MARKETS, 917 - 944.
  61. Mao-Wei Hung, Yin-Ching Jan, December 2005, Sharpe Timing Ratio, Journal of Investing, 75 - 79.
  62. Mao-wei Hung and Hsiao-yuan Yu, December 2005, Capital Flow, Nontradable Consumption and Home Bias, Economics Bulletin, 1 - 15.
  63. Chang, Jow-Ran; Hung, Mao-Wei; Tsai, Feng-Tse, September 2005, Valuation of Intellectural Property: A Real Option Approach, Journal of Intellectural Capital, 339 - 356.
  64. Yuanchen Chang, Mao-Wei Hung, Chiuling Lu, July 2005, Trade, R&D Spending and Financial Development, Applied Financial Economics, 1 - 11.
  65. M.W. Hung, S. Huang, June 2005, Pricing Foreign Equity Options under Levy Processes, Journal of Futures Markets, 917 - 944.
  66. M.W. Hung, Y. Liu, June 2005, Pricing Vulnerable Options in Incomplete Markets, Journal of Futures Markets, 135 - 170.
  67. M.W. Hung, Y. Chang, and C. Lu, June 2005, Trade, R&D Spending and Financial Development, Applied Financial Economics, 1 - 11.
  68. M.W. Hung, J. Chang and F. Tsai, June 2005, Valuation of Intellectural Property: A Real Option Approach, Journal of Intellectural Capital, 339 - 356.
  69. M.W. Hung, H. Yu, June 2005, Capital Flow, Nontradable Consumption and Home Bias, Economics Bulletin, 1 - 15.
  70. M.W. Hung, J. Wang, June 2005, Asset Price under Prospect Theory and Habit Formation, Review of Pacific Basin Financial Markets and Policies, 1 - 29.
  71. M. W. Hung, C. Lee and L. So, June 2005, Hedging with Foreign-listed Single Stock Futures, Advances in Quantitative Analysis of Finance and Accounting, 129 - 152.
  72. M. W. Hung, J. Chang, V. Errunza and K. Hogan, June 2005, An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence, European Financial Management, 173 - 194.
  73. Mao-Wei Hung, Jr-Yan Wang, May 2005, Asset Price under Prospect Theory and Habit Formation, Review of Pacific Basin Financial Markets and Policies, 1 - 29, [EconLit, FLI].
  74. Mao-wei Hung, Cheng-few Lee, Leh-chyan, May 2005, Hedging with Foreign-listed Single Stock Futures, Advances in Quantitative Analysis of Finance and Accounting, 129 - 152.
  75. JOW-RAN CHANG, VIHANG R. ERRUNZA, KEDRETH HOGAN, MAO-WEI HUNG, March 2005, An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence, European Financial Management, 173 - 194.
  76. Hung, Mao-Wei,S. Huang, 2005, Pricing Foreign Equity Options under Levy Processes, Journal of Futures Markets, 917 - 944.
  77. Hung, Mao-Wei,Y. Liu, 2005, Pricing Vulnerable Options in Incomplete Markets, Journal of Futures Markets, 135 - 170.
  78. Hung, Mao-Wei,Y. Chang and C. Lu, 2005, Trade, R&D Spending and Financial Development, Applied Financial Economics.
  79. Hung, Mao-Wei,J. Chang and F. Tsai, 2005, Valuation of Intellectural Property: A Real Option Approach, Journal of Intellectural Capital, 339 - 356.
  80. with H. Yu, 2005, Capital Flow, Nontradable Consumption and Home Bias, Economics Bulletin, 1 - 15.
  81. with J. Wang, 2005, Asset Price under Prospect Theory and Habit Formation, Review of Pacific Basin Financial Markets and Policies, 1 - 29.
  82. with C. Lee and L. So, 2005, Hedging with Foreign-listed Single Stock Futures, Advances in Quantitative Analysis of Finance and Accounting, 129 - 152.
  83. Mao-Wei Hung, Yu-Hong Liu, November 2004, Pricing Vulnerable Options in Incomplete Markets, Journal of Futures Markets, 135 - 170.
  84. M. W. Hung, J Chang and C. Lee, June 2004, An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance, Review of Quantitative Finance and Accounting, 415 - 433.
  85. M. W. Hung, Y. Jan, June 2004, Short-run and Long-run Persistence in Mutual Funds, Journal of Investing, 67 - 71.
  86. with J Chang and C. Lee, 2004, An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance, Review of Quantitative Finance and Accounting, 415 - 433.
  87. with Y. Jan), 2004, Short-run and Long-run Persistence in Mutual Funds, Journal of Investing, 67 - 71.
  88. M.-W. Hung, C.-F. Lee, L.-C. So, July 2003, Impact of Foreign Listed Single Stock Futures on the Domestic Underlying Stock Markets, Applied Economics Letters, 567 - 574.
  89. M. W. Hung, Y. Jan, June 2003, Mutual Fund Attributes and Performance, Financial Services Review, 165 - 178.
  90. M. W. Hung, C. Lee and L. So, June 2003, Impact of Foreign Listed Single Stock Futures on the Domestic Underlying Stock Markets, Applied Economics Letters, 567 - 574.
  91. M. W. Hung, C. Chung and Y. Liu, June 2003, Long Memory in Currency Futures Volatility, Research in Finance, 139 - 158.
  92. with Y. Jan, 2003, Mutual Fund Attributes and Performance, Financial Services Review, 165 - 178.
  93. with C. Lee and L. So, 2003, Impact of Foreign Listed Single Stock Futures on the Domestic Underlying Stock Markets, Applied Economics Letters, 567 - 574.
  94. M. W. Hung, J. Wang, June 2002, Pricing Convertible Bonds Subject to Default Risk, Journal of Derivatives, 75 - 87.
  95. M. W. Hung, J. Chang, June 2002, Intertemporal Hedge for Inflation Risk, Applied Economics Letters, 241 - 243.
  96. M. W. Hung, C. Lin and C. Kuan, June 2002, Analyzing Taiwan’s Short-Term Interest Rate Using Regime Switching Models, Academia Economic Papers, 29 - 56.
  97. M. W. Hung, Y. Jan, June 2002, Use of Deviations of Purchasing Power Parity and Interest Rate Parity to Clarify 1997 Asian Financial Crisis, Review of Pacific Basin Financial Markets and Policies, 195 - 218.
  98. M. W. Hung, P. Chou and Y. Jan, June 2002, The World Price of Exchange Risk in the Pacific Basin Equity Markets, Applied Financial Economics, 361 - 370.
  99. M. W. Hung, W. Hsiao and S. Wu, June 2002, Inflation, Asset Returns and Exchanges Rates in a Monetary Economy with Financial Leverage, Taiwan Academy of Management Journal, 23 - 52.
  100. Chang, Jow-Ran, Hung, Mao-Wei, March 2002, Intertemporal Hedge for Inflation Risk, Applied Economics Letters, 241 - 243.
  101. M. W. Hung, C. Chung, June 2000, A General Model for Short-term Interest Rates, Applied Economics, 111 - 121.
  102. M. W. Hung, V. Errunza and K. Hogan, June 2000, Market Segmentation and Noise Trader Risk, International Journal of Theoretical and Applied Finance, 85 - 100.
  103. M. W. Hung, J. Chang, June 2000, An International Asset Pricing Model with Time-Varying Hedging Risk, Review of Quantitative Finance and Accounting, 235 - 257.
  104. M. W. Hung, P. Chou and Y. Jan, June 2000, Pacific Basin Stock Markets and International Capital Asset Pricing Model, Global Finance Journal, 1 - 16.
  105. M. W. Hung, V. Errunza and K. Hogan, June 1999, Can the Gains from International Diversification be Achieved Without Trading Abroad?, Journal of Finance, 2075 - 2108.
  106. M. W. Hung, Y. Chen and J. Duan, June 1999, Volatility and Maturity Effects in the Nikkei Stock Index Futures, Journal of Futures Markets, 895 - 910.
  107. M. W. Hung, P. Chou and Y. Jan, June 1999, Asset Pricing Model without Consumption Data: An Empirical Study of Pacific Basin Equity Markets, International Journal of Business, 1 - 22.
  108. M. W. Hung, S. Yeh, June 1999, Interaction and Integration among Asia Pacific Bond Markets, Pan-Pacific Management Review, 15 - 28.
  109. M. W. Hung, C. Chung and T. Lee, June 1998, Long Memory in US/NT Exchange Rates, Journal of Management, 455 - 472.
  110. M. W. Hung, A. Chen and S. Mazumdar, June 1996, Regulations, Lender Identity and Bank Loan Pricing, Pacific-Basin Finance Journal, 1 - 14.
  111. M. W. Hung, H. Zhang, June 1995, Price Movements and Price Discovery in the Municipal Bond Index and the Index Futures Markets, Journal of Futures Markets, 489 - 506.
  112. M. W. Hung, June 1995, On Mean-Standard Deviation Frontier of Stochastic Discount Factor in the Presence of Regime Shifts, Research in Finance, 143 - 160.
  113. M. W. Hung, J. Duan and T. Liaw, June 1995, Pricing Deposit Insurance in Taiwan, Advances in Pacific Basin Business, Economics, and Finance, 311 - 319.
  114. M. W. Hung, A. Chen and S. Mazumdar, June 1995, Loan Covenants and Corporate Debt Policy under Bank Regulations, Journal of Banking and Finance, 1419 - 1436.
  115. M. W. Hung, June 1994, The Interaction Between Nonexpected Utility and Asymmetric Market Fundamentals, Journal of Finance, 325 - 343.
  116. M. W. Hung, A. Chen and S. Mazumdar, June 1994, Valuation of Parent Guarantees of Subsidiary Debt: Ownership, Risk and Leverage Implications, Pacific-Basin Finance Journal, 391 - 404.
  117. M. W. Hung, A. Chen and S. Mazudmar, June 1993, Bridge Financing, Delegated Monitoring and Corporate Debt Policy, Bank Structure and Competition, FDICIA: An Appraisal.
  118. M. W. Hung, June 1993, Stock Returns, Risk Premiums and Business Fluctuations, American Asian Review, 171 - 189.
  119. M. W. Hung, V. Errunza and K. Hogan, June 1993, The Impact of the EMS on Exchange Rate Predictability, Journal of Multinational Financial Management, 73 - 94.
Book
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Book Paper
  1. 洪茂蔚, June 2010, 財務管理2010, 雙葉書廊.
Technical Report
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Other
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