個人資料
王之彥
博士 Ph.D. 2002, National Taiwan University, International Business
碩士 M.S. 1997, National Taiwan University, Computer Science and Information Engineering
學士 B.A. 1996, National Taiwan University, Computer Science and Information Engineering
研究室 : 二館 513
電話 : 3366-4987
傳真 : 3365-2245
諮詢時段 :
相關連結 :
相關連結 :
主要研究領域
• Asset Pricing
• Financial Engineering
• Behavioral Finance
• Interest Rate Models
• Credit Models
研究領域摘要
學歷
• Ph.D. 2002, National Taiwan University, International Business
• M.S. 1997, National Taiwan University, Computer Science and Information Engineering
• B.A. 1996, National Taiwan University, Computer Science and Information Engineering
課程
• Investments (undergraduate level)
• Mathematics for Management (undergraduate level)
• Financial Computation (graduate level)
• Options and Futures (graduate level)
獲獎
暫無資料
經歷
Associate Professor, National Taiwain University, 2010/08-2017/07
Assistant Professor, National Taiwan Unversity, 2008/08-2010/07
Assistant Professor of Graduate Institute of Finance, National Taiwan University of Science and Technology, 2006/02-2008/07
Assistant Professor of Department of Finance, National Chung Hsing University, 2003/02-2006/01
Adjunct Assistant Professor of Department of International Business, National Taiwan University, 2004/02-2008/07
Adjunct Assistant Professor of Department of Finance, National Chung Hsing University, 2006/02-2012/01
 
研討會論文
  1. Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang*, 2017, Price Behavior of EU Emission Allowances , 2017 SIBR Osaka Conference on Interdisciplinary Business & Economics Research , January , (Osaka, Japan)
  2. Rachel J. Huang*, Larry Y. Tzeng, Jr-Yan Wang, and Lin Zhao, 2017, Asymptotic Stochastic Dominance , 2017 ARIA Annual Meeting , January , (Toronto, Canada)
  3. Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang, 2016, Price Dynamics of CO2 Emission Allowance and Theory of Storage , 2016 FMA European Conference , January , (Helsinki, Finland)
  4. Chuan-Ju Wang, Tian-Shyr Dai*, and Jr-Yan Wang, 2016, Pricing Convertible Bonds under the First-Passage Credit Risk Model , 2016 FMA Annual Meeting , January , (Las Vegas, U.S.)
  5. Mao-Wei Hung, Yi-Chen Ko*, and Jr-Yan Wang, 2016, Price Dynamics of CO2 Emission Allowance and Theory of Storage , 2016 FMA Annual Meeting , January , (Las Vegas, U.S.)
  6. San-Lin Chung and Jr-Yan Wang, 2015, A Simple Iteration Algorithm to Price Perpetual Bermudan Options , 2015 FMA European Conference , January , (Venice, Italy)
  7. Tian-Shyr Dai, Jr-Yan Wang, and Chuan-Ju Wang, 2014, Pricing Convertible Bonds under the First-Passage Credit Risk Model , Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, , September , (Nagoya)
  8. Hsiao-Chuan Wang and Jr-Yan Wang, 2014, Rainbow Trend Options: Valuation and Applications , 21st Annual Conference of the Multinational Finance Society , July , (Prague)
  9. Tian-Shyr Dai and Jr-Yan Wa, 2013, A Revised Reduced-Form Model: Application for Pricing Convertible Bonds , 2013 FMA Annual Meetin , October , (Chicago)
  10. Tian-Shyr Dai, Jr-Yan, 2013, A Revised Reduced-Form Model: Application for Pricing Convertible Bonds , 2013 FMA European Conference , June , (Luxembourg City)
  11. Hsiao-Chuan Wang and Jr-Yan Wang, 2013, Rainbow Trend Options: Valuation and Applications , 2014 FMA European Conference , June , (Maastricht)
  12. Bing-Huei Lin, Dean Paxson, Jr-Yan Wang, Mei-Mei Kuo, 2013, Deriving Implied Betas and Firm-Specific Risks from Option Prices , 2013 FMA Asian Conference , April , (Shanghai)
  13. Bing-Huei Lin, Dean Paxson, Jr-Yan Wang, Mei-Mei Kuo, 2012, Deriving Implied Betas from Option Prices , 2012 FMA European Conference , June , (Istanbul)
  14. Chun-Ying Chen, Jr-Yan Wang, 2011, The Valuation of Forward-Start Rainbow Options , 2011 FMA European Conference , June , (Porto)
  15. Bing-Huei Lin, Dean Paxson, Jr-Yan Wang, Mei-Mei Kuo, 2011, Measuring Systematic Risk Using Implied Beta in Option Prices , 2011 European FMA Conference , June , (Braga)
  16. Tzu-Chun Chen, Tian-Shyr Dai, Jr-Yan Wang, 2010, Linear-Time Combinatorial Option Pricing Algorithms on the Trinomial Lattice Model , The 2010 International Conference on Scientific Computing , July , (Las Vegas)
  17. Chun-Ying Chen, Jr-Yan Wang, 2009, The Valuation of Forward-Start Rainbow Options , The Third Workshop on Derivatives Innovation and Risk Management , October , (Taipei)
  18. Chun-Ying Chen, Jr-Yan Wang, 2009, The Valuation of Forward-Start Rainbow Options , 2009 FMA European Conference , June , (Turin)
  19. Bing-Huei Lin, Jr-Yan Wang, Shih-Wen Tai, 2008, Simulation Approaches for Pricing Option under GARCH-Jump Process , The First Asia Conference on Financial Engineering and Markets (ACFE) , June , (Kowloon)
  20. Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, 2007, An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options , The Third International Conference on Algorithmic Aspects in Information and Management , June , (Portland)
  21. Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang, Tsung-Hsing Wu, 2007, Option Pricing with Discontinuous Jumps and GARCH Effect , The First International Financial Planning Conference and CEO forum , April , (Taipei)
  22. Jr-Yan Wang, 2005, Variance Reduction for Multivariate Monte Carlo Simulation , New Paradigms of Management, the 4th Annual Academic Conference , November , (Taipei)
  23. Mao-Wei Hung, Jr-Yan Wang, 2004, Behavioral Finance Utility Functions and the Optimal Hedge ratio of the Futures , Academic Conference of Finance, Taiwan Finance Association , May , (Taichung)
  24. Mao-Wei Hung, Jr-Yan Wang, 2003, Asset Prices under Prospect Theory and Habit Formation , The 11th Annual Conference on Pacific Basin Finance, Economics and Accounting (PBFEA 2003) , November , (Taipei)
  25. Mao-Wei Hung, Jr-Yan Wang, 2003, Asset Prices under Prospect Theory and Habit Formation , Academic Conference of Finance, Taiwan Finance Association , March , (Taichung)
  26. M. W. Hung, J. Y. Wang, 2002, Pricing Convertible Bonds Subject to Default Risk , Academic Conference of Finance, Taiwan Finance Association , December , (Taichung)
期刊論文
  1. Jr-Yan Wang and Tian-Shyr Dai, 2017, A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds , Journal of Derivatives , 24(4), 52-79 , (SSCI)
  2. Jr-Yan Wang*, Hsiao-Chuan Wang, Yi-Chen Ko, and Mao-Wei Hung, 2017, Rainbow Trend Options: Valuation and Applications , Review of Derivatives Research , 20(2), 91-133 , (SSCI)
  3. Daniel Wei-Chung Miao*, Yung-Hsin Lee, and Jr-Yan Wang, 2017, Using Forward Monte-Carlo Simulation for the Valuation of American Barrier Options , Annals of Operations Research , (SCI)
  4. Chun-Ying Chen, Hsiao-Chuan Wang, Jr-Yan Wang, 2015, The Valuation of Forward-Start Rainbow Options , Review of Derivatives Research , Vol.18 , No.2 , 145 - 189 , ( SSCI )
  5. Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang, Ping-Da Wu, 2013, A Lattice Model for Option Pricing Under GARCH-Jump Processes , Review of Derivatives Research , Vol.16 , No.3 , 295 - 329 , ( SSCI )
  6. Mao-Wei Hung, Jr-Yan Wang, 2011, Loss Aversion and the Term Structure of Interest Rates , Applied Economics , Vol.43 , No.29 , 4623 - 4640 , ( SSCI )
  7. Bing-Huei Lin, Jr-Yan Wang, Shih-Wen Tai, 2011, Structure of Spot Rates and Duration Hedging , Asia-Pacific Journal of Financial Studies , Vol.40 , No.4 , 550 - 576 , ( SSCI )
  8. San-Lin Chung, Mao-Wei Hung, Jr-Yan Wang, 2010, Tight Bounds on American Option Prices , Journal of Banking and Finance , Vol.34 , No.1 , 77 - 89 , ( SSCI )
  9. Jr-Yan Wang, 2008, Variance Reduction for Multivariate Monte Carlo Simulation , Journal of Derivatives , Vol.16 , No.1 , 7 - 28 , ( SSCI )
  10. Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, 2008, Adaptive Placement Method on Pricing Arithmetic Average Options , Review of Derivatives Research , Vol.11 , No.1 , 83 - 118 , ( SSCI )
  11. Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, 2007, An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options , Lecture Notes in Computer Science , Vol.4508 , 262 - 272 , [SCI-Expanded]
  12. Mao-Wei Hung, Jr-Yan Wang, 2005, Asset Price under Prospect Theory and Habit Formation , Review of Pacific Basin Financial Markets and Policies , Vol.8 , No.1 , 1 - 29 , [EconLit, FLI]
  13. Mao-Wei Hung, Jr-Yan Wang, 2002, Pricing Convertible Bonds Subject to Default Risk , Journal of Derivatives , Vol.10 , No.2 , 75 - 87 , ( SSCI )
專書
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專書論文
  1. Jr-Yan Wang, 2002, Prospect Theory and Asset Pricing , (Ph.D. Dissertation) ,
技術報告
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其他
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