個人資料
張森林
博士 英國Lancaster University 財務博士
研究室 : 二館 707
電話 : 33661084
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主要研究領域
• 財務工程
• 財務管理
• 隨機利率模型
• 資產配置
研究領域摘要
學歷
• 英國Lancaster University 財務博士
課程
• 期貨與選擇權
• 財務工程論文研究
• 財務演算法
獲獎
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經歷
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研討會論文
  1. Camara, A., and S. L. Chung, 2005, Option Pricing for the Transformed-Binomial Class , The 2005 FMA Annual Meeting , January , (Chicago, USA)
  2. Chung, S. L., and M. Shackleton, 2004, Toward option values of near machine precision using Gaussian Quadrature , 12th conference on the Theories and Practices of Securities and Financial Markets , June , (Kaohsiung)
  3. Chung, S. L., and M. Shackleton, 2004, Toward option values of near machine precision using Gaussian Quadrature , 2004 NTU International Conference on Finance , June , (Taipei)
  4. Chung, S. L., 2002, Richardson Extrapolation Techniques for the pricing of American-Style options , The 2002 European Finance Association Annual Meeting , January , (London, England)
  5. Chung, S. L., 2002, Pricing Quanto Equity Swaps in Stochastic Interest Rate Economy , The 15th Annual Australasian Finance and Banking Conference , January , (Australasian)
  6. Chung, S. L., 2001, Monte Carlo Estimations of Greeks , The 8th Annual Conference of the Multinational Finance Society , January , (Italy)
  7. Chung, S. L., M. Shackleton and R. Wojakowski, 2001, Efficient Quadratic Approximation of Floating Strike Asian Option Values , The 2001 European Financial Management Association Annual Meeting , January , (Lugano, Switzerland)
  8. Chung, S. L., 2000, Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy , 第五屆企業跨國經營管理研討會 , June , (Taipei)
  9. Chung, S. L. and H. F. Yang, 2000, The Valuation of Quanto Equity Swaps , 2000 Chinese Finance Association Annual Meeting , June , (Taipei)
  10. Chung, S. L. and H. F. Yang, 2000, The Valuation of Quanto Equity Swaps , 8th Conference on Pacific Basin Finance, Economics and Accounting , June , (Bangkok)
  11. Chung, S. L., and M. Shackleton, 2000, The Binomial Black Scholes Model and the Greeks , 9th conference on the Theories and Practices of Securities and Financial Markets , June , (Kaohsiung)
  12. Shackleton, Mark B. and S.L Chung,, 2000, Geske Johnson pricing of long maturity American and Infinite Bermudan option , 2000 International Conference on Finance , January , (Taipei, Taiwan)
  13. Chang, C. C., S. L. Chung, and C. G. Lin, 2000, Simulation and Early Exercise Problem: The Case of Options on Minimum or Maximum of Two Risky Assets , 2000 International Conference on Finance , January , (Taipei, Taiwan)
  14. Chung, S. L., 1999, A Unified Approach for No-arbitrage Gaussian Term Structure Models , 1999 Chinese Finance Association Annual Meetings; , June
  15. Chung, S. L., 1999, A Unified Approach for No-arbitrage Gaussian Term Structure Models , 1999 European Financial Management Association Annual Meeting , June , (Paris)
  16. Chang C. C. and S. L. Chung, 1999, Pricing and Hedging American-Style Moving-Average Reset Warrants , 1999年中央大學財務金融研討會 , June , (Chung-Li)
  17. Chang C. C. and S. L. Chung, 1999, Pricing and Hedging American-Style Moving-Average Reset Warrants , 8th Conference on the Theories and Practices of Security and Financial Markets , June , (Kaohsiung)
  18. Chung, S. L., 1999, A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates , The 7th Conference on Pacific Basin Finance, Economics and Accounting , January , (Taipei, Taiwan)
  19. Chang, C. C. and S. L. Chung, 1999, Valuation and Hedging of American-Style Lookback and Barrier Options , The 7th Conference on Pacific Basin Finance, Economics and Accounting , January , (Taipei, Taiwan)
  20. Chung, S. L., 1998, Multivariate Binomial Method for the Valuation of Exotic Options , Proceedings of the 7th conference on the Theories and Practices of Securities and Financial Markets (Kaohsiung, Taiwan). , May
  21. Chang, C. C., S. L. Chung, and M. T. Yu,, 1998, Pricing Differential Swaps with Foreign Currency Denominate Principal , The 1998 FMA Annual Meeting , January , (Chicago, USA)
  22. Chung, S. L., 1997, American Option Valuation under stochastic Interest Rates , the 24th European Finance Association Annual Conference , January , (Vienna, Austria)
  23. Chung, S. L., 1996, No-arbitrage Term Structure Models , The Doctoral Tutorial of 23rd European Finance Association Annual Conference , January , (Oslo, Norway)
期刊論文
  1. Chung, S.L., W.F. Hung, H. Lee, and P.T. Shih, 2011, On the Rate of Convergence of Binomial Greeks , Journal of Futures Markets , ( SSCI )
  2. Chen, H.C., S.L. Chung, K.Y. Ho, 2011, The Diversification Effects of Volatility Related Assets , Journal of Banking and Finance , ( SSCI )
  3. 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 )
  4. Chung, S. L., P.T. Shih, and W.C. Tsai, 2010, A Modified Static Hedging Method for Continuous Barrier Options , Journal of Futures Markets , Vol.30 , No.12 , 1150 - 1166 , ( SSCI )
  5. Chung, S. L., K. Ko, M. Shackleton, and C.Y. Yeh, 2010, Efficient quadrature and node positioning for exotic option valuation , Journal of Futures Markets , Vol.30 , No.11 , 1026 - 1057 , ( SSCI )
  6. Wu, Y.C. and S.L. Chung, 2010, Catastrophe risk management with counterparty risk using alternative instruments , Insurance: Mathematics and Economics , Vol.47 , No.2 , 234 - 245 , ( SSCI )
  7. António Câmara, 張森林, 王耀輝, 2009, Option implied cost of equity and its properties , Journal of Futures Markets , Vol.29 , No.7 , 599 - 629 , ( SCI )
  8. Chung, S. L., and P.T. Shih, 2009, Static Hedging and Pricing American Options , Journal of Banking and Finance , Vol.33 , No.11 , 2140 - 2149 , ( SSCI )
  9. Chung, S.L. and C.Y. Yeh, 2009, Predicting Market Regimes and Stock Returns Using Investor Sentiment , 證券市場發展季刊 , ( TSSCI )
  10. Kao, Chiang, Hsiou-Wei Lin, San-Lin Chung, Wei-Chi Tsai, Jyh-Shen Chiou, Yen-Liang Chen, Liang-Hsuan Chen, Shih-Chieh Fang, Hwei-Lan Pao, 2008, Ranking Taiwanese Management Journals: A Case Study , Scientometrics , Vol.76 , No.1 , 95 - 115 , ( SSCI )
  11. Chung, S. L., P. T. Shih, and C.Y. Yeh, 2008, Binomial Option Pricing Models with Monotonic and Smooth Convergence Property , 期貨與選擇權學刊 , Vol.1 , No.2 , 47 - 71
  12. 陳芬苓、張森林, 2008, 台灣地區勞工退休金制度的性別分析 , 人文及社會科學集刊 , Vol.20 , No.1 , 67 - 104 , ( TSSCI )
  13. Chung, S. L., and Y. H. Wang, 2008, Bounds and Prices of Currency Cross-Rate Options. , Journal of Banking and Finance , Vol.32 , No.5 , 631 - 642 , ( SSCI )
  14. Chuang-Chang Chang, San-Lin Chung, Richard C. Stapleton, 2007, Richardson Extrapolation Techniques for the Pricing of American-style Options , Journal of Futures Markets , Vol.27 , No.8 , 791 - 817 , ( SSCI )
  15. San–Lin Chung,Mark B. Shackleton, 2007, Generalised Geske-Johnson interpolation of option prices , Generalised Geske-Johnson interpolation of option prices , Vol.34 , No.5 , 976 - 1001 , ( SSCI )
  16. Chung, S. L., and H. C. Chang, 2007, Generalized Analytical Upper Bounds for American Option Prices , Journal of Financial and Quantitative Analysis , Vol.42 , No.1 , 209 - 228 , ( SSCI )
  17. Chung, S. L., P. T. Shih, 2007, Generalized Cox-Ross-Rubinstein Binomial Models , Management Science , Vol.53 , No.3 , 508 - 520 , ( SSCI )
  18. 廖咸興、張森林、陳仁遶、楊太樂、廖堃宇, 2007, 房貸基礎證券評價與風險值---風險中立訂價法與均衡訂價法之比較 , 財務金融學刊 , Vol.15 , No.2 , 1 - 42 , ( TSSCI )
  19. 張森林, 2007, Generalised Geske-Johnson interpolation of option prices , Journal of Business Finance and Accounting , Vol.34 , No.5 , 976 - 1001 , ( SSCI )
  20. Chang, C. C., S. L. Chung, M. T. Yu, 2006, Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates , The Quarterly Review of Economics and Finance , Vol.46 , No.1 , 16 - 35
  21. Camara, A., and S. L. Chung, 2006, Option Pricing for the Transformed-Binomial Class , Journal of Futures Markets , Vol.26 , No.8 , 759 - 788 , ( SSCI )
  22. 陳芬苓,張森林, 2006, 附加年金制的遠期契約價值及政策意涵分析 , 證券市場發展季刊 , Vol.18 , No.1 , 1 - 30 , ( TSSCI )
  23. Chung, S. L., and M. Shackleton, 2005, On the Errors and Comparison of Vega Estimation , Journal of Futures Markets , Vol.25 , No.1 , 21 - 38 , ( SSCI )
  24. Chung, S. L., and H. F. Yang, 2005, Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy , Applied Mathematical Finance , Vol.12 , 121 - 146
  25. Chung, S. L., and M. Shackleton, 2005, On the Use and Improvement of Hull and White’s Control Variate Technique , Applied Financial Economics , Vol.15 , 1171 - 1179
  26. Chang, C. C., S. L. Chung, and M. T. Yu, 2005, Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates , Quarterly Review of Economics and Finance
  27. Chung, S. L., and H. C. Chang, 2005, Generalized Analytical Upper Bounds for American Option Prices , Journal of Financial and Quantitative Analysis
  28. Chang, C. C., S. L. Chung, and M. Shackleton, 2004, Pricing Options with American-Style Average Reset features , Quantitative Finance , Vol.4 , No.3 , 292 - 300 , ( SSCI )
  29. Chung, S. L., H. W. Lai, S. Y. Lin, and G. Shyy, 2004, CB Asset Swaps and CB Options: Structure and Pricing , 經濟論文 , Vol.32 , No.1 , 23 - 51 , ( TSSCI )
  30. 張傳章,張森林,林忠機, 2004, Enhancing the Computational Efficiency for the Monte Carlo Simulation Approach , 臺灣管理學刊 , Vol.4 , No.2 , 123 - 140
  31. Chung, S. L., M. Shackleton, and R. Wojakowski, 2003, Efficient Quadratic Approximation of Floating Strike Asian Option Values , Finance , Vol.24 , No.1 , 49 - 62
  32. 張森林, 2003, A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates , 臺灣管理學刊 , Vol.3 , No.2 , 1 - 28
  33. Chung, S. L., and M. Shackleton, 2003, The Simplest American and Real Option Approximations: Geske-Jahnson Interpolation in maturity and yield , Applied Economics Letters , Vol.1 , No.10 , 709 - 716 , ( SSCI )
  34. Chang, C. C. and S. L. Chung, 2002, Pricing Asian-Style Interest Rate Swaps , Journal of Derivatives , Vol.9 , No.4 , 45 - 55
  35. Chen, H. C., D. M. Chen, and S. L. Chung, 2002, The Accuracy and Efficiency of Alternative Option Pricing Approaches Relative to a Log-Transformed Trinomial Model , Journal of Futures Market , Vol.22 , No.6 , 557 - 577 , ( SSCI )
  36. 董夢雲、俞明德、張傳章、張森林, 2002, 在CIR利率期限結構與隨機波動性下外匯選擇權之訂價模型 , 管理學報 , Vol.19 , No.4 , 707 - 735 , ( TSSCI )
  37. Chen, R. R., S. L. Chung, and T. T. Yang, 2002, Option Pricing in a Multi-Asset, Complete-Market Economy , Journal of Financial and Quantitative Analysis , Vol.37 , No.4 , 649 - 666 , ( SSCI )
  38. Chung, S. L., 2002, Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy , Journal of Financial and Quantitative Analysis , Vol.37 , No.4 , 667 - 692 , ( SSCI )
  39. 張森林,何振文, 2002, 蒙地卡羅模擬法在美式選擇權評價之應用 , 中國財務學刊 , Vol.10 , No.3 , 33 - 61 , ( TSSCI )
  40. Chung, S. L, 2002, Review of Synthesis of No-arbitrage Gaussian Term Structure Models , Canadian Journal of Administrative Sciences , Vol.19 , No.2 , 184 - 196 , ( SSCI )
  41. Chang, C. C., S. L. Chung, and M. T. Yu, 2002, Valuation and Hedging of Differential Swaps , Journal of Futures Market , Vol.22 , No.1 , 73 - 94 , ( SSCI )
  42. Chung, S. L and M. Shackleton, 2002, The Binomial Black Scholes Model and the Greeks , Journal of Futures Market , Vol.22 , No.2 , 143 - 153 , ( SSCI )
  43. Chang, C. C. and S. L. Chung, 2001, Valuation and Hedging of American-Style Lookback and Barrier Options , Advances in Investment Analysis and Portfolio Management , Vol.8 , 19 - 37
  44. 張傳章、張森林、許博翔, 2000, 隨機波動性下障礙選擇權之評價分析 , 中國財務學刊 , Vol.8 , No.3 , 41 - 77 , ( TSSCI )
  45. 陳炤良、俞明德、張傳章、張森林, 2000, 正常提撥成本之估計-針對薪資相關、雇主提撥之確定給付退休金計劃 , 管理學報 , Vol.17 , No.1 , 101 - 117 , ( TSSCI )
  46. 張傳章、張森林、廖志峰, 1999, 平均式價格選擇權訂價理論與實例分析 , 證券市場發展季刊 , Vol.11 , No.4 , 23 - 56 , ( TSSCI )
  47. Chung, S. L., 1999, American Option Valuation under stochastic Interest Rates , Review of Derivatives Research , Vol.3 , No.3 , 283 - 307
  48. 張森林, 1999, 股酬交換之定價:評論 , 中國財務學刊 , Vol.6 , No.3 , 63 - 68 , ( TSSCI )
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