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
• 資產配置
• 財務工程
• 財務管理
• 隨機利率模型
研究領域摘要
學歷
• 英國Lancaster University 財務博士
課程
• 財務工程論文研究
• 期貨與選擇權
• 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, January 2005, Option Pricing for the Transformed-Binomial Class, The 2005 FMA Annual Meeting, (Chicago, USA).
  2. Chung, S. L., and M. Shackleton, June 2004, Toward option values of near machine precision using Gaussian Quadrature, 12th conference on the Theories and Practices of Securities and Financial Markets, (Kaohsiung).
  3. Chung, S. L., and M. Shackleton, June 2004, Toward option values of near machine precision using Gaussian Quadrature, 2004 NTU International Conference on Finance, (Taipei).
  4. Chung, S. L., January 2002, Richardson Extrapolation Techniques for the pricing of American-Style options, The 2002 European Finance Association Annual Meeting, (London, England).
  5. Chung, S. L., January 2002, Pricing Quanto Equity Swaps in Stochastic Interest Rate Economy, The 15th Annual Australasian Finance and Banking Conference, (Australasian).
  6. Chung, S. L., January 2001, Monte Carlo Estimations of Greeks, The 8th Annual Conference of the Multinational Finance Society, (Italy).
  7. Chung, S. L., M. Shackleton and R. Wojakowski, January 2001, Efficient Quadratic Approximation of Floating Strike Asian Option Values, The 2001 European Financial Management Association Annual Meeting, (Lugano, Switzerland).
  8. Chung, S. L., June 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, (Taipei).
  9. Chung, S. L. and H. F. Yang, June 2000, The Valuation of Quanto Equity Swaps, 2000 Chinese Finance Association Annual Meeting, (Taipei).
  10. Chung, S. L. and H. F. Yang, June 2000, The Valuation of Quanto Equity Swaps, 8th Conference on Pacific Basin Finance, Economics and Accounting, (Bangkok).
  11. Chung, S. L., and M. Shackleton, June 2000, The Binomial Black Scholes Model and the Greeks, 9th conference on the Theories and Practices of Securities and Financial Markets, (Kaohsiung).
  12. Shackleton, Mark B. and S.L Chung,, January 2000, Geske Johnson pricing of long maturity American and Infinite Bermudan option, 2000 International Conference on Finance, (Taipei, Taiwan).
  13. Chang, C. C., S. L. Chung, and C. G. Lin, January 2000, Simulation and Early Exercise Problem: The Case of Options on Minimum or Maximum of Two Risky Assets, 2000 International Conference on Finance, (Taipei, Taiwan).
  14. Chung, S. L., June 1999, A Unified Approach for No-arbitrage Gaussian Term Structure Models, 1999 Chinese Finance Association Annual Meetings;.
  15. Chung, S. L., June 1999, A Unified Approach for No-arbitrage Gaussian Term Structure Models, 1999 European Financial Management Association Annual Meeting, (Paris).
  16. Chang C. C. and S. L. Chung, June 1999, Pricing and Hedging American-Style Moving-Average Reset Warrants, 1999年中央大學財務金融研討會, (Chung-Li).
  17. Chang C. C. and S. L. Chung, June 1999, Pricing and Hedging American-Style Moving-Average Reset Warrants, 8th Conference on the Theories and Practices of Security and Financial Markets, (Kaohsiung).
  18. Chung, S. L., January 1999, A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates, The 7th Conference on Pacific Basin Finance, Economics and Accounting, (Taipei, Taiwan).
  19. Chang, C. C. and S. L. Chung, January 1999, Valuation and Hedging of American-Style Lookback and Barrier Options, The 7th Conference on Pacific Basin Finance, Economics and Accounting, (Taipei, Taiwan).
  20. Chung, S. L., May 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)..
  21. Chang, C. C., S. L. Chung, and M. T. Yu,, January 1998, Pricing Differential Swaps with Foreign Currency Denominate Principal, The 1998 FMA Annual Meeting, (Chicago, USA).
  22. Chung, S. L., January 1997, American Option Valuation under stochastic Interest Rates, the 24th European Finance Association Annual Conference, (Vienna, Austria).
  23. Chung, S. L., January 1996, No-arbitrage Term Structure Models, The Doctoral Tutorial of 23rd European Finance Association Annual Conference, (Oslo, Norway).
期刊論文
  1. Chung, S.L., W.F. Hung, H. Lee, and P.T. Shih, January 2011, On the Rate of Convergence of Binomial Greeks, Journal of Futures Markets.
  2. Chen, H.C., S.L. Chung, K.Y. Ho, January 2011, The Diversification Effects of Volatility Related Assets, Journal of Banking and Finance.
  3. San-Lin Chung, Mao-Wei Hung, Jr-Yan Wang, October 2010, Tight Bounds on American Option Prices, Journal of Banking and Finance, 77 - 89.
  4. Chung, S. L., P.T. Shih, and W.C. Tsai, January 2010, A Modified Static Hedging Method for Continuous Barrier Options, Journal of Futures Markets, 1150 - 1166.
  5. Chung, S. L., K. Ko, M. Shackleton, and C.Y. Yeh, January 2010, Efficient quadrature and node positioning for exotic option valuation, Journal of Futures Markets, 1026 - 1057.
  6. Wu, Y.C. and S.L. Chung, January 2010, Catastrophe risk management with counterparty risk using alternative instruments, Insurance: Mathematics and Economics, 234 - 245.
  7. António Câmara, 張森林, 王耀輝, July 2009, Option implied cost of equity and its properties, Journal of Futures Markets, 599 - 629.
  8. Chung, S. L., and P.T. Shih, January 2009, Static Hedging and Pricing American Options, Journal of Banking and Finance, 2140 - 2149.
  9. Chung, S.L. and C.Y. Yeh, January 2009, Predicting Market Regimes and Stock Returns Using Investor Sentiment, 證券市場發展季刊.
  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, December 2008, Ranking Taiwanese Management Journals: A Case Study, Scientometrics, 95 - 115.
  11. Chung, S. L., P. T. Shih, and C.Y. Yeh, January 2008, Binomial Option Pricing Models with Monotonic and Smooth Convergence Property, 期貨與選擇權學刊, 47 - 71.
  12. 陳芬苓、張森林, January 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, 67 - 104.
  13. Chung, S. L., and Y. H. Wang, January 2008, Bounds and Prices of Currency Cross-Rate Options., Journal of Banking and Finance, 631 - 642.
  14. Chuang-Chang Chang, San-Lin Chung, Richard C. Stapleton, August 2007, Richardson Extrapolation Techniques for the Pricing of American-style Options, Journal of Futures Markets, 791 - 817.
  15. San–Lin Chung,Mark B. Shackleton, June 2007, Generalised Geske-Johnson interpolation of option prices, Generalised Geske-Johnson interpolation of option prices, 976 - 1001.
  16. Chung, S. L., and H. C. Chang, May 2007, Generalized Analytical Upper Bounds for American Option Prices, Journal of Financial and Quantitative Analysis, 209 - 228.
  17. Chung, S. L., P. T. Shih, May 2007, Generalized Cox-Ross-Rubinstein Binomial Models, Management Science, 508 - 520.
  18. 廖咸興、張森林、陳仁遶、楊太樂、廖堃宇, January 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, 1 - 42.
  19. 張森林, 2007, Generalised Geske-Johnson interpolation of option prices, Journal of Business Finance and Accounting, 976 - 1001.
  20. Chang, C. C., S. L. Chung, M. T. Yu, May 2006, Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates, The Quarterly Review of Economics and Finance, 16 - 35.
  21. Camara, A., and S. L. Chung, May 2006, Option Pricing for the Transformed-Binomial Class, Journal of Futures Markets, 759 - 788.
  22. 陳芬苓,張森林, May 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, 1 - 30.
  23. Chung, S. L., and M. Shackleton, May 2005, On the Errors and Comparison of Vega Estimation, Journal of Futures Markets, 21 - 38.
  24. Chung, S. L., and H. F. Yang, May 2005, Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy, Applied Mathematical Finance, 121 - 146.
  25. Chung, S. L., and M. Shackleton, May 2005, On the Use and Improvement of Hull and White’s Control Variate Technique, Applied Financial Economics, 1171 - 1179.
  26. Chang, C. C., S. L. Chung, and M. T. Yu, January 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, January 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, May 2004, Pricing Options with American-Style Average Reset features, Quantitative Finance, 292 - 300.
  29. Chung, S. L., H. W. Lai, S. Y. Lin, and G. Shyy, May 2004, CB Asset Swaps and CB Options: Structure and Pricing, 經濟論文, 23 - 51.
  30. 張傳章,張森林,林忠機, May 2004, Enhancing the Computational Efficiency for the Monte Carlo Simulation Approach, 臺灣管理學刊, 123 - 140.
  31. Chung, S. L., M. Shackleton, and R. Wojakowski, May 2003, Efficient Quadratic Approximation of Floating Strike Asian Option Values, Finance, 49 - 62.
  32. 張森林, May 2003, A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates, 臺灣管理學刊, 1 - 28.
  33. Chung, S. L., and M. Shackleton, May 2003, The Simplest American and Real Option Approximations: Geske-Jahnson Interpolation in maturity and yield, Applied Economics Letters, 709 - 716.
  34. Chang, C. C. and S. L. Chung, October 2002, Pricing Asian-Style Interest Rate Swaps, Journal of Derivatives, 45 - 55.
  35. Chen, H. C., D. M. Chen, and S. L. Chung, May 2002, The Accuracy and Efficiency of Alternative Option Pricing Approaches Relative to a Log-Transformed Trinomial Model, Journal of Futures Market, 557 - 577.
  36. 董夢雲、俞明德、張傳章、張森林, May 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, 707 - 735.
  37. Chen, R. R., S. L. Chung, and T. T. Yang, May 2002, Option Pricing in a Multi-Asset, Complete-Market Economy, Journal of Financial and Quantitative Analysis, 649 - 666.
  38. Chung, S. L., May 2002, Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy, Journal of Financial and Quantitative Analysis, 667 - 692.
  39. 張森林,何振文, May 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, 33 - 61.
  40. Chung, S. L, May 2002, Review of Synthesis of No-arbitrage Gaussian Term Structure Models, Canadian Journal of Administrative Sciences, 184 - 196.
  41. Chang, C. C., S. L. Chung, and M. T. Yu, May 2002, Valuation and Hedging of Differential Swaps, Journal of Futures Market, 73 - 94.
  42. Chung, S. L and M. Shackleton, April 2002, The Binomial Black Scholes Model and the Greeks, Journal of Futures Market, 143 - 153.
  43. Chang, C. C. and S. L. Chung, May 2001, Valuation and Hedging of American-Style Lookback and Barrier Options, Advances in Investment Analysis and Portfolio Management, 19 - 37.
  44. 張傳章、張森林、許博翔, July 2000, 隨機波動性下障礙選擇權之評價分析, 中國財務學刊, 41 - 77.
  45. 陳炤良、俞明德、張傳章、張森林, January 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, 101 - 117.
  46. 張傳章、張森林、廖志峰, October 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, 23 - 56.
  47. Chung, S. L., September 1999, American Option Valuation under stochastic Interest Rates, Review of Derivatives Research, 283 - 307.
  48. 張森林, September 1999, 股酬交換之定價:評論, 中國財務學刊, 63 - 68.
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