【學  歷】
國立政治大學經濟系學士
國立政治大學國際貿易所碩士
英國蘭卡斯特大學會計財務博士

【研究領域與專長】
衍生性金融證券、財務工程、國際財管

【論文著作】

歷年著作目錄

(A). Refereed Journal Publications

1. Measuring Risk-based Premium and Capital Requirement For Insurers (with Meng-Yun Dong and Min-Teh Yu), Advances in Financial Planning and Forecasting, Vol. 8, pp. 63-78, 1998.JAI PRESS INC. (EconLit, FLI)

2. Re-Examinations on Corporate Issues of Currency Warrants: A Case Study of Financial Innovation Profits, Advances in Financial Planning and Forecasting Vol. 8, pp. 129-151, 1998,JAI PRESS INC. (EconLit, FLI)

3. Pricing and Hedging American-Style Lookback and Barrier Options((With San-Lin Chung), Advances in Investment Analysis and Portfolio Management, JAI PRESS INC. (forthcoming)   (EconLit, FLI)

4. An Exponential Extrapolation Approach for the Valuation and Hedging of American Option, International Journal of Business, Vol.5, No.2., pp.31-57, 2000,Premier Publishing, U.S.A. (Econlit, JEL).

5. Efficient Procedures for the Valuation and Hedging of American Currency Options with Stochastic Interest Rates, Journal of Multinational Financial Management, Elsevier Science Publishers B.V. North-Holland, 2001, Vol. 11, No.3 pp. 215-233 (EconLit, FLI).

6.A Binomial Option Pricing Model under Stochastic Volatility and Jump. (With Sin-Chang Fu), Canadian Journal of Administrative Science, ( SSCI ) 2001, Vol. 18,( forthcoming ).

7. 美式向後看選擇權效率訂價及避險方法之研究 (與朱立信合著)，1998,證券市場發展季刊, Vol. 10, No.2, pp. 63-92。

8. 平均價格選擇權訂價理論與實例分析(與張森林和廖志峰合著), 1999,證券市場發展季刊, Vol. 11, No. 4, pp. 23-56.

9. 勞工退休基金正常提撥率之研究(與陳炤良、俞明德、張森林合著), 管理學報，Vol.17, No.1, pp.101-117,2000.

10.靜態避險：以障礙選擇權及向後看選擇權為例(與劉明滄合著), 2000, 證券市場發展季刊, Vol. 12, No. 1, pp. 71-108.

11.貸款保證組合之研究(與巫昆忠和林忠機合著)，中國財務學刊，Vol. 8, No. 1, pp. 67-100, April 2000.

12.考慮R&D與市場需求不確定下之高科技產業投資方案評估分析（與林秋發和鍾炫城合著）,管理學報, 2001, vol. 18  (forthcoming)。

(B) Selected Conference Proceedings

1. An Efficient Method for Valuing American Currency Options and Warrants with Stochastic Interest Rates, Proceedings of APFA/PACAP Finance conference,Taipei,July, 1996, Vol 2, pp. 50.1-50.37.

2. Hedging the Risks from Writing Currency Options in a Stochastic Interest Rates Economics, Proceeding of the Seven International Conference on Comparative Management,  National Sun Yat-San University, May, 1996, pp. 298-305. (Also presented in the Fourth Annual Global Finance Conference held in Montreal, Canada, May 1997).

3. Approximation Techniques for American-Style Options(with T.S. Ho and R.C. Stapleton), Proceedings of the Third Annual Global Finance Conference, Hawaii, April, 1996, pp. 87-88

4. Valuation and Hedging of Differential Swaps (With S.L.Chung and   M.T.Yu),Proceeding of The Chinese Finance Association Annual Conference, 1997, pp.222-247(Also Presented at 1998 FMA Annual Meeting, Chicago, U.S.A., Under Review at JIMF)

5. Re-Examinations on Corporate Issues of Currency Warrants: A Case Study of Financial Innovation Profits Poceedings of the Sixth Conference on the Theories and Practices of the Financial Markets on:Futures/Options Sessions, pp.37-55 December 1997, National Sun Yat-San University,Taiwan.

6. 美式向後看選擇權效率訂價及避險方法之研究 (與朱立信合著)，中國財務學會八十七年年會暨學術研討會論文集，第677至701頁。

7. A Modified Exponential Extrapolation Approach for r the Valuation and Hedging of American Option, Proceedings of International Conference on Finance 1998, held by Taiwan University, March 1998, Vol.1, pp. 336-362 (Won the best paper Award).(Under Review at Journal of Risk)

8. Simulation and Early Exercise Problem: the Case of Options on Minimum or Maximum of two Risky Assets. (With Chung-Gee Lin) Poceedings of theSeventh Conference on the Theories and Practices of the Financial Markets , December 1998, National Sun Yat-San University, Taiwan.(Also will bepresented at the 1999 FMA annual meeting). (Under Review at JFM)

9. Credit Enhancement and Loan Default Risk Premium (With M.T. Yu and V.S. Lai),Presented at the Sixth French Finace Association, 1998. (Under ReviewAt JEB).

10. 靜態避險： 以障礙選擇權及向後看選擇權為例(與劉明滄合著) , 1999 Proceedings of the 1999 NCU Finance Conference, pp.254-289.

11. Pricing and Hedging American-Style Lookback and Barrier Options((With San-Lin Chung), 1999, January. (Presented at The Seventh Conference on Pacific Basin Finance, Economics and Accounting).

12. Pricing and Hedging American-Style Reset Warrants (With San-Lin Chung), 1999, Proceedings of the 1999 NCU Finance Conference), pp 10-29, (UnderReview at JFM)

13. 勞工退休基金正常提撥率之研究(與陳炤良、俞明德、張森林合著), 中國財務學會八十八年年會暨學術研討會論文集.

14.勞工退休基金保險價值之研究(與陳炤良、俞明德、張森林合著),發表於風險管理與保險國際研討會               

15.A Binomial Option Pricing Model Under Stochastic Volatility and Jump. Poceedings of the Eighth Conference on the Theories and Practices of the Financial Markets ,(With Sin-Chang Fu) December 1999, National Sun Yat-San University, Taiwan.

16. Pricing Asian-Style Interest Rate Swaps, Proceedings of the Seventh Asian  Pacific Finance Association Annual Conference, 2000, Shanghai, China

17.貸款保證組合之研究(與巫昆忠合著)，中國財務學會八十九年年會暨學術研討會論文集.

(C)金融業期刊：

1. 管理浮動匯率與通貨替代之總體經濟政策 ，基層金融，16期，民國77年三月第53至72頁。

2. 關稅，配額與出口自動設限非等價關係之探討，台北市銀月刊 ， 民國77年九月，第43至55頁。

3. 差額互換－利率互換之新型契約(與唐英傑合著)，證券暨期貨管理，第十五卷，第七期，民國八十六年七月，第1至16頁。

4. 新奇選擇權，證券暨期貨管理，第十五卷，第八期，民國八十六年八月，第1至19頁。

5. 超級股票之訂價與應用(與劉明滄合著)，企銀季刊，第二十一券，第四期，八十七年四月，第1至9頁。

6. 淺談遠期利率協定之訂價與應用，證券櫃檯月刊，第二十二期，八十七年四月，第7至15頁。

7. 衍生性金融商品與匯率避險之應用，台研金融與投資月刊，第二期，八十七年四月，第28至36頁。

8. 投資組合保險策略： 以台股指數期貨為例 (與蔡立光合著), 企銀季刊，第二十二券，第二期，八十七年十月，第137至147頁。

D.Selected Conference Presentations:

1. The Third Annual Global Finance Conference, Hawaii, April, 1996.

2. APFA/PACAP Finance Conference, Taipei, July, 1996.

3. The Fourth Annual Global Conference, Montreal, May, 1997.

4. The NTU International Conference on Finance, Taipei, March, 1998.

5..The fifth Annual Conference of the Multinational Finance Society,Helsinki, June, 1998.

6.The 1998 Meeting of Financial Management Association , Chicago, U.S.A.

7.The Seventh Conference on Pacific Basin Finance, Economics and Accounting, 1999, May,Taipei.

8.The 1999 Eleventh Annual PACAP/FMA Finance Conference, Singapore.

9. The 1999 Meeting of Financial Management Association , Orlando Florida U.S.A.

10.The Seventh Asian Pacific Finance Association Annual Conference, Shanghai, China.

11.The 2000 Meeting of  Financial Management Association, Seattle, U.S.A.

(E) Working Paper

1. Pricing Currency Options Under CIR Interest Rate Process (With Meng-Yun Dong, Min-TehYu,San-Lin Chang), February, 1999.

2. 隨機利率經濟環境下外匯選擇權訂價之實證研究(與林忠機和曹潔君合著), 1999, September. (Submitted to 管科學報)

(F) 研究計劃：

1. 「海峽兩岸期貨市場之過去、現況與展望之比較分析」，台灣綜合經濟研究院委託計劃，pp1-66，民國八十五年九月。

2. 「新奇選擇權訂價及避險之研究」，台灣綜合經濟研究院委託計劃，pp1-70，民國八十六年八月。

3.「 美式路徑相依選擇權－效率定價及避險方法之研究：以向後看選擇權為例」，國科會計劃，計劃編號NSC87-2416-H008-020。(主持人)

4.「隨機利率經濟環境下長天期外匯選擇權定價與避險之實證研究」，國科會計劃，計劃編號NSC87-2415-H-007--008。(共同主持人)

5.「風險性放款保證之評價與分析(I)」，國科會計劃計劃編號NSC87-2416-H008-003。(共同主持人)

6.「選擇權靜態避險之研究」，台灣綜合經濟研究院委託計劃pp1-60，民國八十七八月。

7.「風險性放款保證之評價與分析(II)」，國科會計劃，計劃編號NSC88-2416-H008 001，(進行中)。(共同主持人)。

8.「亞洲式利率互換契約評價與避險之研究」，國科會計劃，計劃編號NSC88-2416-H008-010。(主持人)。

9.「上市、上櫃公司發行可轉換公司債模型之設計與避險策略之研究」，台灣綜合經濟研究院委託計劃。

10.「差額互換契約評價與避險之研究」，國科會計劃，計劃編號NSC89-2416-H008 010(進行中)。(主持人)。

11.「加速蒙地卡羅模擬計算：以美式路徑相依選擇權為例」，國科會計畫，計畫編號NSC89-2416-H008-027（進行中）。（主持人）。

                                                                                                                  Mar, 14, 2001 update.