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Department of Finance
Office Address:
Department of Finance,
Phone:4227151, ext:6159,
e-mail: ccchang@cc.ncu.edu.tw
Education:
Ph.D in Finance (1991-1995),
MA in
International Trade (1983-1985),
BA in Economics
(1979-1983),
Professional Experience:
● Lecturer of International Trade and Finance, 1987-1988, Providence University.
● Specialist of Central Bank of Taiwan, 1988-1989,
● Lecturer of International Trade and Finance, 1989-1991, Ming Chuan Colledge.
● Associate Professor of Finance, 1995/08-2001/07, National Central University.
● Professor of Finance, 2001/08-present, National Central University.
Derivatives Pricing, Financial Engineering, Bond Pricing, Risk Management
A. Courses Taught
● Undergraduate Level: Futures & Options, Risk Management, Bond Markets
● Graduate Level: Futures & Options, Financial Engineering, Financial Innovations
● Doctoral Course: Seminar on Derivatives
B. Doctorial Dissertation Supervisions
● Men-Yun Dong (Co-supervised with Min-Teh Yu, finished).
● Chao-Liang Chen (Co-supervised with Min-Teh Yu, finished).
● Chung-Gee Lin (Co-supervised with Min-Teh Yu, finished).
● C. C. Wu (Co-supervised with San-Lin Chung, finished ).
Publications:
(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,
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,
3. A Study of Efficient Methods for the Valuation and Hedging of American-Style Lookback Options (with Lihsin Chu), Review of Securities and Futures Markets, 10:2, pp. 63-92, 1998. (in Chinese).
4. Pricing Asian-Style Options: Theory and Applications (with San-Lin Chung and Tze-Fong Liao), Review of Securities and Futures Markets, 11:4, pp. 23-56, 1999. (in Chinese).
5. Measuring the Normal Contribution Costs for Salary-related, Corporate Sponsored Defined Benefit Pension Plans (with Chao-Liang,Chen, Min-Teh Yu and San-Lin Chung), Journal of Management, vol 17, December, 2000, pp. 25-42 (in Chinese).
6. The Analysis of Loan Guarantee Portfolio (with Kung-Chung Wu and Chung-Gee Lin), Journal of Financial Studies, Vol. 8, No. 1, 2000, pp.67-100, (in Chinese).
7. Pricing Barrier Options Under Stochastic Volatility (with San-Lin Chung and Bor-Shayang Hsu), Journal of Financial Studies, Vol. 8, No. 3, 2000, pp.41-77, (in Chinese).
8. Static Hedge: the Case of Barrier Options and Lookback Options (with Min-Chuan Liu), Review of Securities and Futures Markets, 12:1, pp. 71-108, 2000. (in Chinese).
9. 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).
10. Pricing and Hedging American-Style Lookback and Barrier Options(With San-Lin Chung), Advances in Investment Analysis and Portfolio Management, JAI PRESS INC,U.S.A, 2001, Vol.8, pp.19-37, (EconLit, FLI).
11. 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, July, Vol. 11, No.3, pp.241-268. (Leading Article) (EconLit, FLI).
12. A Binomial Option Pricing Model under Stochastic Volatility and Jump. (With Sin-Chang Fu), Canadian Journal of Administrative Science, 2001, Vol. 18, No.3, pp. 21-33. (SSCI).
13. The Evaluation of Investment Project for High-Technology Industry under R&D and Market Demand Uncertainties (with Chu-Hua Lin and S.C. Chung), Journal of Management, vol 19, No.4, pp.589-616, 2001, (in Chinese).
14. The Analysis of Duration and Immunization strategy Under the HJM Term Structure Framework (With Ra-Jian Ho), Research in Finance , 2002, vol. 19, pp.241-268, (Econlit, FLI).
15. Valuation and Hedging of Differential Swaps (With S.L.Chung and M.T.Yu), Journal of Futures Markets, Vol.22, No.1, pp.73-94, .(SSCI,Econlit)
16. Pricing Currency Options Under CIR Interest Rate Process and Stochastic Volatility, (with M.Y. Dong, M.T. Yu and S.C. Chung), Journal of Management, vol 19, No.4, pp. 707-735, 2002, (in Chinese).
17. Pricing Asian-Style Interest Rate Swaps (With S.L. Chuang), Journal of Derivatives, vol 9, No.4, pp.45-55, 2002, (FLI/ABI Inform).
18. Credit Enhancement and Loan Default Risk Premium (With M.T. Yu and V.S. Lai), Canadian Journal of Administrative Science, 2001, Vol. 19, forthcoming, (SSCI).
19. Analytic Approximation Formulae for Pricing Forward-starting Asian Options (with Cheuh-Yung Tsao and Chung-Gee Lin), Journal of Futures Markets, Vol.23, April/May, 2003, forthcoming, .(SSCI,Econlit)
20. An Empirical Study for Pricing Foreign Currency Options With Stochastic Interest Rates (With Robin Chow and G.C, Tsay), Sun Yet-Sen Management Review, 2003, forthcoming. (In Chinese).
(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,
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., First revised at Journal of Futures Market, SSCI).
5.
Re-Examinations on Corporate
Issues of Currency Warrants: A Case Study of Financial Innovation
Profits,
Proceedings
of the Sixth Conference on the Theories and Practices of the Financial Markets on:Futures/Options Sessions, pp.37-55 December 1997,
6. A Study of Efficient Methods for the Valuation and Hedging of American-Style Lookback Options (with Lihsin Chu),，Proceeding of the 1997 Chinese Financial Association Annual Meeting, pp. 254-289.
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).
8. Simulation and Early Exercise Problem: the Case of Options on Minimum or Maximum of two Risky Assets. (With Chung-Gee Lin) Proceedings of the Seventh Conference on the Theories and Practices of the Financial Markets, December 1998, National Sun Yat-San University, Taiwan.(Also will be presented at the 1999 FMA annual meeting), (under review at Asian Pacific Journal of Finance).
9. Credit Enhancement and Loan Default Risk Premium (With M.T. Yu and V.S. Lai), Presented at the Sixth French Finace Association, 1998.
10. Static Hedge: the Case of Barrier Options and Lookback Options (with Min-Chuan Liu), 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
12. Pricing and Hedging American-Style Reset Warrants (With San-Lin Chung), 1999, Proceedings of the 1999 NCU Finance Conference), pp 10-29.(Under Review at Journal of Computational Finance).
13. Measuring the Normal Contribution Costs for Salary-related, Corporate Sponsored Defined Benefit Pension Plans (with Chao-Liang,Chen, Min-Teh Yu and San-Lin Chung), Proceeding of the 1999 Chinese Financial Association Annual Meeting.
14. 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,
15. Pricing
Asian-Style Interest Rate Swaps, presented at the Seventh Asian Pacific
Finance Association Annual Conference, 2000,
16. The Analysis of Loan Guarantee Portfolio (with Kung-Chung Wu and Chung-Gee Lin), Proceeding of the 2000 Chinese Financial Association Annual Meeting.
17. The Analysis of Duration and Immunization strategy Under the HJM Term Structure Framework, Proceedings of the Ninth Conference on the Theories and Practices of the Financial Markets , (With Ra-Jian Ho), December 2000, National Sun Yat-San University, Taiwan.
18. Analytic Approximation Formulae for Pricing Forward-starting Asian Options (with Cheuh-Yung Tsao and Chung-Gee Lin), Proceedings of PACAP/FMA Finance conference, Seoul, Korea, July 2001.
19.
20. An Analysis of Loan Guarantee
Portfolios and Joint Loan Guarantees with Stochastic Interest Rates (with
San-Lin Chung and Min-Teh Yu), Proceedings of the Tenth Conference on the
Theories and Practices of the Financial Markets, December 2001,
21. Valuing Euro-Convertible
Bonds (with Chung-Gee Lin), Proceedings of the Tenth Conference on the Theories and
Practices of the Financial Markets, December 2001,
(C ) Selected Conference Presentations:
1. The Third Annual Global Finance
Conference,
2. APFA/PACAP Finance Conference,
3. The Fourth Annual Global Conference,
4. The NTU International Conference on Finance,
5. The fifth Annual Conference of the
Multinational Finance Society,
6. The 1998 Meeting of Financial
Management Association ,
7. The Seventh Conference on
8. The 1999 Eleventh Annual
PACAP/FMA Finance
9. The 1999 Meeting of Financial
Management Association ,
10. The Seventh Asian Pacific Finance
Association Annual Conference,
11. The 2000 Meeting of Financial
Management Association,
12. PACAP/FMA finance Conference,
13. The 2002 European Financial
Management Association Annual Meeting,
(D ) Working Papers:
1. Reset Warrant Pricing, Reset Terms and Liqidity Cost (with Chung-Gee Lin, San-Lin Chung, and Min-Teh Yu),2000.
2. The Lower Bound and upper bound of barrier options: a note (with S.L. Chung), 2001. (under review at Applied Economics Letter, SSCI)
3. Static Hedges for Barrier Options: An Implied Binomial Tree Approach (with Hau-Tai Cheng), 2001, July.
4. Surplus Management with Embedded Option Properties under Interest Rate and Default Risk. (with Jen-I Ho), 2001, July.
5. The Valuation of Option Features in Retirement Benefits with Stochastic Interest Rates, 2003 (with C.G. Lin)
Grants:
1. Efficient Procedures for the Valuation and Hedging of American-style Path Dependent Options: theCase of Lookback Options, NSC87-2416-H008-020.
2. Empirical Studies for the Valuation and Hedging of Long-term Currency Options With Stochastic Interest Rates, NSC87-2415-H-007—008.
3. The Valuation and Hedging of Risky Loan Guarantee (I), NSC87-2416-H008-003 (Co-authored with M.T. Yu).
4. The Valuation and Hedging of Risky Loan Guarantee (II), NSC88-2416-H008-001 (Co-authored with M.T. Yu).
5. The Studies for Pricing and Hedging Asian-style Interest Rate Swaps, NSC88-2416-H008-010.
6. Valuation and Hedging of Differential Swaps, NSC89-2416-H008-010.
7. Enhancing Monte-Carlo Simulations: the Case of American-style Path Dependent Options,NSC89-2416-H008-027.
8. Analytic Approximation Formulae for Pricing Forward-starting Asian Options , NSC90-2416-H008-004.
Awards:
1. Scholarships from Ministry of Education (1991-1995).
2. NSC Research Grants:1995, 1997, 1998, 1999, 2000.
3.
Best Paper Award for the 1998 NCU Conference on Finance,
4. Best Paper Award for the 1999 Development of Securities and Futures Markets (with San-Lin Chung).
Academic Services:
● Paper referred for: Applied Financial Economics, Journal of Multinational Financial Management, Journal of Financial Studies, Journal of Management, Academia Economic Papers, Review of Securities and Futures Markets and etc..
● Review Committee for: The 2002 NTU Conference on Finance.
● Editorial Board: Asian Pacific Review of Social Science and Technology
Professional Associations:
● Taiwanese Finance Association
● Financial Management Association International
● PACAP/FAM Society