姓    名：張傳章（Chuang-Chang Chang）

 

職    稱：教授

 

到校年月：84年8月

 

辦 公 室：管二館816

 

傳    真：（03）4252961

 

聯絡電話：（03）4227151轉66159

 

Email：ccchang@cc.ncu.edu.tw

【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

　

 現職

中央大學管理學院院長(2007年8月~迄今)

中央大學財務金融系專任教授(2001年8月~迄今)

台灣財務工程學會理事(2006年6月迄今)

台灣財務金融學會監事(2006年6月迄今)

亞太新經濟學會常務監事(2002年11月迄今)

證券市場發展季刊編輯委員(2003年4月迄今)(TSSCI)

財務金融學刋編輯委員(2007年1月迄今)(TSSCI)

亞太社會科技學報編輯委員((2004年6月~迄今)

期貨與選擇權學刊(2007年11月~迄今)

CFP教育訓練委員會委員(2003年11月迄今)

外貿協會培訓中心講座(2004年5月迄今)

 

主要經歷

中央大學財務金融系所主任(2001年8月~2004年7月)

加拿大多倫多大學訪問教授(2004年8月~2005年1月)

中央大學財務金融系專任副教授(1996年8月~2001年7月)

中央大學企業管理系專任副教授(1995年8月~1996年7月)

台灣期貨交易所結算業務委員會委員(2004年11月2006年10月)

台灣財務金融學會理事(2004年6月~2006年5月)

Global Management Review編輯委員(2004年5月~2006年4月)

台灣期貨交易所結算業務委員會委員(2001年11月~2003年10月)

台灣期貨交易所交易業務委員會委員(2003年11月~2004年10月)

台灣金融研訓院、證券暨期貨市場發展基金會及台北金融基金會講座

 

歷年著作目錄

 

(A). Refereed Journal and Book Publication

  1. An Analysis of Bank Consolidation Values : A Real Option Approach (with H. L. Lai and P.F. Hsieh), Chapter 38 at Handbook of Quantitative Finance and Risk Management, publisher by Springer, 2008.(forthcoming).

  2. Richardson extrapolation techniques for pricing American-style options (with S.L. Chung and R. Stapleton), Journal of Futures Markets.(SSCI)Vol. 27, pp.791-817,August 2007, (Forthcoming)

  3.  A Spread-based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counterparty Risks (with J.C. Yu), Research in Finance ,Vol.23,  pp. 195-222, (Econlit, FLI), 2006

  4. Guarantee with Stochastic Interest Rate (With S.L.Chung and M.T.Yu), Quarterly Review of Economics and Finance, (FLI, Econlit, JEL)), 2006, vol.46, pp. 16-35.

  5. Pricing Options with Price Limit and Market illiquidty (with H.M. Chung and T.E. Wang), Research in Finance , vol. 22, pp. 187-214 (Econlit, FLI), 2005.

  6. Pricing Options with American style Average Reset Features (S.L. Chung and M. Shackleton), Quantitative Finance, (SSCI),vol.4, No. 3, PP.292-300,2004

  7. The Valuation of A Euro-Convertible Bond (with C.G. Lin and M.T. Yu), IEEE International Conference on Computational Intelligence for Financial Engineering Proceeding, pp.115-122, 2003. (EI)

  8. Analytic Approximation Formulae for Pricing Forward-starting Asian Options (with Cheuh-Yung Tsao and Chung-Gee Lin), Journal of Futures Markets,2003Vol.23, May, pp. 487-516. (SSCI,Econlit)

  9. The Analysis of Duration and Immunization strategy Under the HJM TermStructure Framework (With Ra-Jian Ho), Research in Finance , 2002, vol. 19, pp.241-268, (Econlit, FLI)

  10. Valuation and Hedging of Differential Swaps (With S.L.Chung and M.T.Yu), Journal of Futures Markets, 2002, Vol.22, No.1, pp.73-94.(SSCI,Econlit)

  11.  Pricing Asian-Style Interest Rate Swaps (with S.L.Chung), Journal of Derivatives, Summer, Vol. 9, No. 4, pp.45-55, 2002, (FLI, ABI/Inform)

  12. Credit Enhancement and Loan Default Risk Premium(With M.TYu ,V.S.Lai), Canadian Journal of Administrative Science,, Vol. 19, pp. 301-312, September, 2002, (SSCI, JEL).

  13. 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. 191-203. (SSCI, JEL).

  14.  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).

  15.  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). 

  1. 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).

  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,U.S.A. (EconLit, FLI)

  3.  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, U.S.A. (EconLit, FLI)

  4. 考慮或有負債貸款保證之研究：障礙選擇權分析法(與王耀輝、何瑞鎮和廖子翔合著)，財務金融學刊(原中國財務學刊)，2008, forthcoming。(TSSCI)

  5. A Lattice Approach for Pricing Asset Swaps and Default Swaps with Counterparty Risks (with Jin-Bao Lin and Wen-Chi Yueh), Journal of Futures & Options，2008，Vol. 1, No.1, pp. 33-84.

  6. 具有隱含選擇權之海外可轉換公司債評價分析(與林忠機、俞明德和黄一仁合著)，財務金融學刋(原中國財務學刊)，Vol.14, No.3, pp.35-68,2006。(TSSCI)

  7. 天然資源專案投資方案之評價：動態選擇權模擬法(與林忠機和陳依仁合著)，證券市場發展季刊, Vol. 17, No. 4, 2005, pp. 87-120. (TSSCI)

  8.  Enhancing the Computational Efficiency for the Monte Carlo Simulation Approach (with S.L. Chung and C.G. Lin), 臺灣管理學刊, 2004, VOL.4, No.2,pp.1-17 (Leading article).

  9. 隨機利率經濟環境下外匯選擇權訂價之實證研究(與周冠男和曹潔君合著), 中山管理評論, 2002, Winter, vol.10, pp. 591-622. (TSSCI)。

  10. 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(與董夢雲、俞明德和張森林合著), 管理學報, vol.19, No.4, pp. 707-735, 2002(TSSCI)。

  11. 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, vol. 18, No.4, 2001, pp. 589-616。(TSSCI)。

  12. 隨機波動性下障礙選擇權之評價分析(與張森林、許博翔合著),中國財務學刊,Vol 8, No 3, PP.41-77, December, 2000. (TSSCI)

  13. 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. (TSSCI)

  14. 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. (TSSCI)

  15. 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. (TSSCI)

  16. 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. (TSSCI)

  17. 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. (TSSCI)

 

(B) Selected Conference Proceedings

 

  1. Pricing Survior Swaps with Mortality Jumps and Default Risk (with Chih-Chan Chen and Min-Hung Tsay), Proceedings of the Fourtht Longevity Risk and Capital Markets Soultions Conference, held in Netherlands, August, 2008.

  2. The Valuation of Contingent Claims: Using Alternative Numerical Methods (with J. B. Lin), Proceedings of the first Asian Conference on Financial Engineering, held in Hong Kong, June, 2008.

  3. The Comparisons of Information Content for Various Volatility Measures: Evidence from Individual Stocks (with M.Y Chen and S.T. Yu), Proceeding of the 2008 European Financial Management Association, Athens, Greece, June, 2008(To appear).

  4. The Valuation of Multivariate Contingent Claims under Transformed Trinominal Approaches (with J.B Lin), Proceeding of the 2008 Financial Management Association International ,  .held Prague, Czech Public (To appear).

  5. An Analysis of Bank Consolidation Values: A Real Option Approach (with H. L. Lai and P. F. Hsieh), Proceeding of the Conference of Quantitative Finance, 2008, January, held in Chiao Tung University, Taiwan.

  6. The information Content from Option Investors: Evidence from TAIFAX (with H. N. Lai and P. H. Hsien), Proceeding of the Fifteen Conference on the Theories and Practices of the Financial Markets, 2007, December, held in National Sun Yat-San University.

  7.  Pricing Weather Derivatives Using a Predicting Power Time Series Process (with J.B. Lin and W.M Shen), Proceeding of the 2007 Taiwan Financial Association Annual Meeting, Taichung. (To appear).

  8. Pricing Credit Card Loans and Credit Credit Card Asset Backed Securities with Default Risks (with H.C.Chen, R.J. Ho and H.W. Lin), Proceedings of the 2007 European Financial Management Association, Vienna, Austria. (To appear). (Also will be presented at the 2007 FMA Annual Conference, held in Oranlando.

  9. A Study on the Risk-Shifting for Taiwan’s Commercial Banks under Different Deposit Insurance Systems, Proceeding of the 2006 NTU International Conference on Finance, (with W.J. Chen), Taipei, Taiwan.

  10. A General Framework for the Valuation of Loan Guarantee Contracts: Plain Vanilla Option Structures vs. Barrier Option Structures, Proceeding of the Fourteen Conference on the Theories and Practices of the Financial Markets, 2006, December, (with Ricky Ho and S.G. Lu), held in National Sun Yat-San University.

  11. Pricing CDOs with A Generalized Non-square Cholesky Decomposition for Selecting Names (With S-Y Lin), Proceeddings of the 14th Conference on Pacific Basin Finance, Economics, Accounting and Economics, 2006, Taipei.

  12. Pricing Credit Card Loans and Credit Credit Card Asset Backed Securities with Default Risks (with H.C.Chen, R.J. Ho and H.W. Lin), Proceeddings of the 14th Conference on Pacific Basin Finance, Economics, Accounting and Economics, 2006, Taipei.

  13. The Valuation and Hedging of Variance Swaps with Jumps in Returns and Volatility (with M.Y. Chen and S.K.Lin). Proceeding of the 2006 Taiwan Financial Association Annual Meeting, Taipei).(Also presented at 2006 AFA/FMA Annual Meeting, Newland).

  14. Re-examining the investment-uncertainty relationship in a real option model (with Miao-Ying Chen), Proceedings of the New Paradigms of Management, the 4th Annual Academic Meeting, 2005, November, held in NTUST, Taipei.(Also will be presented at the 2006 FMA Annual Conference, Salt Lake City, U.S.A.).

  15. Pricing Options with Price Limit and Market illiquidty (with MH.M. Chung and T.E. Wang), Proceeding of the Conference on Taiwanese Financial Engineering, 2005, May.

  16. Pricing and Hedging Quanto Forward-starting Asian Options, Proceeding of the Twenth Conference on the Theories and Practices of the Financial Markets, 2004, December, (with T.Z. Liao and C.Y. Tsao). (Also presented at 2005 FMA Annual Meeting held in Chicago, USA).

  17. A Simplified Lattice Approach for Valuing Asset Swaps and Default Swaps with Counterparty Risks (Wen-Chi Yueh), Proceeding of the Conference on Financial and Economic Policy and Financial Engineering, 2004, Taipei.

  18. An Accurate and Efficient Method for Pricing Asian Options (with Cheuh-Yung Tsao) Proceedings of the 2003 European Financial Management Association, Helsinki, Finland. (Also presented at Asian FA/TFA/FMA 2004, Conference, Taipei). (Under Review at Journal of Economic Dynamics and Control(SSCI). 

  19. The Valuation of Option Features in Retirement Benefits with Stochastic Interest Rate and Jump Risks (with C.G. Lin and C.G. Shou), Proceedings of the 2002 Taiwanese Financial Association, May, Taichung, Chung-Hsing University.

  20. Surplus Management with Embedded Option Properties under Interest Rate  and Default Risk. (with S. L. Chung and Jen-I Ho), Proceedings of the 2002 Taiwanese Financial Association, May, Taichung, Chung-Hsing University. (Also presented at the 15th Australasian Finance and Banking Conference)

  21. Valuing Euro Convertible Bonds, Proceedings of the Tenth Conference on the Theories and Practices of the Financial Markets , (With C.G.Lin. and M.T. Yu).

  22. An Analysis of Loan Guarantee Portfolios and Joint Loan Guarantee underStochastic Interest Rate, Proceedings of the Tenth Conference on the Theories and Practices of the Financial Markets , (With S.L.Chung and M.T. Yu), December 2001, National Sun Yat-San University, Taiwan, Also presented at the 2002 EFMA Annual Meeting, held in London, U.K.

  23. Richardson extrapolation techniques for pricing American-style options (with S.L. Chuang and R. Stapleton), Proceedings of the 2001 Taiwanese Financial Association, June, Taipei, Tamkang University. Also presented at the 2002 EFMA Annual Meeting, held in London, U.K.

  24. 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.

  25. 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.

  26. 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.。

  27. Pricing Asian-Style Interest Rate Swaps, presented at the Seventh Asian Pacific Finance Association Annual Conference, 2000, Shanghai China.

  28. 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.

  29. 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。

  30. 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.

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

  32. 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).

  33. 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.

  34. Credit Enhancement and Loan Default Risk Premium (With M.T. Yu and V.S. Lai), Presented at the Sixth French Finance Association, 1998.

  35. 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).

  36. 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).

  37. 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。

  38. 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, National Sun Yat-San University, Taiwan.

  39. 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.).

  40. 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.

  41. 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).

  42. 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.

　

(C)  Revised and Submitted Papers

1.      An Accurate and Efficient Method for Pricing Asian Options (with Cheuh-Yung Tsao) (Revised and resubmitted at Journal of Futures Markets (SSCI).

2.      An Analysis of Bank Consolidation Values: A Real Option Approach (with H. L. Lai and P.F. Hsieh), 2003. (Under Review at Journal of Business Finance and Accounting (SSCI).

3.       A General Framework for Valuing Loan Guarantee Contracts: Plain Vanilla Option Structures vs. Barrier Option Structure (with R.J. Ho and S.G., Lu), 2006.(under Review at Journal of Risk and Insurance). (SSCI)

4.       Pricing Credit Card Loans and Credit Credit Card Asset Backed Securities with Default Risks (with H.C.Chen, R.J. Ho and H.W. Lin).(under review at Journal of Banking and Finance.(SSCI)

5.       Pricing CDOs with A Generalized Non-square Cholesky Decomposition for Selecting Names (With S-Y Lin and C.L. Lu). (under Review at Journal of Fixed Income).

6.      Re-examining the investment-uncertainty relationship in a real option model (with Miao-Ying Chen), (under Review at Journal of Economics Dynamics    and Control).(SSCI).

7.      The Valuation and Hedging of Variance Swaps with Jumps in Returns and Volatility (with M.Y. Chen and S.K.Lin), (under Review at Management Sciences).(SSCI).

8.      Risk-Shifting Behavior in Taiwan’s Commercial Banks under Different Deposit Insurance Systems (with Wei-Ju Chen), (under Review at Journal of Financial Intermediation).(SSCI).

9.      Pricing Loan Guarantee Contracts with Contingent Liabilities: A Barrier Option Approach, (with R.J., Ho), (under Review at Journal of Financial Studies).(TSSCI)

 

(D) Working Paper

1.      Reset Warrant Pricing, Reset Terms and Liqidity Cost (with Chung-Gee Lin, San-Lin Chung, and Min-Teh Yu),2000.

2.      Risk-Neutral Parameter Shifts for the Valuation of American Options with Stochastic Interest Rates (with M.H. Tsay), 2006, summer.

3.      The Comparisons of Information Content for Various Volatility Measures: Evidence from Individual Stocks (with M.Y Chen and S. T. Yu).

 

 (E) 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 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 八十七年八月。

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。(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」，國科會計劃，計劃編號 NSC89-2416-H008-027。(主持人)。

12.  「遠期生效亞洲式選擇權分析式近似公式解之研究」，國科會計劃，計劃編號 NSC90-2416-H008-004。(主持人)。

13.  「隨機利率經濟環境下貸款保證組合及保證組合之多期模型分析」，國科會計劃，計劃編號 NSC91-2416-H008-012。(主持人)。

14.  「整戶風險保證金分析與評估之研究」，期交所計劃，2002。(主持人)。

15.  Pricing Weather Derivatives, 中央大學整合型計劃。

16.  亞洲式選擇權解析式近似解再探討，國科會計劃，計劃編號 NSC92-2416-H008-024。(主持人)。

17.  教育部改善基礎教育計劃(2004~2006)(共同主持人)。

18.  風險中立參數移動之選擇權訂價法：理論、實證與應用(1/3)，計劃編號 NSC93-2416-H008-021。(主持人)。(進行中)

19.  匯率連動亞洲式選擇權訂價法：，國科會計劃，計劃編號 NSC93-2416-H008-022。(主持人)。

20.  大學學術追求卓越發展延續計劃，衍生性金融資產的尖端研究－子計劃二：氣候衍生性金融資產的訂價(1/4)(2005年4月~2006年3月)。

21.  經濟部科專計劃(中菲電腦承包)：個人信託管理系統－投資分析及風險預告(2005年5月~2006年4月) 。

22.  風險中立參數移動之選擇權訂價法：理論、實證與應用(2/3)，計劃編號 NSC94-2416-H008-004。(主持人)。

23.  「台灣期貨市場交易人下單行為與違約風險相關性之研究」，期交所計劃，2006。(主持人)。

24.  「台灣證劵市場交易人下單行為與結算違約風險相關性之研究」，教育部發展一流大學計劃，2006，中央大學。(主持人)。(進行中)

25.  大學學術追求卓越發展延續計劃，衍生性金融資產的尖端研究－子計劃二：氣候衍生性金融資產的訂價(2/4)(2006年4月~2007年3月)。

26.  風險中立參數移動之選擇權訂價法：理論、實證與應用(3/3)，計劃編號 NSC94-2416-H008-002。(主持人)。

27.  衍生性金融商品的資訊內立涵整合型計劃－子計劃六：利用股票與選擇權價格推估資產風險中立分配與實質機率分配(1/3)NSC95-2416-H-182-005-MY3。(共同主持人)。

28.大學學術追求卓越發展延續計畫，衍生性金融資產的尖端研究－子計畫二:氣候衍生性金融資產的訂價(3/4)(2007年4月~2008年3月)。

29.高階經理人股票選擇權訂價相關議題之研究(1/3)NSC96-H-008-024-MY3。(2007/8~2008/7)。(進行中)

30.衍生性金融商品的資訊內立涵整合型計劃－子計劃六：利用股票與選擇權價格推估資產風險中立分配與實質機率分配(2/3)NSC95-2416-182-005-MY3。(共同主持人)。(進行中)

31.大學學術追求卓越發展延續計畫，衍生性金融資產的尖端研究－子計畫二:氣候衍生性金融資產的訂價(3/4)(2008年4月~2009年3月)。

32.大學學術追求卓越發展延續計畫，衍生性金融資產的尖端研究－子計畫二:氣候衍生性金融資產的訂價(4/4)(2008年4月~2009年3月)。(進行中)

(F) 專書

1.      企業金融的12堂課(第四及第八章)，天下出版社，2002。

2.      財務金融個案 I (個案九及個案十)，台灣金融研訓院出版，2004。

3.      期貨與選擇權，雙葉書廊出版，2005。

4.      財務金融個案 II (個案六及個案八)，台灣金融研訓院出版，2005。

5.      全方位理財規劃(投資型保單，pp71~90)，台灣金融研訓院出版，2005。

6.      財務金融個案 III (個案四及個案七)，台灣金融研訓院出版，2006。

7.期貨與選擇權概論，雙葉書廊出版，2007。

 

(G) 榮譽獎項

1.      教育部公費留學獎學金(1991-1995)。

2.      八十四年及八十六~八十九年度國科會研究甲等獎。

3.      九十一~九十五年國科會計劃主持費(94年度獲20,000元主持費)。

4.      1998台大國際財務會議最佳論文獎。

5.      1999年證券暨期貨研究發展論文獎－學術論文組甲等獎。

6.      中央大學管理學院九十一學年度傑出期刊論文獎。

7.      中央大學管理學院九十二~九十五學年度SSCI期刊論文獎。

8.      中央大學九十五學年度學術研究傑出獎之特聘教授(2006/8~2009/7)。

 

(H) 匿名審稿人

Applied Financial Economics

International Review of Economics and Finance

Journal of Economic Dynamic and Control

Journal of Financial Intermediation

Journal of Multinational Financial Management

Quantitative Finance

Quarterly Review of Economics and Finance

Review of Quantitative Finance and Accounting

管科學報

財務金融學刊

經濟論文叢刊

證券市場發展季刊

中央研究院經濟論文

..

等國內外三十幾個期刋reviewer.