姓名：岳夢蘭（Meng-Lan Yueh）

職稱：助理教授

到校年月：92年2月

辦公室：管二館835

傳真：(03) 4252961

聯絡電話：(03)4227151轉66251

E-mail：mlyueh@cc.ncu.edu.tw

【學歷】

BS in Computer Science, 1991, Soochow University, Taiwan

Master in Economics, 1993, National Taiwan University, Taiwan

Ph.D. in Finance, Warwick Business School, University of Warwick, U.K.

【研究領域與專長】

Interest rate modelling, Numerical lattice method, Credit risk modelling.

【論文著作】

A. Referred Publications

1. On the Pricing and Risk Characteristics of Synthetic CDO of CDOs (with Mi-Hsiu Chiang and Hui-Chun Li), 2008, Academia Economic Papers, (in
   Chinese). (accepted for publication) (TSSCI).

2. An Efficient Algorithm for Basket Default Swap Valuation (with Mi-Hsiu Chiang and Ming-Hua Hsieh), Journal of Derivatives, p.8-19, Vol. 15, No. 2,
   Winter, 2007. (SSCI, FLI, ABI/Inform). (pdf)

3. Valuation of the Interest Rate Guarantee Embedded in Defined Contribution Pension Plans (with Sharon S. Yang and Chun-Hua Tang), Insurance: Mathematics and Economics. (accepted for publication) (SSCI, Impact Factor = 0.756). (pdf)

4. The Pricing and Hedging of Synthetic CDOs Under the Conditional Independence Assumption (with Mi-Hsiu Chiang and An-Ping Lin),  Journal of Financial Studies, (in Chinese). (accepted for publication) (TSSCI).(pdf)

B. Working Papers

C. Teaching Materials