Ting-Pin Wu, Professor

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Faculty-Ting-Pin Wu, Professor

Ting-Pin Wu, Professor

Education
Ph.D. in Money and Banking, National Chengchi University, Taiwan
Research Expertise
Financial Engineering, Financial Innovation
Office
I1-816
EXT.
66252
Email
wutingpin@gmail.com
Papers
 
  1. Jui-Jane Chang, Pao-Hsien Huang, Qing-Ji Liu, Ting-Pin Wu (2021),Current Predicament and Improvement Discussion of Reverse Mortgages in Taiwan, Review of Securities and Futures Markets, forthcoming. (TSSCI).
  2. Jui-Jane Chang, Hui-Ming Pai, Ting-Pin Wu. (2021). Valuation of Two Exotic Double Barrier Options, Journal of Derivatives, forthcoming. (SSCI, MOST Finance Ranking:A-tier 2).
  3. Mei-Ling Tang, Son-Nan Chen, Gene C. Lai, Ting-Pin Wu. (2018). Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. Insurance: Mathematics and Economics, 78, 87-104. (SSCI, MOST Finance Ranking:A-tier 2).
  4. Jui-Jane Chang, Shih-Kuei Lin, Ting-Pin Wu, Chiu-Lian Wu, (2016), Pricing Exchange-rate-Linked Options on Foreign Assets with the Counterparty Default Risk, Journal of the Chinese Statistical Association, 17, 41-68.
  5. Jui-Jane Chang, Ting-Pin Wu,  Su-duan Chen, Ji-Xiang Zhang, (2015), Measuring Credit Risk with Default Correlation, Journal of Management, 32(3), 315-346. (TSSCI)
  6. Chang, J.J., Chen, S.N., Wang, C.C., and Wu T.P. (2014). Barrier Caps and Floors under the LIBOR Market Models with Double Exponential Jumps. Journal of Derivatives, 21(4), 7-24.SSCI,MOST Finance Ranking:A-tier 2)
  7. Jui-Jane Chang, Son-Nan Chen and Ting-Pin Wu. (2013). Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multi-currency LMM. Journal of Futures Markets, 33(9), 827-867. (SSCI, MOST Finance Ranking:A or A-).
  8. Hui-Ming Pai, Ting-Pin Wu, Yi-Zhe Shao, Chiu-Lian Wu (2012), The Pricing of Double Barrier Rainbow OValuation of Interest Rate Spread Options in a Gaussian Hjm Model,  Journal of the Chinese Statistical Association, 50(1), 21-47. (JEL, Econlit, CIS)
  9. Kun-li Lin, Ting-Pin Wu, (2012), The Three Pillars of Basel II and Banking Risk Taking: A Global Perspective, Journal of Management, 29 (2), 121-153.（TSSCI).
  10. Jui-Jane Chang, Son-Nan Chen and Ting-Pin Wu. (2012). A Note to Enhance the BPW Model for the Pricing of Basket and Spread Options. Journal of Derivatives, 19(3), 77-82. (SSCI, MOST Finance Ranking:A or A-).
  11. Chih-Chen Hsu and Ting-Pin Wu. (2011). Pricing Asian-Style Interest Rate Swaps within a Multi-factor Gaussian HJM Framework. International Journal of Information and Management Science, 22(4), 357-376.（TSSCI).
  12. Ting-Pin Wu and Son-Nan Chen. (2011). Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model. Journal of Derivatives, 19(1), 41-55. (SSCI, MOST Finance Ranking:A or A-A).
  13. Ting-Pin Wu and Son-Nan Chen. (2010). Modifying the LMM to Price Constant Maturity Swaps. Journal of Derivatives, 18(2), 20–32. (SSCI, MOST Finance Ranking:A or A-).
  14. Ting-Pin Wu, Jui-Pin Fu and Son-Nan Chen. (2010). Valuation of Asian Interest Rate Options within the BGM Model. Journal of Financial Studies, 18 (4), 1-36. (TSSCI).Ting-Pin Wu, Jui-Pin Fu and Son-Nan Chen. (2009). Valuation of Quanto Interest Rate Exchange Options. Journal of Financial Studies, 17(4), 57-91. (TSSCI, 2008 Outstanding Paper Award).
  15. Ting-Pin Wu and Son-Nan Chen. (2009). Analytical Valuation of Barrier Interest Rate Options under Market Models. The Journal of Derivatives, 17 (Fall), 21-37. (SSCI, MOST Finance Ranking:A or A-).
  16. Ting-Pin Wu. (2009). Pricing and Hedging Chooser Options within the HJM Interest Rate Model, Journal of Statistics and Computing, 11, 1-31.
  17. Fu, J. P., Chen, S. N., and Wu, T. P. 2009. Options Sellers Gain the Extra Profits: The "Mark-Up Interest" Opinion. NTU Management Review, 19(2), 55-65.(TSSCI).
  18. Ting-Pin Wu and Son-Nan Chen. (2009). Valuation of Interest Rate Spread Options in a Multifacotr LIBOR Market Model. Journal of Derivatives, 17 (Spring), 38-52. (SSCI, MOST Finance Ranking:A or A-)
  19. Ting-Pin Wu. (2008). Pricing and Hedging Quanto Forward Contracts under HJM Model, Journal of the Chinese Statistical Association , 46 (4), 288-308. (JEL, Econlit, CIS)
  20. Ting-Pin Wu and Son-Nan Chen. (2008). Quanto Average Interest Rate Options in a Lognormal Interest Rate Market Model. Journal of Financial Studies, 16(2), 35-67. (TSSCI, 2007 Outstanding Paper Award).
  21. Ting-Pin Wu and Son-Nan Chen. (2008). Valuation of Floating Range Notes in a LIBOR Market Model. Journal of Futures Markets, 28 (7), 697-710. (SSCI, MOST Finance Ranking:A or A-)
  22. Ting-Pin Wu and Son-Nan Chen. (2007). Cross-currency Equity Swap in the BGM Model. Journal of Derivatives, 15 (Winter), 60-76. (SSCI, MOST Finance Ranking:A or A-)
  23. Ting-Pin Wu and Son-Nan Chen. (2007). Equity Swaps in a LIBOR Market Model. Journal of Futures Markets, 27 (9), 893-920. (SSCI, MOST Finance Ranking:A or A-)