張傳章 教授兼退休榮譽教授 Chuang-Chang Chang

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師資陣容-張傳章 教授兼退休榮譽教授 Chuang-Chang Chang

張傳章 教授兼退休榮譽教授 Chuang-Chang Chang

學歷
英國蘭卡斯特大學會計財務學系博士
研究專長
衍生性金融商品、風險管理、國際財管
辦公室
管二館828
分機
66270
聯絡信箱
ccchang@cc.ncu.edu.tw
個人簡歷

 Chang Chuang-Chang（另開新視窗）

經歷

現職

國立中央大學特聘教授;

台灣財務工程學會理事長;

台灣財務金融學會常務理事;

台灣氣候服務聯盟理事;

台灣社會影響力研究院常務監事

台灣永續能源基金會董事

財團法人國際合作發展基金會董事;

陸委會諮詢委員;

國發會國發基金投資審議委員會委員;

僑委會僑務工作專家;

全國工業總會產業政策委員會委員;

金融研訓院董事會研訓指導委員會委員;

期貨公會期貨信託基金風險控管委員會委員;

中華獨立董事協會榮譽顧問;

財務金融學刊(TSSCI)編輯委員;

證券市場發展季刊(TSSCI) 編輯委員;

期貨與選擇權學刊(TSSCI) 編輯委員;

 

 

 

主要經歷:

中華經濟研究院院長;

金融監督管理委員會副主任委員;

主計總處國民所得統計評審會委員;

勞動部勞動基金監理委員會委員.

行政院健全四大基運作功能專案工作小組委員;

中央大學財務金融系所主任

中央大學管理學院院長;

亞洲大學講座教授暨副校長;

科技部人文司財金會計學門召集人;

科技部人文司諮議委員;

教育部學術審查委員會委員;

耕興股份有限公司獨立董事;

合作金庫銀行董事;

臺灣土地銀行監察人;

海基會董事;

金融研訓院董事;

證交所,櫃買中心公司上櫃外部審議委員;

證券市場發展季刊(TSSCI) 主編;

經濟論文(TSSCI)編輯委員;

Pacific Basin Finance Journal(SSCI),Editorial Boards.(2017/July~2021/June)

 

期刊論文
  1. Cross-Market Manipulation in Derivative Market Expiration Date, (with J.Q. Chen, S.L. Chung and P.H. Hsieh), Journal of Derivatives, 2025 (SSCI) (forthcoming)
  2. Determinants of disposition effect in the real estate market:Evidence from Taiwan (with C.H. Chao, T.Y. Chen and Z.X. Wu)，Pacific-Basin Finance Journal，2024 (SSCI). (forthcoming)
  3. Banks can help? Evidence in the speed of lending for COVID-19 personal relief loans and financial inclusion (with M.H Kung，Y.J. Hsian， W.C. Lo and B.J. Chang)，Pacific Basin Finance Journal，2024 (SSCI). (forthcoming)
  4. A Reduced-Form Model for Lease Contract Valuation with Embedded Options (with H.W. Ho, Henry, Huang, and Yildiray Yidrim), Review of Quantitative Finance and Accounting, 2023 (Forthcoming)
  5. Trust in and Demand of Financial Advisor (with Yu-Jen Hsiao etal.), ,Journalof Management and Business Research (管理學報),2023, Forthcoming.(TSSCI)
  6. Revisiting the Valuation of Deposit Insurance, (with L.L. Chung, R.J. Ho and Y. J. Hsiao), Journal of Futures Markets, 42(1).77-103,2023(SSCI)
  7. Model Risk on Risk Analysis for Non-Negative-Equity Guarantees, (with Sharon Yang and J.W. Huang), Journal of Derivatives, 28 (3)2021 (SSCI),
  8. Modelling Housing Pricing Dynamics and Their Impact on the Cost of Non-Negative-Equity Guarantees for Equity Releasing Products (with Sharon Yang and J.W. Huang), Journal of Real Estate Finance and Economics, vol. 63(2), pages 249-279, August 2020(SSCI)
  9. The Impact of Asymmetric Information and Short Sales on the Illiquidity Risk Premium in the Stock Option Market (with Jeffrey Wang and Z.Y. Lin),Journal of Banking and Finance, 2018, Vol 94, September, pp. 152-165. (SSCI).
  10. Modeling Temperature Behaviors: Application to Weather Derivative Valuation (with Sharon Yang and J.W. Huang), Journal of Futures Markets, 2018, vol. 38, pp.1152-1175.  (SSCI)
  11. Derivatives Usage for Banking Industry: Evidence from the European Markets (with K.Y.Ho and Y.J. Hsiao), (Review of Quantitative Finance and Accounting), vil. 51 1-21, 2018.
  12. A Generalized Brennan-Rubinstein Approach for Valuing Options with Stochastic Interest Rates (with J.B. Lin and M.H. Tsay), Quarterly Review of Economics and Finance, 2018, vol. 67, pp 92-99.
  13. Risk-Shifting Behavior at Commercial Banks under Different Deposit Insurance Systems: Further Evidence from U.S. Markets (with R.J. Ho), Journal of Financial Research, 2017, vol.40, No.1, pp. 55-80.
  14. The Role of Buy-side Anchoring Bias: Evidence from Real Estate Market (with J.H. Yeh and C.H. Chao), Pacific Basin Finance Journal, Vol.38, pp. 34-58, 2016 (SSCI).
  15. Estimation of CO2 Emission Allowances Spot Price Jump Risks and Their Impact on the Valuation of Options and Futures Contracts (with Sharon Yang and J.W. Huang), Quantitative Finance, Vol.16, No.5, pp. 749-762, 2016, (SSCI).
  16. Sophistication, Sentiment and Misreaction (with P.F. Hsieh and Jeffrey Wang), Journal of Financial and Quantitative Analysis, Vol.50, No.4, Aug, pp903-928, 2015 . (SSCI).
  17. The Effect of Stochastic Interest Rate on a Firm’s Capital Structure under a Generalized Model, Review of Quantitative Finance and Accounting, 2015, Vol. 45, No.4, pp.695-719.
  18. The Intraday Behavior of Information Misreactionacross Investor Categories in the Taiwan Options Market (with P.H. Hsieh and Jeffrey Wang), Journal of Financial Markets, vol.16, No.2, pp.362-385, 2013. (SSCI).
  19. The Price Impacts of Options and Futures Volumes in After-hours Stock Market Trading (with P.H. Hsieh and H. N. Lai), Pacific Basin Finance Journal, vol.21, pp. 984-1007, 2013 (SSCI).
  20. Using Richardson Extrapolation Techniques to Price American Options with Alternative Stochastic Processes (with J.B. Lin, W.C. Tsai, and Y.H. Jeffrey ,Wang), Review of Quantitative Finance and Accounting, vol.39, pp. 383-406, 2012.
  21. Fitting and Testing for Implied Volatility Curve with Parametric Models (T.H. Liao and P.H. Chou), Journal of Futures Markets, vol.32, No.12, pp. 1171-1191 (SSCI), 2012.
  22. Re-examining the investment-uncertainty relationship in a real option model (with Miao-Ying Chen). Review of Quantitative Finance and Accounting, 2012, vol.38, no.2, pp.241-255.
  23. Efficient and Accurate Quadratic Analytic Approximation Methods for Pricing Asian Strike Options (with C.Y. Tsao), Quantitative Finance, 2011, vol.11, No.5, pp.729-748. (SSCI).
  24. Pricing and Hedging Quanto Forward-starting Floating-Strike Asian Options, (with T.Z. Liao and C.Y. Tsao), Journal of Derivatives, 2011, summer, vol. 18, pp. 37-53. (SSCI).
  25. The Valuation of Contingent Claims Using Alternative Numerical Methods (with J. B. Lin), Journal of International Financial Markets, Institutions and Money, 2010, vol.20, No.5, pp.490-508.
  26. Pricing Credit Card Loans with Default Risks: A Discrete-Time Approach (with R.J. Ho and C.F. Lee), Review of Quantitative Finance and Accounting. 2010, vol. 36, no, 4, pp.413-438.
  27. Volatility Information for Overall Options and Combination Trading Volume: Evidence of the TAIEX Option Market, (with P.H. Hsieh and Jeffrey Wang), Journal of Banking and Finance, vol.34, no.1, pp.174-183, 2010 (SSCI).
  28. The Valuation of Multivariate Contingent Claims under Transformed Trinomial Approaches (with J.B Lin), Review of Quantitative Finance and Accounting. 2010, vol. 34, no. 1, pp. 23-36.
  29. An Analysis of Bank Consolidation Values: A Real Option Approach (with H. L. Lai and P.F. Hsieh), Handbook of Quantitative Finance and Risk Management, Chapter 49, pp.767-778, published by Springer, 2010.
  30. Do Informed Investors Predict Stock Returns?:Evidence from TAIFAX (with P.H. Hsieh and H.N.Lai), Journal of Banking and Finance, vol.33, no.4, pp.757-764, 2009. (SSCI)
  31. Pricing Weather Derivatives Using a Predicting Power Time Series Process (with J.B Lin and W.H Shen), Asia-Pacific Journal of Financial Studies, 2009, ,vol 38, no. 6, pp.863~890. (SSCI).
  32. 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.
  33. 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. 193-220,2006.
  34. Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates (With S.L.Chung and M.T.Yu), Quarterly Review of Economics and Finance, 2006, vol.46, pp. 16-35.
  35. Pricing Options with Price Limit and Market illiquidty (with H.M. Chung and T.E. Wang), Research in Finance , vol. 22, pp. 187-214, 2005.
  36. 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.
  37. 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.
  38. Analytic Approximation Formulae for Pricing Forward-starting Asian Options (with Cheuh-Yung Tsao and Chung-Gee Lin), Journal of Futures Markets, 2003, Vol.23, May, pp. 487-516. (SSCI)
  39. 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.
  40. 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)
  41. Pricing Asian-Style Interest Rate Swaps (with S.L.Chung), Journal of Derivatives, Summer, Vol. 9, No. 4, pp.45-55, 2002.
  42. 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).
  43. 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).
  44. 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.
  45. Pricing and Hedging American-Style Lookbackand 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.
  46. 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).
  47. 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)
  48. 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..
  49. Anchoring Bias in Real Estate Transactions (with J.H. Yeh and C.H. Chao), Journal of Financial Studies (財務金融學刋), 2018, vol.26, pp. 26-58 (TSSCI)
  50. 購屋決策之定錨偏誤-分量觀點 ,(with 趙慶祥, 葉錦徽),經濟論文叢刋, (TSSCI), 2018. Vol. 46, pp.451-500.
  51. A General Framework for the Valuation of Loan Guarantee Contracts: Plain Vanilla Option Structures vs. Barrier Option Structures (with R.J. Ho and H.W. Ho), 管理學報, 2017, vol. 34, No.2, pp.231-255. (TSSCI)
  52. The Role of Qualified Foreign Institutional Investors in Earnings Informativeness of Income Smoothing (with C.L. Chen and P.Y. Weng), (台大管理論叢) (TSSCI), 2017, vol. 27, No.4, pp 1-42.(leading article)
  53. The Relative Trading Activities in Options and Stock Markets: Evidences from Taiwan Stock Exchange (with P.H. Hsieh and H.N. Lai), 2017, Journal of Futures and Options (TSSCI), vol.10, No.1, pp. 1-40.
  54. Analysis of Investment Uncertainty Relationship Under a Jump-Diffusion Model and Constant Elasticity of Variance Process ( with M.Y. Chen, C.H. Chang and S.W. Li), 2016, 中國統計學報, Vol.54, pp.205-228. (Econlit, JEL, CIS).
  55. The Valuation of Temperature Derivatives: The Case for Taiwan (with J.W. Huang, Sharon Yang), (財務金融學刋), Vol.24, No.2, pp.25-54, 2016 (TSSCI).
  56. 台灣財務領域研究之回顧與展望, (with 黄志偉, 魏慧珊, 歐仁和), 2016, 管理學報, Vol.33, No.1, pp.105-137, (TSSCI).
  57. 台灣選擇權市場之實證研究: 文獻回顧與展望(with 謝佩芳), 2016, 經濟論文叢刋, Vol. 44, No. 1, pp. 57-75.(TSSCI).
  58. Risk-Shifting Behavior in Taiwan’s Commercial Banks under Different Deposit Insurance Systems (with Wei-Ju Chen), 財務金融學刋 (TSSCI), 2013, Vol.21, No.4, pp.1-24. (leading article)
  59. The Valuation of Employee Relaod Options with Stochastic Interest Rates (with H.W.Ho, R.J.Ho, and W.C. Zheng), 財務金融學刋 (TSSCI),2013, Vol. 21, No. 3, pp. 29-62.
  60. Pricing Dynamic Guaranteed Funds Under a Double Exponential Jump Diffusion Model (with Y.F. Lan and M.H. Tsay), (經濟論文) (TSSCI), 2012, vol.40, No.2, pp.269-306.
  61. The Valuation and Hedging of Variance Swaps with Jumps in Returns ( with M.Y. Chen and S.K. Lin) Review of Securities and Futures Market (證券市場發展季刊 )(TSSCI), 2011, vol.23, no.4, pp1-26. (leading article)
  62. 結構型商品之評價分析：應用最小平方蒙地卡羅模擬法 (with 王守平), Journal of Futures and Options, 2011,vol4, pp.1~34. (leading article). (TSSCI)
  63. Pricing Survior Swaps with Mortality Jumps and Default Risk (with Chih-Chan Chen and Min-Hung Tsay), 經濟論文. (TSSCI), 2010, Vol.38, No.2, pp.119-156.(leading article)
  64. Applying a Spectral Decomposition for the Calculation of Value-at-Risk: Evidence from Taiwan Stock Market, (with I.C. Lai and S.Y. Lin), Journal of Financial Studies, 財務金融學刋. (TSSCI), 2010, vol.18, No.3, pp1-32. (leading article)
  65. Empirically Re-examining the Risk Shifting Behavior in Financially Distressed Firms (with Y.J. Hsian, Y.C. Lin and W.C. Chen), 證券市場發展季刊, 2009, vol. 21, No. 4, PP.107~138. (TSSCI).
  66. 考慮或有負債下貸款保證之研究：障礙選擇權分析法(與王耀輝、何瑞鎮和廖子翔合著)，財務金融學刋，2009, vol.17, no. 3, pp. 73-102。(TSSCI)
  67. 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. (TSSCI)
  68. 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)，2006, Vol.14, pp.35-68。(TSSCI)
  69. 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)
  70.  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).
  71. 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)。
  72. 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)。
  73. 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)
  74. 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), 財務金融學刋(原中國財務學刊) ,Vol 8, No 3, PP.41-77, December, 2000. (TSSCI)
  75.  貸款保證組合之研究(與巫昆忠和林忠機合著)，財務金融學刋(原中國財務學刊) , Vol.8, No. 1, pp. 67-100, April 2000. (TSSCI)
  76.  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)
  77.  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)
  78.  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)
  79.  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)
 
研討會論文
  1. A study of arbitrage efficiency between the Taifex index futures and option contracts, (with S.Y. Lin and J.H. Tzeng) (2009), , Proceeding of the Conference of Quantitative Finance, 2009, January, held in Chiao Tung University, Taiwan.
  2. Volatility Information for Overall Options and Combination Trading Volume: Evidence of the TAIEX Option Market, (with P.H. Hsieh and Jeffrey Wang) (2008), , Proceedings of the 21st Australasian Conference, Sydney Australasia, December.
  3. Empirical Evidence of Risk Shifting Behavior in Large and Small Distressed Firms (with Y.J. Hsian, Y.C. Lin and W.C. Chen) (2008), , Proceeding of the Sixteen Conference on the Theories and Practices of the Financial Markets, 2008, December, held in National Sun Yat-San University.
  4. Pricing Survior Swaps with Mortality Jumps and Default Risk (with Chih-Chan Chen and Min-Hung Tsay) (2008), , Proceedings of the Fourtht Longevity Risk and Capital Markets Soultions Conference, held in Netherlands, August, 2008.
  5. The Valuation of Contingent Claims: Using Alternative Numerical Methods (with J. B. Lin) (2008), , Proceedings of the first Asian Conference on Financial Engineering, held in Hong Kong, June, 2008.
  6. The Comparisons of Information Content for Various Volatility Measures: Evidence from Individual Stocks (with M.Y Chen and S.T. Yu) (2008), , Proceeding of the 2008 European Financial Management Association, Athens, Greece, June, 2008.
  7. The Valuation of Multivariate Contingent Claims under Transformed Trinominal Approaches (with J.B Lin) (2008), , Proceeding of the 2008 Financial Management Association International , .held Prague, Czech Public .
  8. An Analysis of Bank Consolidation Values: A Real Option Approach (with H. L. Lai and P. F. Hsieh) (2008), , Proceeding of the Conference of Quantitative Finance, 2008, January, held in Chiao Tung University, Taiwan.
  9. The information Content from Option Investors: Evidence from TAIFAX (with H. N. Lai and P. H. Hsien) (2007), , Proceeding of the Fifteen Conference on the Theories and Practices of the Financial Markets, 2007, December, held in National Sun Yat-San University.
  10. Pricing Weather Derivatives Using a Predicting Power Time Series Process (with J.B. Lin and W.M Shen) (2007), , Proceeding of the 2007 Taiwan Financial Association Annual Meeting, Taichung.
  11. 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) (2007), , Proceedings of the 2007 European Financial Management Association, Vienna, Austria.
  12. A Study on the Risk-Shifting for Taiwan’s Commercial Banks under Different Deposit Insurance Systems, (2006), , Proceeding of the 2006 NTU International Conference on Finance, (with W.J. Chen), Taipei, Taiwan.
  13. A General Framework for the Valuation of Loan Guarantee Contracts: Plain Vanilla Option Structures vs. Barrier Option Structures (2006), , 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.
  14. Pricing CDOs with A Generalized Non-square Cholesky Decomposition for Selecting Names (With S-Y Lin) (2006), , Proceeddings of the 14th Conference on Pacific Basin Finance, Economics, Accounting and Economics, 2006, Taipei.
  15. 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) (2006), , Proceeddings of the 14th Conference on Pacific Basin Finance, Economics, Accounting and Economics, 2006, Taipei.
  16. The Valuation and Hedging of Variance Swaps with Jumps in Returns and Volatility (with M.Y. Chen and S.K.Lin) (2006), , Proceeding of the 2006 Taiwan Financial Association Annual Meeting, Taipei).(Also presented at 2006 AFA/FMA Annual Meeting, Newland).
  17. Re-examining the investment-uncertainty relationship in a real option model (with Miao-Ying Chen) (2006), , 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.).
  18. Pricing Options with Price Limit and Market illiquidty (with MH.M. Chung and T.E. Wang) (2005), , Proceeding of the Conference on Taiwanese Financial Engineering, 2005, May.
  19. Pricing and Hedging Quanto Forward-starting Asian Options (2004), , 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).
  20. A Simplified Lattice Approach for Valuing Asset Swaps and Default Swaps with Counterparty Risks (Wen-Chi Yueh) (2004), , Proceeding of the Conference on Financial and Economic Policy and Financial Engineering, 2004, Taipei.
  21. An Accurate and Efficient Method for Pricing Asian Options (with Cheuh-Yung Tsao) (2003), , 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).
  22. The Valuation of Option Features in Retirement Benefits with Stochastic Interest Rate and Jump Risks (with C.G. Lin and C.G. Shou) (2002), , Proceedings of the 2002 Taiwanese Financial Association, May, Taichung, Chung-Hsing University.
  23. Surplus Management with Embedded Option Properties under Interest Rate and Default Risk. (with S. L. Chung and Jen-I Ho) (2002), , Proceedings of the 2002 Taiwanese Financial Association, May, Taichung, Chung-Hsing University. (Also presented at the 15th Australasian Finance and Banking Conference).
  24. An Analysis of Loan Guarantee Portfolios and Joint Loan Guarantee underStochastic Interest Rate, (With S.L.Chung and M.T. Yu) (2002), , Proceedings of the Tenth Conference on the Theories and Practices of the Financial Markets,December 2001, National Sun Yat-San University, Taiwan, Also presented at the 2002 EFMA Annual Meeting, held in London, U.K.
  25. Richardson extrapolation techniques for pricing American-style options (with S.L. Chuang and R. Stapleton) (2001), , Proceedings of the 2001 Taiwanese Financial Association, June, Taipei, Tamkang University. Also presented at the 2002 EFMA Annual Meeting, held in London, U.K.
  26. Analytic Approximation Formulae for Pricing Forward-starting Asian Options (with Cheuh-Yung Tsao and Chung-Gee Lin) (2001), , Proceedings of PACAP/FMA Finance conference, Seoul, Korea, July 2001.
  27. Pricing Asian-Style Interest Rate Swaps (2000), , presented at the Seventh Asian Pacific Finance Association Annual Conference, 2000, Shanghai China.
  28. A Binomial Option Pricing Model under Stochastic Volatility and Jump, (With Sin-Chang Fu) (1999), , Poceedings of the Eighth Conference on the Theories and Practices of the Financial Markets,December 1999, National Sun Yat-San University, Taiwan.
  29. Pricing and Hedging American-Style Reset Warrants (With San-Lin Chung) (1999), , Proceedings of the 1999 NCU Finance Conference.
  30. Pricing and Hedging American-Style Lookback and Barrier Options((With San-Lin Chung) (1999), , Presented at The Seventh Conference on Pacific Basin Finance, Economics and Accounting.
  31. Simulation and Early Exercise Problem: the Case of Options on Minimum or Maximum of two Risky Assets. (With Chung-Gee Lin) (1999), , 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).
  32. Credit Enhancement and Loan Default Risk Premium (With M.T. Yu and V.S. Lai) (1998), , Presented at the Sixth French Finance Association.
  33. A Modified Exponential Extrapolation Approach for r the Valuation and Hedging of American Option (1998), , Proceedings of International Conference on Finance 1998, held by Taiwan University, March 1998, Vol.1, pp. 336-362(Won the best paper Award).
  34. Re-Examinations on Corporate Issues of Currency Warrants: A Case Study of Financial Innovation Profits (1997), , Proceedings of the Sixth Conference on the Theories and Practices of the Financial Markets on:Futures/Options Sessions,December 1997, National Sun Yat-San University, Taiwan.
  35. Valuation and Hedging of Differential Swaps (With S.L.Chung and M.T.Yu) (1997), , Proceeding of The Chinese Finance Association Annual Conference, 1997,(Also Presented at 1998 FMA Annual Meeting, Chicago, U.S.A.).
  36. Approximation Techniques for American-Style Options(with T.S. Ho and R.C. Stapleton), (1996), , Proceedings of the Third Annual Global Finance Conference, Hawaii.
  37. Hedging the Risks from Writing Currency Options in a Stochastic Interest Rates Economics (1996), , 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).
  38. An Efficient Method for Valuing American Currency Options and Warrants with Stochastic Interest Rates (1996), , Proceedings of APFA/PACAP Finance conference, Taipei.
  39. 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.
  40. Valuing Euro Convertible Bonds, (With C.G.Lin. and M.T. Yu) (), Proceedings of the Tenth Conference on the Theories and Practices of the Financial Markets, .
  41. The Analysis of Duration and Immunization strategy Under the HJM Term Structure Framework, (With Ra-Jian Ho) (), , Proceedings of the Ninth Conference on the Theories and Practices of the Financial Markets, December 2000, National Sun Yat-San University, Taiwan.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. 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。
  47. 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。

  48. 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。

  49. 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。

 
專書及其他

1. 期貨與選擇權概論(三版)，雙葉書廊出版，2018,1月。

2. 期貨與選擇權(三版)，雙葉書廊出版，2017,4月。

3. 期貨與選擇權概論(二版)，雙葉書廊出版，2012,9月。

4. 期貨與選擇權(二版)，雙葉書廊出版，2011,1月。

5. 企業金融的13堂課(第四及第八章)，台灣金融研訓院出版，2008。

6. 期貨與選擇權概論 雙葉書廊出版，2007。

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

8. 期貨與選擇權 雙葉書廊出版，2005。

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

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

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

12. 企業金融的12堂課(第四及第八章) 天下出版社，2002。

​​​​​      

 
研究計畫

​​​​​​

1. 投資人自我控制, 財務專家建議及金融消費糾紛之關聯性分析 : 以台灣為例(1/3. NSC109-2410-H-008-012-MY3)( 2020/08/01 ~進行中), (主持人)

2. 個股選擇權投資人交易資訊與公司創新之研究(1/3. NSC106-2410-H-008-009-MY3) (2017/08/01 ~ 2020/07/31). (主持人) 

3. 買賣權隱含波動度差，投資人情緒與選擇權報酬之間的關係(1/3. NSC104-2410-H-008-006-MY3) (2015/08/01~2018/10/31). (主持人)

4. 資訊不對稱及賣空對個股選擇權市場流動性足貼水之研究分析(1/3, NSC MOST103-2410-H-468-029-MY3(2014/8~2017/7). (主持人)

5. 財金會計學術研習營規劃案, 國科會人文社會研究中心。(2012/10~2013/1) 。

6. 估計選擇權隱含測度權益Beta值之一般化模型: 理論與實證(1/3), NSC 101-2410-H-008-028-MY3。(2012/8~2013/7) 。

7. 台灣總體經濟趨勢與房價情勢預測研究計劃, 遠雄建設委託(2012/4~2013/3) 。

8. 能源國家型科技計劃: 能源價格及能源衍生性金融商品價格之探討(2/3),98-3114-P-008-002.(2011,1/1~2011,12/31). (共同主持人) 。

9. 不同交易時段, 交易量大小及交易人造成的價格影響之研究: 台灣期貨交易所選擇權市場之實證(2/2)99-2410-H-008-070-MY2。(2011/8~2012/7)。

10. 能源國家型科技計劃: 能源價格及能源衍生性金融商品價格之探討(2/3),98-3114-P-008-002.(2011,1/1~2011,12/31). (共同主持人)。

11. 使用Richardson外插法評價美式選擇權的全面性研究(2/2)NSC 98-2410-H-008-042-MY2。(2010/8~2011/7)。

12. 不同交易時段, 交易量大小及交易人造成的價格影響之研究: 台灣期貨交易所選擇權市場之實證(1/2)99-2410-H-008-070-MY2。(2010/8~2011/7)。

13. 臺灣房價指數之編製, 台灣房屋委託計劃(2009/12~2012/11) (共同主持人)。

14. 能源國家型科技計劃: 能源價格及能源衍生性金融商品價格之探討(1/3),98-3114-P-008-002.(2009,11/1~2010,10/31). (主持人)

15. 使用Richardson外插法評價美式選擇權的全面性研究(1/2)NSC 98-2410-H-008-042-MY2。(2009/8~2010/7)。

16. 高階經理人股票選擇權定價相關議題之研究(3/3) NSC96-H-008-024-MY3。(2009/8~2010/7)。

17. 行政院國家發展基金設置管理條例草案, 經建會委託案,(2009年5月~8月) 。(共同主持人)。

18. 衍生性金融商品的資訊內立涵整合型計畫－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(3/3) NSC95-2416-182-005-MY3。(共同主持人)。

19. 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)，大學學術追求卓越發展延續計畫，2009。

20. 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-MY3，2008。

21. 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)，大學學術追求卓越發展延續計畫，2009。

22. 高階經理人股票選擇權訂價相關議題之研究(2/3) NSC96-H-008-024-MY3，2009。

23. 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)，大學學術追求卓越發展延續計畫，2008。

24. 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)，大學學術追求卓越發展延續計畫，2007。

25. 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)，大學學術追求卓越發展延續計畫，2006。

26. 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，2006。

27. 教育部改善基礎教育計劃，2006。

28. 「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」，中央大學，教育部發展一流大學計劃，2006。

29. 「整戶風險保證金分析與評估之研究」，期交所計劃，2002。

30. 「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，1998/8。

31. 「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，1997/9。

32. 「 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」，計劃編號NSC87-2416-H008-020 ，國科會計劃。

33. 「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」，計劃編號NSC87-2415-H-007--008，國科會計劃。

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

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

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

37. 「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。

38. 「差額互換契約評價與避險之研究」，計劃編號NSC89-2416-H008-010，國科會計劃。

39. 「加速蒙地卡羅模擬計算：以美式路徑相依選擇權為例」，計劃編號 NSC89-2416-H008-027，國科會計劃。

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

41. 「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」，計劃編號 NSC91-2416-H008-012，國科會計劃。

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

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

44. 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。

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

46. 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。

47. 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。

48. 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。

49. 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。