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Full Time Faculty
Chair Professor
  ¡E Dr. Liang, Chiung-Ju
  ¡E Dr. Liu, Day-Yang
  ¡E Dr. Jang, Woan-Yuh
  ¡E Dr. Joseph C.P. Shieh
Associate Professor
  ¡E Dr. Miao, Daniel W.-C.
  ¡E Dr. Chen, Chun-Nan
Assistant Professor
  ¡E Dr. Chang, Guang-Di
Part Time Faculty
Home / Faculty / Dr. Daniel Wei-Chung Miao
Á[ºû¤¤ ±Ð±Â¡@Dr. Daniel Wei-Chung Miao
D.Phil. in Applied Mathematics
Mathematical Institute, University of Oxford, U.K.
(Major: Financial Mathematics and Operations Research)
Research Field¡G
Financial Mathematics, Financial Computing, Quantitative Models, Stochastic Processes
Courses Taught¡G

Futures and Options, Financial Risk Management, Quantitative Methods for Finance, Econometrics, Financial Models and Quantitative Methods, Stochastic Processes, Financial Engineering Mathematics, Time Series Analysis


Current Position¡G

Professor of Graudate Institute of Finance, NTUST
¡EProfessional Experience
Participant, Global Colloquium on Participant-Centered Learning (GloColl), Harvard Business School, US (2016-2017)
Visiting Scholar, Institute of Statistical Science, Academia Sinica, Taiwan (2012, 2015)
Visiting Scholar, Business School, Imperial College London, UK (2013-2014)
Assistant Professor, Associate Professor, Graduate Institute of Finance, NTUST, Taipei, Taiwan
Summer Intern, Oxford-Man Institute of Quantitative Finance, Oxford, UK
Manager of Software Development, Leadtek Research, Taipei, Taiwan
Supervisor of Software Development, Comtrend Cooperation, Taipei, Taiwan


<Journal Publications>
  1. Miao, D. W.-C.*, Lee, Y.-H. and Wang, J.-Y., "Using Forward Monte-Carlo Simulation for the Valuation of American Barrier Options", Annals of Operations Research, forthcoming. (SCI)
  2. Li, M.-R.*, Miao, D. W.-C., Chiang-Lin, T.-J. and Lee, Y.-S., "Modelling DAX by Applying Parabola Approximation Method", International Journal of Computer Science and Mathematics, forthcoming. (EI)
  3. Ulyah, S. M., Lin, X. C.-S. and Miao, D. W.-C.*, "Pricing Short-Dated Foreign Equity Options with a Bivariate Jump-Diffusion Model with Correlated Fat-Tailed Jumps", Finance Research Letters, forthcoming. (SSCI)
  4. Lin, X. C.-S., Miao, D. W.-C.* and Chao, W.-L., "Analysis of a Jump-Diffusion Option Pricing Model with Serially Correlated Jump Sizes", Communications in Statistics - Theory and Methods, forthcoming. (SCI Expanded)
  5. Chen, N.-P., Li, M.-R.*, Chiang-Lin, T.-J., Lee, Y.-S. and Miao, D. W.-C., "Applications of Linear Ordinary Differential Equations and Dynamic System to Economics - An Example of Taiwan Stock Index TAIEX", International Journal of Dynamical Systems and Differential Equations, Vol. 7 (2017), No. 2, pp.95-111. (EI)
  6. Yao, Y.-C.*, Miao, D. W.-C. and Lin, X. C.-S., "Corrected Discrete Approximations for the Conditional and Unconditional Distributions of the Continuous Scan Statistic", Journal of Applied Probability, Vol. 54 (2017), No. 1, pp.304-319. (SCI)
  7. Li, M.-R.*, Chiang-Lin, T.-J., Lee, Y.-S. and Miao, D. W.-C., "Nonexistence of Positive Global Solutions to the Differential Equation u¡¨¡Ðt -p-1u p¡×0", Electronic Journal of Differential Equations, Vol. 2016 (2016), No. 189, pp.1-12. (SCI Expanded)
  8. Miao, D. W.-C.*, Lee, H.-C. and Chen, H., "A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles", Communications in Statistic - Simulation and Computation , Vol. 45 (2016), No. 4, pp.1249-1267. (SCI Expanded)
  9. Miao, D. W.-C.*, Lin, X. C.-S and Yu, S. H.-T., "A Note on the Never-Early-Exercise Region of American Power Exchange Options", Operations Research Letters, Vol. 44 (2016), No. 1, pp.129-135. (SCI)
  10. Miao, D. W.-C.*, Lin, X. C.-S and Chao, W.-L., "Computational Analysis of a Markovian Queueing System with Geometric Mean-Reverting Arrival Process", Computers & Operations Research, Vol. 65 (2016), No. 1, pp.111-124. (SCI)
  11. Miao, D. W.-C.*, Lee, Y.-H. and Chao, W.-L., "An Early-Exercise-Probability Perspective of American Put Options in the Low-Interest-Rate Era", Journal of Futures Markets, Vol. 35 (2015), No. 12, pp.1154-1172. (SSCI)
  12. Miao, D. W.-C.*, Chung, S.-L. and Lee, Y.-H., "The Never-Early-Exercise Condition of American Power Call Options and the Analytical Upper Bounds", Journal of Futures and Options, Vol. 7 (2014), No. 3, pp.1-24. (TSSCI)
  13. Yao, Y.-C.* and Miao, D. W.-C., "Sample-Path Analysis of General Arrival Queueing Systems with Constant Amount of Work for All Customers", Queueing Systems, Theory and Applications, Vol. 76 (2014), No. 3, pp.283-308. (SCI)
  14. Miao, D. W.-C.*, Lin, X. C.-S. and Chao, W.-L., "Options Pricing under Jump-Diffusion Models with Mean-Reverting Bivariate Jumps", Operations Research Letters, Vol. 42 (2014), No. 1, pp.27-33. (SCI)
  15. Miao, D. W.-C.*, "Analysis of the Discrete Ornstein-Uhlenbeck Processes Caused by Tick Size Effect", Journal of Applied Probability, Vol. 50 (2013), No. 4, pp.1102-1116. (SCI)
  16. Miao, D. W.-C.* and Yu, S. H.-T., "Options Pricing When Asset Returns Jump Interruptedly", Applied Stochastic Models in Business and Industry, Vol. 29 (2013), No. 5, pp.527-551. (SCI Expanded)
  17. Miao, D. W.-C.* and Chen, H., "A Generalised Little's Law and its Applications for a Discrete-Time G/D/1 Queue with Correlated Arrivals", Journal of the Operational Research Society, Vol. 64 (2013), No. 5, pp.679-689. (SSCI, SCI)
  18. Miao, D. W.-C. and Lee, Y.-H.*, "A Forward Monte-Carlo Method for American Options Pricing", Journal of Futures Markets, Vol. 33 (2013), No. 4, pp.369-395. (SSCI)
  19. Miao, D. W.-C., Wu, C.-C.* and Su, Y.-K., "Regime Switching in Volatility and Correlation Structure Using Range-Based Models with Markov-Switching", Economic Modelling, Vol. 31 (2013), pp.87-93. (SSCI)
  20. Miao, D. W.-C.* and Lee, H.-C., "Second Order Performance Analysis of Discrete-Time Queues Fed by DAR(2) Sources with a Focus on the Marginal Effect of the Additional Traffic Parameter", Applied Stochastic Models in Business and Industry, Vol. 29 (2013), No. 1, pp.45-60. (SCI Expanded)
  21. Miao, D. W.-C.* and Hambly, B. M., "Recursive Formulas for Default Probability Distribution with Applications in Markov Chain Based Intensity Models", Journal of Credit Risk, Vol. 8 (2012), No. 3, pp.3-40. (SSCI)
  22. Miao, D. W.-C.* and Chen, H., "On the Variance of System Size and Sojourn Time in a Discrete-Time DAR(1)/D/1 Queue", Probability in the Engineering and Informational Sciences, Vol. 25 (2011), No. 4, pp.519-535. (SCI Expanded)

<Conference Papers>

  1. Miao, D. W.-C.* and Lin, X. C.-S., "Risk Structure in an Extended Version of Merton¡¦s Jump-Diffusion Model Where Jump Magnitudes Follow an Autoregressive Process of Order 2", The 59th Annual Conference of Operational Research Society (OR59), Loughborough, U.K., September 12-14, 2017.
  2. Ulyah, S. M., Lin, X. C.-S. and Miao, D. W.-C.*, "Using Correlated Fat-Tailed Jumps for The Modeling and Pricing of Foreign Equity Options with Short Maturity and High Kurtosis", The 2nd Applied Financial Modelling Conference, Melbourne, Australia, February 2-3, 2017.
  3. Li, Y.-H., Tseng, C.-L*, Miao, D. W.-C., Hu, G.-P., "Valuing a Cellulosic Biofuel Project Considering Supply Uncertainty", Institute for Operations Research and Management Sciences (INFORMS) Annual Meeting 2016, Nashville, Tennessee, U.S., November 13-16, 2016.
  4. Miao, D. W.-C.* and Lin, X. C.-S., "Investigating the Impacts from Tail-Fatness on Option Pricing and Hedging by an Asset Return Model based on Normal and Asymmetric Laplace Mixture Distribution", The 27th European Conference on Operational Research (EURO 2015), Glasgow, U.K., July 12-15, 2015.
  5. Miao, D. W.-C.* and Lin, X. C.-S., "Individual Performance Analysis of a Discrete-Time Queue fed by a Group of DAR(1) Traffic Sources", Institute for Operations Research and Management Sciences (INFORMS) Annual Meeting 2014, San Francisco, California, U.S., November 9-12, 2014.
  6. Miao, D. W.-C.*, Lin, X. C.-S. and Chao, W.-L., "Analysis of Queues with Mean-Reverting Arrivals", The 55th Annual Conference of Operational Research Society (OR55), Exeter, U.K., September 3-5, 2013.
  7. Miao, D. W.-C.*, Lin, X. C.-S. and Chao, W.-L., "Options Pricing under a Jump-Diffusion Model with Autoregressive Jump Structure", The 22th South Taiwan Statistics Conference, Kaohsiung, Taiwan, June 28-29, 2013.
  8. Miao, D. W.-C.* and Lee, Y.-H., "Using Forward Monte-Carlo Simulation to Value American Barrier Options", The 54th Annual Conference of Operational Research Society (OR54), Edinburgh, U.K., September 4-6, 2012.
  9. Miao, D. W.-C., Lee, H.-C.* and Chen, H., "How does Tail-Fatness Influence Options Prices? A Study Based on a Normal-Laplace Mixture Distribution", The 21th South Taiwan Statistics Conference, Taipei, Taiwan, July 29-30, 2012.
  10. Wu, C.-C.*, Miao, D. W.-C. and Su, Y.-K., "Markov-Switching Range-Based Volatility Model and its Application in Volatility Adjusted VaR Estimation", European Financial Management Association (EFMA) Annual Meeting 2012, Barcelona, Spain, June 27-30, 2012.
  11. Miao, D. W.-C.* and Yu, S. H.-T., "Options pricing with Jump-diffusion models when jumps happen interruptedly", Quantitative Methods in Finance (QMF) Conference 2011, Sydney, Australia, December 14-17, 2011.
  12. Miao, D. W.-C., Chung, S.-L.* and Lee, Y.-H., "The Never-Early- Exercise Condition of American Power Call Options and the Analytical Upper Bounds", The 19th Conference on the Theories and Practices of Securities and Financial Markets, Kaohsiung, Taiwan, December 9-10, 2011.
  13. Tseng, C.-L.*, Chung, S.-L., Miao, D. W.-C., and Shih, P.-T., "A General Two-Factor Lattice Method for Stochastic Volatility Models", Institute for Operations Research and Management Sciences (INFORMS) Annual Meeting 2011, Charlotte, North Carolina, U.S., November 13-16, 2011.
  14. Miao, D. W.-C.* and Lee, Y.-H., "Pricing American Options with a Forward Monte-Carlo Method without Backward Induction", The Workshop on Asian Operations Research Progress (ORSJ-AORP), jointing to The Annual Conference of Operations Research Society of Japan (ACORSJ 2011), Kobe, Japan, September 15-16, 2011.
  15. Miao, D. W.-C.* and Lee, H.-C., "A Marginal Effect Analysis of the Additional Order in DAR(2) on the Performance of Discrete-Time Queues", The 7th Aunnual Meeting of the Operations Research Socity of Taiwan (ORSTW 2011), Taipei, Taiwan, June 10, 2011.
  16. Miao, D. W.-C.*, "Recursive Formulas for the Default Probability Distribution of a Heterogeneous Group of Defaultable Entities", The 19th South Taiwan Statistics Conference and 2010 Cross-Strait Conference on Probability and Statistics, Tainan, Taiwan, July 6-7, 2010.
¡EMOST Funded Research Projects
  1. Research Project (2017): "Analysis of Jump-Diffusion Option Pricing Models with Time Inhomogeneous Jump Sizes" (MOST-106-2410-H-011-001)
  2. Research Project (2016): "Option Pricing and Volatility Smile Analysis under Jump-Diffusion Models Based on CIR and Hawks Processes¡¨ (MOST-105-2410-H-011-008)
  3. Research Project (2014-2015): "A series of advanced extensions and integrations of jump-diffusion options pricing models: mathematical analysis and empirical applications" (MOST-103-2410-H- 011-013-MY2)
  4. Research Project (2013): "Individual Performance Analysis of Queueing Systems with Multiple Interfering Discrete Autoregressive Processes" (MOST-102-2410-H-011-016)
  5. Research Project (2012): "The Pricing and Never-Early-Exercise Condition of American Put and Exchange Options under Jump-Diffusion Models" (MOST-101-2410-H-011-003)
  6. Research Project (2011): "Using Forward Monte-Carlo Method for the Pricing of American Barrier and Compound Options" (MOST-100-2410-H-011-006)
  7. Research Project (2010): "Hierarchical Intensity Models for Clustered Defaults with Applications in Portfolio Credit Derivatives" (MOST-99-2410-H-011-008)




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