-
Research Project (2024): " Using Bivariate Gil-Pelaez Integration to Develop Fast Pricing Methods for Spread Options under Stochastic Volatility and Jump Models" (MOST-113-2410-H-011-026)
-
Research Project (2023): " Using Regression Methods to Construct Accurate Closed-Form Formulas for Implied Volatilities" (MOST-112-2410-H-011-017)
-
Research Project (2022): " Using phase-type distributions to model market orders' interarrival times and analyze the impacts on the price movements in a limit order book" (MOST-111-2410-H-011-011)
-
Research Project (2021): " Markov chain modeling of a limit order book with limit order arrivals following Markov modulated Poisson processes" (MOST-110-2410-H-011-011)
-
Research Project (2020): "Convergence advantage of the pricing formula based on Gil-Pelaez inversion for a batch of options with multiple strikes under stochastic volatility and jump models" (MOST-109-2410-H-011-015)
-
Research Project (2019): "Using Bivariate Fat-Tailed Distributions to Construct Two Assets' Jump-Diffusion Models for the Valuation of Exchange and Spread Options" (MOST-108-2410-H-011-027)
-
Research Project (2018): "Fast Computation Method of Implied Volatility Surface Based on High Order Greek Letters and Householder's Method" (MOST-107-2410-H-011-005)
-
Research Project (2017): "Analysis of Jump-Diffusion Option Pricing Models with Time Inhomogeneous Jump Sizes" (MOST-106-2410-H-011-001)
-
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)
-
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)
-
Research Project (2013): "Individual Performance Analysis of Queueing Systems with Multiple Interfering Discrete Autoregressive Processes" (MOST-102-2410-H-011-016)
-
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)
-
Research Project (2011): "Using Forward Monte-Carlo Method for the Pricing of American Barrier and Compound Options" (MOST-100-2410-H-011-006)
-
Research Project (2010): "Hierarchical Intensity Models for Clustered Defaults with Applications in Portfolio Credit Derivatives" (MOST-99-2410-H-011-008)