最高學歷： 英國牛津大學 應用數學博士 （主修：財務數學與作業研究） 研究範圍： 財務金融：財務工程、衍生性商品定價、風險管理 數學/統計：隨機過程、統計方法、計量經濟模型 教授課程： 大學部: 財務金融：期貨與選擇權、選擇權定價與策略 數學/統計：金融計量方法 研究所: 財務金融：期貨與選擇權、金融風險管理、債券市場、金融衍生品案例分析 數學/統計：隨機過程、選擇權定價理論、時間序列分析、量化研究方法 研究室： 國際大樓, IB1003-B 聯絡電話： (02)-2730-1273 E-mail： miao@mail.ntust.edu.tw

現任：

出版物：

<學術期刊>

• Lin, X. C.-S., Miao, D. W.-C.* and Chang, E. E.-T. "Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model." Computational Economics. (2024). (SSCI).
• Lee, Y.-I., Hsieh, W.-L. and Miao, D. W.-C. “A Multi-dimensional assessment of the accuracy of analyst target prices.” International Review of Economics and Finance, Vol. 93, pp.947-969. (2024). (SSCI).
• Lin, X. C.-S., Miao, D. W.-C.*, Lee, Y.-I. and Zheng, Y. "Option Pricing under a Double-Exponential Jump-Diffusion Model with Varying Severity of Jumps." Probability in the Engineering and Informational Sciences, Vol.38, pp.39-64. (2024). (SCIE)
• Miao, D. W.-C.*, Lin, X. C.-S. and Lin, C.-Y. "Using Householder’s Method to Improve the Accuracy of the Closed-Form Formulas for Implied Volatility." Mathematical Methods of Operations Research, Vol.94 ,pp. 493-528. (2021). (SCIE).
• Tseng, C.-L.*, Miao, D. W.-C., Chung, S.-L. and Shih, P.-T. "How Much do Negative Probabilities Matter in Option Pricing? A Case of a LatticeBased Approach for Stochastic Volatility Models." Journal of Risk and Financial Management, Vol.14, Iss. 6, pp.1-32. (2021). (ESCI)
• Lin, Y.-S., Lin, X. C.-S., Miao, D. W.-C.* and Yao, Y.-C., "Corrected Discrete Approximations for Multiple Window Scan Statistics of One-Dimensional Poisson Processes”. Methodology and Computing in Applied Probability, Vol. 22, No. 1, pp.237-265. (2020). (SCIE)
• 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,  Vol. 10, No. 6, pp.566-579. (2019) (EI)
• Miao, D. W.-C.*, Lin, X. C.-S., Yu, S. H.-T. and Lee, Y.-H., "Extending the Intensity Model with Joint Defaults to Incorporate the Lasting Effects from Common Credit Events". Applied Stochastic Models in Business and industry, Vol. 35, No. 3, pp.681-703. (2019). (SCIE)
• 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, Vol. 264, No. 1-2, pp.339-366. (2018) (SCI)
• 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, Vol. 24, pp.113-128. (2018) (SSCI)
• 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, Vol. 47, No. 4, pp.953-979. (2018) (SCI Expanded)
• 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, No. 2, pp.95-111. (2017) (EI)
• 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, No. 1, pp.304-319. (2017) (SCI)
• 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”-t^{-p-1} u^p＝0", Electronic Journal of Differential Equations, Vol. 2016, No. 189, pp.1-12. (2016) (SCIE)
• 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, No. 4, pp.1249-1267. (2016) (SCIE)
• 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, No. 1, pp.129-135. (2016) (SCI)
• 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, No. 1, pp.111-124. (2016) (SCI)
• 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, No. 12, pp.1154-1172. (2015) (SSCI)
• 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, No. 3, pp.1-24. (2014) (TSSCI)
• 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, No. 3, pp.283-308. (2014) (SCI)
• 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, No. 1, pp.27-33. (2014) (SCI)
• Miao, D. W.-C.*, "Analysis of the Discrete Ornstein-Uhlenbeck Processes Caused by Tick Size Effect", Journal of Applied Probability, Vol. 50, No. 4, pp.1102-1116. (2013) (SCI)
• 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, No. 5, pp.527-551. (2013) (SCIE)
• 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, No. 5, pp.679-689. (2013) (SSCI, SCI)
• Miao, D. W.-C. and Lee, Y.-H.*, "A Forward Monte-Carlo Method for American Options Pricing", Journal of Futures Markets, Vol. 33, No. 4, pp.369-395. (2013) (SSCI)
• 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, pp.87-93. (2013) (SSCI)
• 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, No. 1, pp.45-60. (2013) (SCIE)
• 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, No. 3, pp.3-40. (2012) (SSCI)
• 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, No. 4, pp.519-535. (2011) (SCIE)

<研討會論文>

• Miao, D. W.-C.* and Lin, X. C.-S. (2023, Dec). Markov Chain Modeling of a Limit Order Book with Limit Order Arrivals Following Markov Modulated Poisson Processes. 17th International Conference on Computational and Financial Econometrics (CFE-CMStatistics 2023), HTW Berlin, University of Applied Sciences, Germany. MOST 110-2410-H-011-011.
• Lin, X. C.-S., Chien, H. Y.-J. and Miao, D. W.-C.* (2022, Jun). Analysis of Value-at-Risk and Expected Shortfall under a Jump-Diffusion Model with LeftSkewed Jump Sizes. 5th International Conference on Econometrics and Statistics (EcoSta 2022), Ryukoku University, Kyoto, Japan. MOST 108-2410-H-011-027.
• Miao, D. W.-C.* and Lin, X. C.-S., "Analysis of an Extended Double-Exponential Jump-Diffusion Model with Nonhomogeneous Jump Sizes to Reflect Varying Severity of Jumps", The 61st Annual Conference of Operational Research Society (OR61), Canterbury, U.K., September 3-5, 2019.
• Miao, D. W.-C.* and Lin, X. C.-S., "Corrected Discrete Approximations for the Distributions of the Continuous Scan Statistic and their Extensions to Non-constant Intensity and Multiple Window Cases", The 27th South Taiwan Statistics Conference, Tainan, Taiwan, June 29-30, 2018.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.

科技部補助專題研究計畫

• 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)

教育部教學實踐研究計畫

• Research Project (2024): " Designing Inquiry-Based Teaching Materials for Student-t Tests through the Narrative of a Statistician's Story"  (PBM 1136370)
• Research Project (2023): " Using Options Pricing Data to Develop Teaching Materials for Multiple Regression Models in the Courses of Financial Econometrics"  (PBM 1122660)
• Research Project (2022): "Deepening the learning effectiveness on option hedging by using Monte-Carlo simulation and historic simulation together with cases of big losses"  (PBM 1110495)
• Research Project (2019): "The development and implementation of a 3D visual and operational options teaching system and its applications in the courses of option pricing and risk management"  (PBM 1080230)
• Research Project (2018): "The development and implementation of an interactive options teaching system based on Monte-Carlo simulation of financial asset prices"  (PBM 107125)