跳到主要內容區

繆維中教授

Dr.Miao
  
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)
研究範疇：
 財務數學、財務計算、計量模型、隨機過程.
講授課程：
 期貨與選擇權，財務風險管理，財金計量方法，計量經濟，時間數列分析，隨機過程，財務工程數學，金融數據分析
研究室：
 IB1003-B
聯絡電話：
 886-2-2730-1273
E-mail：
 miao@mail.ntust.edu.tw

現任：

國立台灣科技大學管理學院 副院長
國立台灣科技大學財金所 所長
‧經歷
國立台灣大學 財務金融學系 兼任教授 (2018-)
美國哈佛大學商學院 個案教學研習課程 學員 (2016-2017)
中央研究院 統計科學研究所 訪問學者 (2012, 2015)
英國倫敦帝國學院 商學院 訪問學者 (2013-2014)
國立台灣科技大學 財務金融研究所 助理教授 副教授
Oxford-Man Institute of Quantitative Finance, Summer Intern
麗臺科技股份有限公司 軟體研發經理
康全電訊股份有限公司 軟體研發主任
‧論文著作
<學術期刊論文>
  1. 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, Accepted. (SCIE)
  2. 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, Accepted. (SCIE)
  3. 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, Accepted. (EI)
  4. 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 (2018), No. 1-2, pp.339-366. (SCI)
  5. 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 (2018), pp.113-128. (SSCI)
  6. 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 (2018), No. 4, pp.953-979. (SCI Expanded)
  7. 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)
  8. 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)
  9. 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-1u p＝0", Electronic Journal of Differential Equations, Vol. 2016 (2016), No. 189, pp.1-12. (SCI Expanded)
  10. 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)
  11. 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)
  12. 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)
  13. 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)
  14. 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)
  15. 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)
  16. 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)
  17. 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)
  18. 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)
  19. 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)
  20. 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)
  21. 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)
  22. 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)
  23. 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)
  24. 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)

 

<研討會論文>
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
‧科技部專題研究計畫
1. 108年度: 以二元厚尾分配建構雙資產跳躍擴散模型並探討交換與價差選擇權之定價 (MOST-108-2410-H-011 -027)
2. 107年度: 基於選擇權高階希臘字母與Householder解根法的隱含波動率曲面快速計算方法  (MOST-107-2410-H-011-005)
3. 106年度: 具時間非同質跳躍幅度的跳躍擴散式選擇權定價模型之分析  (MOST-106-2410-H-011-001)
4. 105年度: 基於CIR過程與Hawks過程的跳躍擴散模型下之選擇權定價與笑狀波幅分析  (MOST-105-2410-H-011-008)
5. 103-104年度: 跳躍擴散式選擇權定價模型的數種進階延伸與整合: 數學解析與實證應用  (MOST-103-2410-H-011-013-MY2)
6. 102年度: 具有多個離散自我迴歸過程相交錯的排隊系統之個別效能分析  (MOST-102-2410-H-011-016)
7. 101年度: 美式冪次賣權與交換選擇權在跳躍擴散模型下之定價與永不提前履約條件之分析  (MOST-101-2410-H-011-003)
8. 100年度: 使用前進式蒙地卡羅法評價美式障礙及複合選擇權 (MOST-100-2410-H-011-006)
9. 99年度: 以階層式違約率模型探討叢聚違約現象及其在多資產信用衍生性商品評價之應用  (MOST-99-2410-H-011-008)
‧教育部教學實踐研究計畫
1. 108年度: 選擇權3D視覺化教學工具之發展與其在選擇權評價與風險管理實務教學上的應用  (PBM1080230)
​2. 107年度: 以金融資產價格的蒙地卡羅模擬為基礎的互動式選擇權教學系統之研發與導入  (PBM107125)