數量財務與風險管理研討會
Conference on Quantitative Finance and Risk Management
2008年1月11日(星期五)
國立交通大學浩然圖書館地下一樓國際會議廳
Conference Director:
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Conference Co-Director:
Huimin Chung, National Chiao Tung University, Taiwan
主辦單位(Conference Organizers):
國立交通大學財務金融研究所 Institute of Finance, National Chiao Tung University
財團法人亞太金融研究發展基金會 Foundation of Pacific Basin Financial Research and Development
協辦單位(Conference Co-Organizer):
社團法人台灣財務工程學會 Financial Engineering Association of Taiwan, Taiwan
贊助單位(Sponsors):
中華民國證券商業同業公會 Taiwan Securities Association (TSA)
臺灣期貨交易所 Taiwan Futures Exchange (TAIFEX)
寶來金融集團 Polaris Financial Group
The papers presented in this conference are based upon papers contributed to the Handbook of Quantitative Finance and Risk Management which is editing by professors Cheng Few Lee and Alice C. Lee. This book will be published by Springer by December 2008. The brief table content is
Part I – Introduction Part II – Essays
Part III –Portfolio Analysis Part IV – Options and Futures
Part V – Contributed Papers Part VI – Appendixes
Part VII– References Part VIII– Index
Detailed table of the content of this handbook can be found in http://centerforpbbefr.rutgers.edu/.
研討會議程
Conference Program
8:00~8:45 報到 Registration
8:45~8:55 校長致辭 Welcome Remark 1
8:55~9:10 院長致辭 Welcome Remark 2
9:10~9:50 Keynote Speech
Chairperson: Min-Teh Yu, Providence University, Taiwan
Title: Development of Quantitative Finance and Risk Management: Past, Present, and Future
Speaker:
Cheng-Few Lee, Rutgers University, USA
National Chiao Tung University, Taiwan
9:50~11:10 Session I、II
Session I. Capital Structure and Risk Management (Conference Room A)
Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan
1. Alternative Methods to Determine Optimal Capital Structure: Theory and Application
Sheng-Syan Chen, National Taiwan University, Taiwan
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Han-Hsing Lee, National Chiao Tung University, Taiwan
2. Robust prediction of default risk?
Chung-Hua Shen, National Taiwan University, Taiwan
Yi-Kai Chen, National University of Kaohsiung, Taiwan
Bor-Yi Huang, Shih Chien University, Taiwan
3. Capital Structure in Asia and CEO Entrenchment
Kin Wai Lee, Nanyang Technological University, Singapore
Gillian Hian Heng Yeo, Nanyang Technological University, Singapore
Session II. Option Pricing Model (Conference Room B)
Chairperson: Shih-Kuo Yeh, National Chung Hsing University, Taiwan
1. A Further Analysis of Convergence Rate and Pattern of the Binomial Models
San-Lin Chung, National Taiwan University, Taiwan
Pai-Ta Shih, National Dong Hwa University, Taiwan
2. Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
Jia-Hau Guo, Soochow University, Taiwan
Mao-Wei Hung, National Taiwan University, Taiwan
3. Two Alternative Approaches to Derive Black-Scholes Option Pricing Model: Comparison and Analysis
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Carl Shu Ming Lin, Rutgers University, USA
11:10~11:30 Tea Break
11:30~13:00 Session III、IV
Session III. Application of Option Pricing Model (Conference Room A)
Chairperson: Chuang-Chang Chang, National Central University, Taiwan
1. A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values
Chuang-Chang Chang, National Central University, Taiwan
Pei-Fang Hsieh, National Central University, Taiwan
Hung-Neng Lai, National Central University, Taiwan
2. Raw Material Convenience Yields and Business Cycle
Chang-Wen Duan, Tamkang University, Taiwan
William T. Lin, Tamkang University, Taiwan
3. MCMC Estimation of Multiscale Stochastic Volatility Models
German Molina, Vega Capital Services Ltd., UK
Chuan-Hsiang Han, National Tsing Hua University, Taiwan
Jean-Pierre Fouque, University of California, USA
Session IV. Research Method in Finance (A) (Conference Room B)
Chairperson: Chien-Fu Lin, National Taiwan University, Taiwan
1. Estimating Future Hedge Ratio: A General Hyperbolic Distribution Approach
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Jang-Yi Lee, Tunghai University, Taiwan
Kehluh Wang, National Chiao Tung University, Taiwan
Yuan-Chung Sheu, National Chiao Tung University, Taiwan
2. Application of Fuzzy Set Theory to Finance Research: Method and Application
Shin-Yun Wang, National Dong Hwa University, Taiwan
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Hai-Chin Yu, Chung Yuan University, Taiwan
Chih-Sean Chen, Chung Yuan University, Taiwan
Der-Tzon Hsieh, National Taiwan University, Taiwan
13:00~14:00 Lunch Time
14:00~15:30 Session V、Session VI
Session V. Research Method in Finance (B) (Conference Room A)
Chairperson: Ching-Fan Chung, National Tsing Hua University, Taiwan
1. Alternative Econometric Methods for Information-based Equity-selling Mechanisms
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Yi Lin Wu, National Tsing Hua University, Taiwan
2. Regime Shifts and the Term Structure of Interest Rates
Chien-Chung Nieh, Tamkang University, Taiwan
Shu Wu, The University of Kansas, USA
Yong Zeng, The University of Missouri at Kansas City, USA
Bi-Huei Tsai, National Chiao Tung University, Taiwan
Lili Sun, Rutgers University, USA
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Session VI. Risk Management (Conference Room B)
Chairperson: Yeutien Chou, Institute of Economics, Academia Sinica, Taiwan
1. Risk Management for Catastrophe Loss
Jin-Ping Lee, Feng Chia University, Taiwan
Min-Teh Yu, Providence University, Taiwan
2. Put option approach to determine bank risk premium
Dar-Yeh Huang, National Taiwan University, Taiwan
Fu-Shuen Shie, National Taiwan University, Taiwan
Wei-Hsiung Wu, National Taiwan University, Taiwan
3. Copula, Correlated Defaults and Credit VaR
Jow-Ran Chang, National Tsing Hua University, Taiwan
An-Chi Chen, KGI Securities Co. Ltd., Taiwan
15:30~16:00 Tea Break
16:00~17:30 Session VII
Session VII. Portfolio Analysis and Country Fund (Conference Room A)
Chairperson: Huimin Chung, National Chiao Tung University, Taiwan
1. The Le Chatelier Principle in the Markowitz Quadratic Programming Investment
Chin W. Yang, Clarion University of Pennsylvania, USA
Ken Hung, National Dong Hwa University, Taiwan
Jing Chui, Clarion University of Pennsylvania, USA
2. Portfolio optimization models and mean-variance spanning tests
Wei-Peng Chen, Shih Hsin University, Taiwan
Huimin Chung, National Chiao Tung University, Taiwan
Keng-Yu Ho, National Central University, Taiwan
Tsui-Ling Hseu, National Chiao Tung University, Taiwan
3. Functional Forms, Market Segmentation and Pricing of Closed-end Country Funds
Cheng-Few Lee, Rutgers University, USA and National Chiao Tung University, Taiwan
Dilip K. Patro, Federal Deposit Insurance Company, USA
Bo Liu, Rutgers University, USA
Alice C. Lee, San Francisco State University, USA