Orbit

:::
:::
Jia-hau Guo
Full-Time Faculty
Job title Associate Professor
Name Jia-hau Guo
Office Tel No. 03-5712121 Ext. 57078
Email jiahau@faculty.nctu.edu.tw
Fax 03-5729915
office Room 411, Management Building 1
Research expertise Asset Pricing, Financial Management, Financial computing
Education Ph.D. in International Business, National Taiwan University
Year Paper Title
2017 Guo, J.-H., L.-F. Chang, An Efficient Scheme of Static Hedging Barrier Options: Richardson Extrapolation Techniques, The 2017 Meeting of World Finance Conference , Cagliari, Italy, 會議論文, 2017-07-25-2017-07-28
2016 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Connected Stocks, The 2016 EFMA conference, Basel, Switzerland, 會議論文, 2016-06-29-2016-07-02
2015 Chang, L.-F., J.-H. Guo, and M.-W. Hung, A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options, The 22th Annual Meeting of the Multinational Finance Society, Halkidiki, Greece, 會議論文
2015 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Informationally Related Stocks, The 2015 EFMA conference, Amsterdam, Netherland, 會議論文
2014 Guo, J.-H., L.-F. Chang, and M.-W. Hung, The Information Content of Limit Hits for Continually Trading Stocks, The 2014 WFC conference, Venice, Italy, 會議論文
2013 Guo, J.-H., L.-F. Chang, The Impact of Jumps and Information Uncertainty on the Term Structure of Credit Spreads, The 9th EBES Conference, Roma, Italy, 會議論文
2013 Guo, J.-H., Y.-J. Wang, Deflation Protection and Inflation Expectation Implicit in TIPS: Evidence from the Collapse of Lehman Brothers, The 2013 FMA European Conference, Luxembourg, Luxembourg, 會議論文
2012 Guo, J.-H., A Model of Stochastic Volatility with Asymmetric Jumps for Variance Swap Pricing, The 2012 FMA European Conference, Istanbul, Turkey, 會議論文
2011 Guo, J.-H., and W.-L. Huang, A Closed-form Solution for Options with Daily Price Limits, The 18th Annual Meeting of the Multinational Finance Society, Roma, Italy, 會議論文
2011 Guo, J.-H., L.-F. Chang and Hsuan Rern, A Reexamination of Jump Effect on Credit Spreads with Noisy Information, The 18th Annual Meeting of the Multinational Finance Society, Rome, Italy, 會議論文
2011 Chou, Y.-Y, Jia-Hau Guo, M.-W. Hung, A New Approach to Market Data Calibration for Inflation-Indexed Securities, The 4th NCTU International Finance Conference, Hsinchu, Taiwan, 會議論文
2011 Guo, J.-H., Y.-Y. Chou, M.-W. Hung, and W.-L. Huang, Equity Volatility, Default Probability, and Daily Price Limits: A New Hybrid Approach, 中部財金學術聯盟暨第八屆金融市場發展研討會, 會議論文
2010 Guo, J.-H., and W.-L. Huang, A Closed-Form Solution for Options with Daily Price Limits , 2010台灣財務金融學會年會暨中部財金學術聯盟研討會, 會議論文
Project Category Year Project Title Participartor Job Title Period Unit
Research Projects 2017 不連續現金股利、價格限制及提早履約溢酬:選擇權定價理論及實證之研究 計畫主持人 2017.08.15 ~ 2018.07.15 科技部
Research Projects 2016 Richardson Extrapolation Techniques for Static Hedging and Pricing Exotic Options J.-H. Guo 2016.08.15 ~ 2017.07.15
Research Projects 2015 A Generalization of Modified Static Options Replication for Barrier Options 2014.08.28 ~ 2016.07.28
Research Projects 2014 A Generalization of Modified Static Options Replication for Barrier Options 2014.08.28 ~ 2016.07.28
Research Projects 2013 Option Pricing and Hedging with Daily Price Limits and Illiquidity 2011.08.15 ~ 2014.07.15
Research Projects 2012 Option Pricing and Hedging with Daily Price Limits and Illiquidity 2011.08.15 ~ 2014.07.15
Research Projects 2011 Option Pricing and Hedging with Daily Price Limits and Illiquidity Jia-hau Guo 2011.08.15 ~ 2014.07.15
Research Projects 2010 Strategic Debt Service with Imperfect Information: Theory and Empirical Evidence Jia-hau Guo 2010.08.15 ~ 2011.07.15
Research Projects 2009 Inflation Expectation and Model Specification: Theory and Evidence from TIPS 2008.08.15 ~ 2010.07.15
Research Projects 2008 Inflation Expectation and Model Specification: Theory and Evidence from TIPS Jia-hau Guo 2008.08.15 ~ 2010.07.15
Research Projects 2007 An Empirical Study of Early-Exercise Premiums in Futures Options on Foreign Currency Jia-hau Guo 2007.10.28 ~ 2008.07.28
Research Projects 2007 Option Pricing Under Stochastic Volatility Jia-hau Guo 2007.04.28 ~ 2008.03.28
Country School Name Department Degree
Taiwan National Taiwan University Department of International Business Ph.D.
Taiwan National Taiwan University Department of Computer Science and Information Engineering Master
Taiwan National Taiwan University Department of Computer Science and Information Engineering Bachelor
Organization Title Department Job Title
國立交通大學 財務金融研究所 專任助理教授
國立台灣大學 國際企業學系 兼任助理教授
東吳大學 商用數學系(財務工程與精算數學系) 專任助理教授