Orbit

:::
:::
 戴天时(Tian-Shyr Dai)
专任师资
职称 教授兼管理学院副院长
姓名 戴天时(Tian-Shyr Dai)
联络电话 03-5712121 Ext. 57054
电子邮件 cameldai@mail.nctu.edu.tw
网站 http://financelab.nctu.edu.tw/
传真 03-5729915
办公室 管理一馆M-410室
研究专长 财务工程、资讯科学、金融科技
学历 台湾大学资讯工程博士
个人着作参考网址 http://financelab.nctu.edu.tw/
个人研究计画参考网址 http://financelab.nctu.edu.tw/
职称 教授兼资财系系主任
负责业务 综理资财系行政事务
年度 论文名称
2017 A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds, Journal of Derivatives
2016 Evaluating Corporate Bonds and Analyzing Claim Holders' Decisions with Complex Debt Structure., Journal of Banking and Finance
2015 Pricing Asian Option by the FFT with Higher-Order Error Convergence Rate under Levy Processes., Applied Mathematics and Computation
2015 Pricing Guaranteed Minimum/Lifetime Withdrawal Benefits with Various Provisions under Investment, Interest Rate and Mortality Risks, Insurance: Mathematics and Economics
2014 Pricing Barrier Stock Options with Discrete Dividends by Approximating Analytical Formulae, Quantitative Finance
2014 Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions, European Journal of Operational Research
2013 Realized Tax Benefits and Capital Structure, International Journal of Bonds and Currency Derivatives
2013 Outperformance Certificates: analysis, pricing, interpretation, and performance, Review of Quantitative Finance and Accounting
2013 A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables, Journal of Futures Markets
2013 A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions, Insurance: Mathematics and Economics
2011 A Reliable Fingerprint Orientation Estimation Algorithm, JOURNAL OF INFORMATION SCIENCE AND ENGINEERING
2010 The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing, Journal of Derivatives
2010 An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-diffusion Process, Applied Mathematics and Computation
2009 Accurate and efficient lattice algorithms for American-style Asian options with range bounds , Applied Mathematics and Computation, 209, 2, pp238-253, (SCI)
2009 Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree , Quantitative Finance, 9, 7, pp827-838, (SSCI)
2009 Using the LIBOR Market Model to Price the Interest Rate Derivatives:A Recombining Binomial Tree Methodology , NTU Management Review, 20, pp41-68, (TSSCI)
2009 A Hybrid Importance Sampling Algorithm for Estimating VaR Under the Jump Diffusion Model, Journal of Software Engineering and Applications
2008 Linear-Time Option Pricing Algorithms by Combinatorics , Computers and Mathematics with Applications, 55, 9, pp2142-2157, (SCI)
2008 Accurate approximation formulas for stock options with discrete dividends , Applied Economics Letters , 16, 16, pp1657-1663, (SSCI)
2008 Adaptive placement method on pricing arithmetic average options, Review of Derivatives Research, 11, pp83-118, (Others)
2007 An exact subexponential-time lattice algorithm for Asian options, Acta Informatica, 44, pp23-39, (SCI)
2007 Enhanced SEA algorithm and fingerprint classification , International Journal of Computer Applications in Technology , 30, 4, pp295-302, (EI)
2006 Ridge Orientation Estimation and Verification Algorithm for Fingerprint Enhancement , Journal of Universal Computer Science, 12, 10, pp1426-1438, (SCI)
2005 An efficient convergent lattice algorithm for European Asian options , Applied Mathematics and Computation, 169, 2, pp1458-1471, (SCI)
2005 Analytics for geometric average trigger reset options , Applied Economics Letters , 12, 13, pp835-840, (SSCI)
年度 论文名称
2009 Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, Yen-Chun Liu, An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process , ACM SAC'09 Symposium on Applied Computing, 会议论文
2009 Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, Yen-Chun Liu, An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process , 2009 FMA European Conference, 会议论文
2009 Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, A Novel Tree Model for Evaluating Credit Risk Based on Enhanced Structural Model , 44th EWGFM Meeting 2009, 会议论文
2009 Rodrigo Hernandez, Wayne Y Lee, Pu Liu, Tian-Shyr Dai, Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance1 , 44th EWGFM Meeting 2009, 会议论文
2008 Tian-Shyr Dai, Y. D. Lyuu, T.C. Chen, A Simple, and Efficient Tree Model for Option Pricing , MFA 2008 USA, 会议论文
2008 Tian-Shyr Dai, Y. D. Lyuu, The Bino-Trinomial Tree: A Simple Model For Efficient and Accurate Option Pricing , 2008 FMA European Conference Prague, Czech Republic, 会议论文
2008 Tian-Shyr Dai, K.-L Wang, T. Tai, A Novel Tree Model for Evaluating Credit Risk based on Enhanced Structure Model , Quantitative Mathematical Finance Conference 2008, 会议论文
2008 Tian-Shyr Dai, K.-L Wang, T. Tai, Pricing Snowball Notes with Hull-White Model and Quadrature Methods , TFA 2008, 会议论文
2007 Tian-Shyr Dai, Y.-D. Lyuu , An Efficient, and Fast Convergent Algorithm for Barrier Options , Lecture Notes in Computer Science 4508 – Algorithmic Aspects in Imfprmation and Management(2007), 会议论文, 2007-06-01-2007-06-01
2007 Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options , Lecture Notes in Computer Science 4508 – Algorithmic Aspects in Imfprmation and Management(2007), 会议论文, 2007-06-01-2007-06-01
2007 Tian-Shyr Dai, Shi-Gra Lin, Limin Liu, A Hybrid Importance Sampling Algorithm for VaR , 2007 The Second International Conference Innovative, 会议论文
2006 Tian-Shyr Dai, Y. D. Lyuu, An Accurate Approximate Analytical Formula for Stock Options with Known Dividends , 2006 NTU International Conference on Finance, 会议论文, 2006-12-13-2006-12-14
2006 Tian-Shyr Dai, Y. D. Lyuu, Accurate and Efficient Algorithms for Barrier Options , The 3rd Symposium on Risk Management and Cyber-Informatics, 会议论文, 2006-07-01-2006-07-01
2006 Tian-Shyr Dai, Y. D. Lyuu , Jerry Shea, The Trino-binomial Tree Model: A Simple, and Efficient Tree Model , Asian FA/FMA 2006 Meeting, 会议论文, 2006-07-01-2006-07-01
2006 Tian-Shyr Dai, Y. D. Lyuu, and L. M. Liu, Developing Efficient Option Pricing Algorithms by Combinatorial Techniques , The 2006 International Conference on Scientific Computing, 会议论文, 2006-06-01-2006-06-01
2006 L. M. Liu, Tian-Shyr Dai, A Hybrid Fingerprint Enhancement Algorithm , The 2006 International Conference on Image Processing, Computer Vision, & Pattern Recognition, 会议论文, 2006-06-01-2006-06-01
2005 Tian-Shyr Dai, Y.-D. Lyuu, Pricing Double Barrier Options by Combinatorial Approaches , Advances in Soft Computing— Soft Computing as Transdisciplinary Science and Technology, Springer-Verlag, 会议论文
2005 Tian-Shyr Dai, G.-S. Huang, Y.-D. Lyuu, Pricing Asian Options with an Efficient Convergent Approximation Algorithm , Advances in Soft Computing— Soft Computing as Transdisciplinary Science and Technology, Springer-Verlag, 会议论文
2004 Tian-Shyr Dai, J.C. Liu, C. C. Yang, Life insurance liability valuation with stochastic interest rates and continuous regulatory boundaries , The 12th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Business, 会议论文, 2004-08-01-2004-08-01
2004 Tian-Shyr Dai, Y. D. Lyuu, Analytics and Algorithms for Option Pricing on Stocks with Path-Dependent Dividends , 2004 Midwest Finance Association Annual Conference, 会议论文, 2004-03-01-2004-03-01
2004 Tian-Shyr Dai, Y. D. Lyuu, An Exact Subexponential-Time Lattice Algorithm for Asian Options , In Proceedings of ACM-SIAM Symposium on Discrete Algorithms, 会议论文, 2004-01-11-2004-01-13
国家 学校名称 系所 学位
中华民国 国立台湾大学 资讯工程学系 博士
中华民国 国立台湾大学 资讯工程学系 硕士
服务机关名称 单位 职务
国立交通大学 资讯与财金管理学系
国立交通大学 资讯与财金管理学系和资讯管理研究所
中原大学 应用数学系