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 戴天時(Tian-Shyr Dai)
專任師資
職稱 教授兼管理學院副院長
姓名 戴天時(Tian-Shyr Dai)
聯絡電話 03-5712121 Ext. 57054
電子郵件 cameldai@mail.nctu.edu.tw
網站 http://financelab.nctu.edu.tw/
傳真 03-5729915
辦公室 管理一館M-410室
研究專長 財務工程、資訊科學、金融科技
學歷 台灣大學資訊工程博士
個人著作參考網址 http://financelab.nctu.edu.tw/
個人研究計畫參考網址 http://financelab.nctu.edu.tw/
職稱 教授兼資財系系主任
負責業務 綜理資財系行政事務
年度 論文名稱
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 論文名稱
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, 會議論文
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, 會議論文
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, 會議論文
2009 Rodrigo Hernandez, Wayne Y Lee, Pu Liu, Tian-Shyr Dai, Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance1 , 44th EWGFM Meeting 2009, 會議論文
2008 Tian-Shyr Dai, Y. D. Lyuu, T.C. Chen, A Simple, and Efficient Tree Model for Option Pricing , MFA 2008 USA, 會議論文
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, 會議論文
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, 會議論文
2008 Tian-Shyr Dai, K.-L Wang, T. Tai, Pricing Snowball Notes with Hull-White Model and Quadrature Methods , TFA 2008, 會議論文
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), 會議論文, 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), 會議論文, 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, 會議論文
2006 Tian-Shyr Dai, Y. D. Lyuu, An Accurate Approximate Analytical Formula for Stock Options with Known Dividends , 2006 NTU International Conference on Finance, 會議論文, 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, 會議論文, 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, 會議論文, 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, 會議論文, 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, 會議論文, 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, 會議論文
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, 會議論文
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, 會議論文, 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, 會議論文, 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, 會議論文, 2004-01-11-2004-01-13
國家 學校名稱 系所 學位
中華民國 國立台灣大學 資訊工程學系 博士
中華民國 國立台灣大學 資訊工程學系 碩士
服務機關名稱 單位 職務
國立交通大學 資訊與財金管理學系
國立交通大學 資訊與財金管理學系和資訊管理研究所
中原大學 應用數學系