1. NCCU Academic Hub
  2. Researcher
  3. College of Commerce
  4. Department of Money and Banking
  5. SHIH-KUEI LIN

Publications-Periodical Articles

Showing 1-25 of 57
Date Title Type Full Text
2024-09 What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion article web page(164)
2024-07 Delta Hedging in the USD/JPY Options Market: Insights from Implied Stochastic Volatility article web page(112)
2024-01 Intelligent portfolio construction via news sentiment analysis article web page(351)
2023-11 Valuation of callable range accrual linked to CMS Spread under generalized swap market model article web page(263)
2023-05 Upside and downside correlated jump risk premia of currency options and expected returns article web page(316)
2023-02 Does variance risk premium predict expected returns? article web page(269)
2022-09 Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies article web page(351)
2021-12 以流動性覆蓋比率監控流動性之研究 article web page(272)
2021-04 Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts article pdf(345)
2021-04 Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model article pdf(330)
2020-12 分析師樣本公司之因子模型: 台灣市場實證分析 article web page(382)
2020-04 Risk Management of Deposit Insurance Corporations with Risk-Based Premiums and Credit Default Swaps article pdf(290)
2020-04 Valuation and Empirical Analysis of Currency Options article pdf(319)
2020-04 Option pricing under stock market cycles with jump risks: evidence from the S article pdf(285)
2020-02 Excess volatility and market efficiency in government bond markets: the ASEAN-5 context article web page(371)
2019-12 跳躍風險相關之匯率選擇權: 傅立葉轉換評價法 article web page(298)
2019-06 考慮違約風險與隨機利率模型下的匯率連結外幣資產選擇權定價 article pdf(377)
2018-12 Pricing the Deflation Protection Option in TIPS using a HJM Model with Inflation- and Interest-Rate Jumps article pdf(481)
2018 Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market article web page(792)
2018 Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps article pdf(442)
2017-11 Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks article pdf(623)
2017-11 Fair valuation of mortgage insurance under stochastic default and interest rates article pdf(592)
2017-06 Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Markets article pdf(629)
2017-06 Realized Jump Risks in the U.S. TB and TIPS Markets article pdf(464)
2016-12 Analysis of Risk Management Strategies for Contingent Convertible Bonds=或有可轉債之風險管理策略分析 article pdf(751)