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

3.      Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Evidence from Japanese Listed Companies

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

3.      Do Auditors’ Opinions, Industry Factors and Macroeconomic Factors Signal Financial Distress? Evidence from Taiwan

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