MI-HSIU CHIANG
Name MI-HSIU CHIANG
Job Title Professor
Unit Dept. of Money and Banking
Email
Office Tel No. 81207
Research Expertise Mathematical Finance, Financial Engineering
Teaching Field 計量金融與財務工程
Year Paper Title
2024 江彌修;邱信瑜*;許育進, 2024.01, 'Retrieving almost stochastic Dominance momentum in Taiwan stock market, ' Pacific-Basin Finance Journal, Vol.83, No.1, pp.26.(SSCI)(*為通訊作者), vol. 116817, Jan. 2024
2021 呂朋怡;黃立新;陳威光;江彌修*, 2021.08, '基於媒體情緒的企業違約預警: 公開資訊語意分析, ' 台灣期貨交易所期貨與選擇權學刊, Vol.14, No.2, pp.83-130.(TSSCI)(*為通訊作者), vol. 428207, Aug. 2021
2021 Mi Hsiu Chiang;Hsin-Yu Chiu*;Wei-Yu Kuo, 2021.07, 'Predictive Ability of Similarity-based Futures Trading Strategies, ' Pacific-Basin Finance Journal (科技部財務領域國際期刊 A Tier-2 級), Vol.68, No.C, pp.1-21.(SSCI)(*為通訊作者), vol. 430987, Jul. 2021
2021 江彌修*;胡聚男;黃立新;陳靜怡, 2021.01, '基於集成學習框架之信用違約預測－ 以信用卡客戶為例, ' 台灣期貨交易所期貨與選擇權學刊,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 430019, Jan. 2021
2020 江彌修*;黃立新;林冠勳, 2020.10, '影響壽險解約行為因素之實證分析, ' 交大管理與系統,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 429021, Oct. 2020
2020 Mi-Hsiu Chiang;Hsin‐Yu Chiu;Robin K. Chou*, 2020.01, 'Relevance of the disposition effect on the options market: New evidence, ' Financial Management (科技部財務領域國際期刊 A Tier-1 級), pp.1-32.(SSCI)(*為通訊作者), vol. 425881, Jan. 2020
2019 鄭仁杰;江彌修*, 2019.09, '漫步於隨機森林： 輔以多數決學習的台股指數期貨交易策略, ' 中央研究院經濟論文 (臺灣社會科學核心期刊TSSCI第一級), Vol.47, No.3, pp.395-448.(*為通訊作者), vol. 422842, Sep. 2019
2019 Yi-Chun Chen;Yu-En Lin;Hsiang-Hsuan Chi;Mi-Hsiu Chiang*, 2019.03, 'Corporate Governance and Idiosyncratic Volatility Anomaly, ' 證券市場發展季刊 (臺灣社會科學核心期刊TSSCI第一級), pp.141-170.(*為通訊作者), vol. 418391, Mar. 2019
2019 Yenn-Ru Chen;Mi-Hsiu Chiang*;Chia-Hsiang Weng, 2019.01, 'Are Investors Always Compensated for Information Risk? Evidence from Chinese Reverse-Merger Firms, ' Review of Quantitative Finance and Accounting (科技部財務領域國際期刊 A Tier-2 級), pp.1-38.(*為通訊作者), vol. 418392, Jan. 2019
2018 Ming-Che Chuang;Shih-Kuei Lin;Mi-Hsiu Chiang*, 2018.11, 'Pricing the Deflation Protection Option in TIPS using a HJM Model with Inflation- and Interest-Rate Jumps, ' Journal of Derivatives (科技部財務領域國際期刊 A Tier-2 級), pp.50-69.(*為通訊作者), vol. 420094, Nov. 2018
2018 Mi-Hsiu Chiang;Hsin-Hao Fu;Yi-Ta Huang;Chien-Ling Lo*;Pai-Ta Shih, 2018.09, 'Analytical Approximations for American Options: The Binary Power Option Approach, ' Journal of Financial Studies (臺灣社會科學核心期刊TSSCI第一級), Vol.26, No.3, pp.91-116.(*為通訊作者), vol. 418920, Sep. 2018
2018 Hsin-Yu Chiu;Shu-An Huang;Mi-Hsiu Chiang*, 2018.09, 'A liquidity-based Betting-against-beta strategy, ' 證券市場發展季刊 (臺灣社會科學核心期刊TSSCI第一級), pp.41-74.(*為通訊作者), vol. 418388, Sep. 2018
2016 Mi-Hsiu Chiang;Chang-Yi Li*;Son-Nan Chen, 2016.04, 'Pricing Currency Options under Double Exponential Jump Diffusion in a Markov-Modulated HJM Economy, ' Review of Quantitative Finance and Accounting (科技部財務領域國際期刊 A Tier-2 級), pp.459-482.(*為通訊作者), vol. 404928, Apr. 2016
2015 傅信豪;楊啟均;江彌修*, 2015.12, '集中度風險於結構式商品的量化與分析：以房屋抵押貸款證券為例, ' 經濟論文叢刊 (臺灣社會科學核心期刊TSSCI第一級), Vol.43, No.4, pp.443-493.(*為通訊作者), vol. 406592, Dec. 2015
2013 Son-Nan Chen;Mi-Hsiu Chiang;Pao-Peng Hsu;Chang-Yi Li*, 2013.10, 'Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model, ' Finance Research Letters (科技部財務領域國際期刊 A- 級), pp.1-12.(SSCI)(*為通訊作者), vol. 403341, Oct. 2013
2013 江彌修*;邱信瑜;王盈心, 2013.04, 'On the Characterization and Information Contents of Dynamic Default Correlation under the Doubly Stochastic Assumption: the Case of iTraxx CDO Tranches, ' 台大管理論叢 (臺灣社會科學核心期刊TSSCI第一級), Vol.24, No.S1, pp.97-132.(*為通訊作者), vol. 388734, Apr. 2013
2012 江彌修*;傅信豪;王聖元, 2012.12, 'The Pricing, Credit Risk Decomposition and Hedging Analysis of CPDOs under the Levy Jump-Diffusion Model, ' 台大管理論叢 (臺灣社會科學核心期刊TSSCI第一級), Vol.23, No.1, pp.327-362.(*為通訊作者), vol. 387983, Dec. 2012
2012 湯美玲*;陳松男;江彌修, 2012.06, 'Estimation Risk and Optimal Portfolio Construction in a Lognormal Market, ' Journal of Financial Studies (臺灣社會科學核心期刊TSSCI第一級), Vol.20, No.2, pp.19-53.(*為通訊作者), vol. 387987, Jun. 2012
2009 蔡政憲*;郭維裕;江彌修, 2009.12, 'The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios, ' Journal of Risk and Insurance (科技部保險領域國際期刊 A Tier-1 級), Vol.76, No.4, pp.909-931.(SSCI)(*為通訊作者), vol. 278880, Dec. 2009
2009 江彌修*;岳夢蘭;林恩平, 2009.03, '條件獨立假設下合成型擔保債權憑證之評價與避險, ' 財務金融學刊 (臺灣社會科學核心期刊TSSCI第一級), Vol.17, No.1, pp.1-40.(*為通訊作者), vol. 226837, Mar. 2009
2009 江彌修*, 2009, 'Option Pricing based on the Alternating Direction Implicit Method, ' 風險管理學報, Vol.10, No.1.(*為通訊作者), vol. 278884, 2009
2008 江彌修*;岳夢蘭;李蕙君, 2008.09, '雙層保護合成型擔保債權憑證之評價與風險特徵研究, ' 中央研究院經濟論文 (臺灣社會科學核心期刊TSSCI第一級), Vol.36, No.3, pp.277-316.(*為通訊作者), vol. 237613, Sep. 2008
2008 黃俊源*;郭照榮;江彌修, 2008, '違約的代價: 契約違約金存在之合理性, ' 公平交易季刊, Vol.16, No.1, pp.35-55.(TSSCI)(*為通訊作者), vol. 235364, 2008
2007 江彌修*;岳夢蘭;謝明華, 2007.12, 'An Efficient Algorithm for Basket Default Swap Valuation, ' Journal of Derivatives (科技部財務領域國際期刊 A Tier-2 級), pp.8-19.(SSCI)(*為通訊作者), vol. 226836, Dec. 2007
2005 江彌修*;王祥帆, 2005, '百慕達式利率交換選擇權, ' 集保結算所月刊, No.157.(*為通訊作者), vol. 279136, 2005
Project Category Year Project Title Participator Job Title Period Unit
MOST Projects 111 以語意深度遷移學習胃納 ESG 永續責任投資情緒於信用違約預警模型之建構(2/2) CHIANG MI-HSIU Principal Investigator 2023.08 ~ 2024.07 National Science and Technology Council
MOST Projects 111 以語意深度遷移學習胃納 ESG 永續責任投資情緒於信用違約預警模型之建構(1/2) CHIANG MI-HSIU Principal Investigator 2022.08 ~ 2023.07 National Science and Technology Council
MOST Projects 110 後疫情時代情緒異象之量化、分析與應用：稀疏預測迴歸、主題文本分析與情緒貝塔套利 CHIANG MI-HSIU Principal Investigator 2021.08 ~ 2022.07 National Science and Technology Council
MOST Projects 108 基於潛在語意主題學習的企業違約預警(2/2) CHIANG MI-HSIU Principal Investigator 2020.08 ~ 2021.07 National Science and Technology Council
Other Projects 109 永續金融產學專案 YANG SHARON S.,LIN SHIH-KUEI,CHIANG MI-HSIU,HUANG HONG-CHIH,CHEN HONG-YI 2020.02 ~ 2020.11
MOST Projects 108 基於潛在語意主題學習的企業違約預警(1/2) CHIANG MI-HSIU Principal Investigator 2019.08 ~ 2021.07 National Science and Technology Council
MOST Projects 107 自適應機器學習與情境相似度辨認於技術交易策略之建構 CHIANG MI-HSIU Principal Investigator 2018.08 ~ 2019.07 National Science and Technology Council
Other Projects 107 我國外幣債券市場之發展與展望 SHIEH SHWU-JANE,CHIANG MI-HSIU 2018.07 ~ 2018.12
MOST Projects 106 處置效果行為偏誤於衍生性商品市場之實證：以個股選擇權及可轉換債券為例 CHIANG MI-HSIU,CHIANG MI-HSIU Principal Investigator 2017.08 ~ 2018.07 National Science and Technology Council
MOST Projects 105 非完備馬可夫調控跳躍擴散市場下通膨指數型衍生性商品之評價(延攬) CHIANG MI-HSIU Principal Investigator 2016.08 ~ 2017.07 National Science and Technology Council
MOST Projects 105 非完備馬可夫調控跳躍擴散市場下通膨指數型衍生性商品之評價 CHIANG MI-HSIU Principal Investigator 2016.08 ~ 2017.07 National Science and Technology Council
Other Projects 104 因應金融進口替代新種商品發展之研究 LIAO SZU-LANG,LIN SHIH-KUEI,CHIANG MI-HSIU 2015.08 ~ 2016.01
MOST Projects 103 流動性風險下信用違約傳染模型之建構及實證研究(2/2) CHIANG MI-HSIU Principal Investigator 2015.08 ~ 2016.10 National Science and Technology Council
MOST Projects 103 流動性風險下信用違約傳染模型之建構及實證研究(1/2) CHIANG MI-HSIU Principal Investigator 2014.08 ~ 2015.07 National Science and Technology Council
MOST Projects 102 模型不確定性下信用投資組合之風險度量、控管、及其避險成效分析 CHIANG MI-HSIU Principal Investigator 2013.08 ~ 2014.07 National Science and Technology Council
Other Projects 102 境外結構型商品發行現況與監理機制之研究-台灣與美國、歐盟、英國、香港、新加坡、日本、韓國及中國大陸之比較 LIAO SZU-LANG,CHIANG MI-HSIU,CHU TE-FANG,LIN SHIH-KUEI 2013.07 ~ 2013.09
MOST Projects 100 固定比例擔保債務憑證之研究（2/2） CHIANG MI-HSIU Principal Investigator 2012.08 ~ 2013.10 National Science and Technology Council
MOST Projects 100 固定比例擔保債務憑證之研究（1/2） CHIANG MI-HSIU Principal Investigator 2011.08 ~ 2012.07 National Science and Technology Council
MOST Projects 99 重隨機假設下之動態違約相關性描述 CHIANG MI-HSIU Principal Investigator 2010.08 ~ 2011.10 National Science and Technology Council
MOST Projects 98 基於跨期違約相關性描述下信用衍生性商品之評價 CHIANG MI-HSIU Principal Investigator 2009.08 ~ 2010.10 National Science and Technology Council
Other Projects 98 我國推出ETF期貨或選擇之可行性研究 CHIANG MI-HSIU,YUEH MENG-LAN Principal Investigator 2009.07 ~ 2009.11
MOST Projects 97 具複合保護層之擔保債權憑證研究 CHIANG MI-HSIU Principal Investigator 2008.08 ~ 2009.10 National Science and Technology Council
MOST Projects 93 選擇權之評價：Ornstein-Uhlenbeck 股價變動過程下 CHEN WEI-KUANG,CHIANG MI-HSIU 2004.08 ~ 2005.07 National Science and Technology Council
MOST Projects 91 實資選擇權投資學在資源開發投資問題互動性策略彈性評估的應用 CHIANG MI-HSIU Principal Investigator 2002.08 ~ 2003.07 National Science and Technology Council
Country School Name Department Degree Duration
UNITED KINGDOM Imperial College London Quantitative Finance Centre for Quantitative Finance 博士 1994.10 ~ 2000.01
UNITED KINGDOM Imperial College London Mathematics 碩士 1993.10 ~ 1994.10
UNITED KINGDOM Imperial College London Mathematics 學士 1990.10 ~ 1993.10
Experience Category Organization Title Department Job Title Duration
Current NATIONAL CHENGCHI UNIVERSITY Department of Money and Banking 教授 2019.02 ~ Up to today
Current NATIONAL CHENGCHI UNIVERSITY Department of Money and Banking 副教授 2013.01 ~ 2019.02
Current NATIONAL CHENGCHI UNIVERSITY Department of Money and Banking 副教授 2009.08 ~ 2013.01
Part Time NATIONAL CHENGCHI UNIVERSITY Master of Science in Global Banking and Finance 代理學程主任 2023.01 ~ Up to today
Part Time NATIONAL CHENGCHI UNIVERSITY College of Global Banking and Finance 代理副院長 2023.01 ~ Up to today
Part Time NATIONAL CHENGCHI UNIVERSITY Department of Money and Banking 系主任 2021.08 ~ 2022.07
Part Time NATIONAL CHENGCHI UNIVERSITY Department of Money and Banking 系主任 2020.08 ~ 2021.07
Honor Category Year Award Name Awarding Unit
Outside School 110 科技部研究獎勵（原科技部獎勵特殊優秀人才） 科技部
Inside School 110 國科會研究獎勵 科技部(國科會)
Inside School 110 國立政治大學 國立政治大學
Inside School 109 學術研究優良獎 政治大學
Outside School 109 第十屆聯電經營管理論文獎優等獎 中華民國管理科學學會
Outside School 106 台灣財務金融學會富邦論文獎 台灣財務金融學會
Inside School 100 國立政治大學 國立政治大學
Outside School 100 台大管理論叢宋作楠基金會論文獎 台大管理論叢宋作楠先生紀念基金會
Inside School 97 學術研究成果國際化優等研究獎 政治大學
Inside School 95 教學特優教師 政治大學商學院
Year Paper Title
2008 廖四郎;江彌修;徐保鵬, 2008, 'Pricing and Hedging of Quanto Range Accrual Note under Gaussian HJM with Cross-Currency Levy Processes, ' 國立政治大學金融學系第一屆金融發展學術研討會 (2008)., 2008
2007 Chun-Yuan Huang;Kuan-Ting Wang;Mi-Hsiu Chiang, 2007, 'The Key Role Penalty Played, ' International Conference on Business and Information, Tokyo, Japan 2007., 2007
2007 Chun-Yuan Huang;Mi-Hsiu Chiang;Kuan-Ting Wang, 2007, 'Can We See the Future and Rational Price of the Unlisted or Switching Listed Firm?, ' International Conference on Business and Information, Tokyo, Japan 2007., 2007
2007 Mi-Hsiu Chiang*;Meng-Lan Yueh;Ming-Hua Hsieh, 2007, 'Important Sampling for Basket Default Swap Valuation, ' World Congress on Computational Finance.(*為通訊作者), 2007