By Department

Status	Chairman
Name	SHIH-KUEI LIN
Email
Office Tel No.	81012
Job Title	Professor and Chairman
Research Expertise	Financial Engineering, Derivatives, Financial Econometrics, Actuarial Finance
Teaching Field	財務工程
Unit	Dept. of Money and Banking

Year	Paper Title
2024	Dong-Jie Fang;Zong-Wei Yeh;Jie-Cao He;Shih-Kuei Lin, 2024.09, 'What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion, ' Pacific-Basin Finance Journal, pp.102392.((國科會財務領域國際期刊A Tier 2級期刊))(*為通訊作者), vol. 126104, Sep. 2024
2023	Jie-Cao He;Chang-Chieh Hsieh;Zi-Wei Huang;Shih-Kuei Lin, 2023.09, 'Valuation of Callable Range Accrual Linked to CMS Spread under Generalized Swap Market Model, ' International Review of Financial Analysis, pp.Accepted.(國科會財務領域國際期刊A-級)(為通訊作者)(本論著未刊登但已被接受), vol. 111470, Sep. 2023
2023	Ming-Chin Hung;Ping-Hung Hsia;Xian-Ji Kuang;Shih-Kuei Lin, 2023.08, 'Intelligent portfolio construction via news sentiment analysis, ' International Review of Economics & Finance, Vol.89, pp.605-617.(SSCI, 國科會財務領域國際期刊A-級)(為通訊作者), vol. 109250, Aug. 2023
2023	Jie-Cao He;Hsing-Hua Chang;Ting-Fu Chen;Shih-Kuei Lin, 2023.05, 'Upside and downside correlated jump risk premia of currency options and expected returns, ' Financial Innovation, Vol.9, No.1, pp.1-58.(SSCI)(為通訊作者), vol. 109245, May. 2023
2023	Xian-Ji Kuang;Yueh-Hua Hsu;Alan Chang;Shih-Kuei Lin, 2023.02, 'Does variance risk premium predict expected returns?, ' Applied Economics Letters, pp.none.(SSCI)(為通訊作者), vol. 109135, Feb. 2023
2022	Pei-Ling Tsai;Yuan-Lin Hsu;Hsiang-Hsuan Chih;Shih-Kuei Lin, 2022.03, 'Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies, ' International Review of Economics and Finance, Vol.81, pp.205-226.(SSCI, 科技部財務領域國際期刊A-級)(為通訊作者), vol. 439296, Mar. 2022
2021	Shih-Kuei Lin;Ming-Che Chuang;Dong-Jie Fang, 2021.04, 'Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts, ' NTU Management Review, Vol.31, No.1, pp.117-153.(TSSCI, SCOPUS)(為通訊作者), vol. 430399, Apr. 2021
2021	Shin‑Yun Wang;Ming‑Che Chuang;Shih‑Kuei Lin;So‑De Shyu, 2021.04, 'Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index, ' Review of Quantitative Finance and Accounting, Vol.56, pp.25-51.(科技部財務領域國際期刊A Tier-2級)(為通訊作者), vol. 430403, Apr. 2021
2021	Kin-Boon Tang;Wen-Jie Zheng;Chao-Yang Lin;Shih-Kuei Lin, 2021.04, 'Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model, ' North American Journal of Economics and Finance, Vol.56, pp.101339.(SSCI)(為通訊作者), vol. 430402, Apr. 2021
2020	林士貴;阮彥勳;林朝陽, 2020.12, '分析師樣本公司之因子模型: 台灣市場實證分析, ' 統計與資訊評論, Vol.20, pp.1-37.(為通訊作者), vol. 434559, Dec. 2020
2020	林士貴;郭獻聰;林朝陽, 2020.06, '檢測價格泡沫與建構泡沫投資組合之績效分析: 台灣上市股票之實證研究, ' 中國統計學報, Vol.58, No.2, pp.128-167.(為通訊作者), vol. 430511, Jun. 2020
2020	Wu, Yang-Che;Chen, Ting-Fu;Lin, Shih-Kuei, 2020.04, 'Risk Management of Deposit Insurance Corporations with Risk-Based Premiums and Credit Default Swaps, ' Quantitative Finance, Vol.20, No.7, pp.1085-1100.(SSCI, 科技部財務領域國際期刊A Tier-2級)(為通訊作者), vol. 426502, Apr. 2020
2020	Ming-Che Chuang;Chin-Hsiang Wen;Shih-Kuei Lin, 2020.03, 'Valuation and Empirical Analysis of Currency Options, ' International Review of Economics and Financie, Vol.66, pp.71-91.(SSCI, 科技部財務領域國際期刊A-級)(為通訊作者), vol. 426612, Mar. 2020
2020	Kin-Boon Tang;Shao-Jye Wong;Shih-Kuei Lin;Szu-Lang Liao, 2020.03, 'Excess volatility and market efficiency in government bond markets: the ASEAN-5 context, ' Journal of Asset Management, Vol.21, pp.154–165.(SSCI, 科技部財務領域國際期刊B級)(為通訊作者), vol. 430510, Mar. 2020
2019	莊明哲;温晉祥;林士貴, 2019.12, '跳躍風險相關之匯率選擇權: 傅立葉轉換評價法, ' 中國統計學報, Vol.57, No.4, pp.308-341.(為通訊作者), vol. 434560, Dec. 2019
2019	林靜吟;蔡政憲;林士貴;馮冠群, 2019.06, '隨機利率下可解約利率變動型壽險評價分析, ' 中國統計學報, Vol.57, No.2, pp.87-119.(為通訊作者), vol. 430664, Jun. 2019
2019	吳宥璇;林士貴;張瑞珍, 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, ' 中國統計學報, Vol.27, No.2, pp.120-157.(為通訊作者), vol. 430663, Jun. 2019
2019	Chao-Yang Lin;Huimei Liu;Jia-Ching Lee;Shih-Kuei Lin, 2019.02, 'Stock Index Options Pricing under Jump Patterns Driven by Market States, ' Emerging Markets Finance and Trade, Vol.56, pp.840-859.(SSCI)(為通訊作者), vol. 430662, Feb. 2019
2018	Chuang, Ming-Che;Lin, Shih-Kuei;Chiang, Mi-Hsiu, 2018.01, 'Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps, ' Journal of Derivatives, Vol.26, No.2, pp.50-69.(SCOPUS, EconLit,科技部財務領域國際期刊A Tier-2級)(為通訊作者), vol. 421643, Jan. 2018
2017	Yang-Che Wu;Yi-Ting Huang;Shih-Kuei Lin;Ming-Che Chuang, 2017.11, 'Fair valuation of mortgage insurance under stochastic default and interest rates, ' The North American Journal of Economics and Finance, Vol.42, pp.433-447.(SSCI)(*為通訊作者), vol. 430661, Nov. 2017
2017	Shih-Kuei Lin;Shin-Yun Wang;Carl R. Chen;Lian-Wen Xu, 2017.11, 'Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks, ' The North American Journal of Economics and Finance, Vol.42, pp.359-373.(SSCI)(為通訊作者), vol. 430660, Nov. 2017
2017	Ming-Che Chuang;So-De Shyu;Shih-Kuei Lin;An-Chi Wu, 2017, 'Realized Jump Risks in the U.S. TB and TIPS Markets, ' International Journal of Information and Management Sciences, Vol.28, No.2, pp.133-152.(EI, TSSCI, SCOPUS), vol. 421646, 2017
2017	Ming-Che Chuang;Wan-Ru Yang;Ming-Chi Chen;Shih-Kuei Lin, 2017, 'Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market, ' European Journal of Finance, pp.1-38.(SSCI, SCOPUS, EconLit)(為通訊作者), vol. 417922, 2017
2016	Chih-Chen Hsu;An-Sing Chen;Shih-Kuei Lin;Ting-Fu Chen, 2016.04, 'The Affine Styled-Facts Price Dynamics for the Natural Gas: Evidence from Daily Returns and Option Prices, ' Review of Quantitative Finance and Accounting, Vol.48, pp.819-848.(科技部財務領域國際期刊A Tier-2級)(為通訊作者), vol. 410056, Apr. 2016
2016	Shih-Kuei Lin;Jin-Lung Peng;Wei-Hsiung Chao;An-Chi Wu, 2016, 'The Extension from Independence to Dependence between Jump Frequency and Jump Size in Markov-modulated Jump Diffusion Models, ' The North-American Journal of Economics and Finance,.(SSCI)(為通訊作者)(本論著未刊登但已被接受), vol. 410214, 2016
2015	Chang-Yi Li;Son-Nan Chen;Shih-Kuei Lin, 2015, 'Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium, ' The European Journal of Finance,.(為通訊作者)(本論著未刊登但已被接受), vol. 408300, 2015
2015	Shih-Kuei Lin;Ting-Fu Chen;Chien-Tsang Lin, 2015, 'Analysis of the Risk Management Strategies for Contingent Convertible Bonds, ' Journal of Financial Studies,.(TSSCI, EconLit)(為通訊作者)(本論著未刊登但已被接受), vol. 408166, 2015
2014	Chien-Hsiu Lin;Shih-Kuei Lin;An-Chi Wu, 2014.01, 'Foreign Exchange Option Pricing in the Currency Cycle with Jump Risks, ' Review of Quantitative Finance and Accounting, Vol.44, No.4, pp.755-789.(科技部財務領域國際期刊A Tier-2級)(為通訊作者), vol. 402670, Jan. 2014
2014	Shih-Kuei Lin;Yu-Min Lian;Szu-Lang Liao, 2014, 'Pricing Gold Options under Markov-Modulated Jump-Diffusion Processes, ' Applied Financial Economics, Vol.24, No.12, pp.825–836.(EconLit and FLI)(為通訊作者), vol. 405560, 2014
2014	Chih-Chen Hsu;Shih-Kuei Lin;Ting-Fu Chen, 2014, 'Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options, ' Asia-Pacific Journal of Financial Studies, Vol.43, No.3, pp.317–355.(SSCI)(為通訊作者), vol. 402854, 2014
2014	Shih-Kuei Lin;Chien-Hsiu Lin;Ming-Che Chuang;Chia-Yu Chou, 2014, 'A Recursive Formula for a Participating Contract Embedding a Surrender Option under a Regime-switching Model with Jump Risk: Evidence From The S&P 500 Stock Index, ' Economic Modeling, Vol.38, pp.341-350.(SSCI)(為通訊作者), vol. 402687, 2014
2013	Chang, Charles;Fuh, Cheng-Der;Lin, Shih-Kuei, 2013.08, 'A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications, ' Journal of Banking and Finance, Vol.37, No.8, pp.3204-3217.(SSCI, 科技部財務領域國際期刊A Tier-1級)(為通訊作者), vol. 387228, Aug. 2013
2012	Shih-Kuei Lin;Hui-Mei Liu;Tingfu Chen;Tsung-Wei Lin, 2012, 'Empirical Analysis and Option Pricing under Regime Switching Model with Dependent Jump Size Risks, ' Journal of Risk Management, Vol.14, No.2, pp.161-187.(為通訊作者), vol. 408167, 2012
2012	Shih-Kuei Lin;I-Chun Tsai;Ming-Chi Chen;Ming-Che Chuang, 2012, 'The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index, ' Journal of Financial Studies, Vol.20, No.3, pp.83-104.(TSSCI)(為通訊作者), vol. 374651, 2012
2012	Tsai, P. L.;Lin, S. K.;Chih, H. H., 2012, 'Valuation of Open Market Repurchases with Interval Prices: An Application of the Exchange Option, ' Journal of Management & System, Vol.19, No.2, pp.255-276.(TSSCI)(為通訊作者), vol. 316008, 2012
2011	Chang, Chia-Chien;Lin,Shih-Kuei;Yu, Min-Teh, 2011, 'Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes, ' Journal of Risk and Insurance, Vol.78, No.2, pp.447-473.(SSCI)(為通訊作者), vol. 315975, 2011
2010	Wu, Y. C.;Liao, S. L.;Lin, S. K., 2010, 'Option Pricing under Levy Processes and GARCH-Levy Processes: An Empirical Analysis on TAIEX Index Options, ' Journal of Management & System, Vol.17, No.1, pp.49-74.(TSSCI)(為通訊作者), vol. 316009, 2010
2010	Wang, S. Y.;Lin, S. K., 2010, 'The Pricing and Hedging of Structured notes with Systematic Jump Risk: An Analysis of the USD Knock-Out Reversed Swap, ' International Review of Economics and Finance, Vol.19, No.1, pp.106-118.(SSCI)(為通訊作者), vol. 315997, 2010
2010	Chen, Ming-Chi;Chang, Chia-Chien;Lin, Shih-Kuei;Shyu, D., 2010, 'Estimation of Housing Price Jump Risks and Impact on the Valuation of Mortgage Insurance Contacts, ' Journal of Risk and Insurance, Vol.77, No.2, pp.399-422.(SSCI)(為通訊作者), vol. 315996, 2010
2009	Hung, Y. C.;Lin, S. K.;Wu, C. W., 2009, 'Pricing Risky Securities in Hidden Markov-Modulated Poisson Processes, ' Advances in Quantitative Analysis of Finance and Accounting, Vol.7, No.7, pp.95-210.(FLI), vol. 316012, 2009
2009	Lin, S. K.;Liao, S. L.;Lin, T., C., 2009, 'Credit Risks with Levy Processes under a Stochastic Interest Rate: A Structural Form Model, ' Reviews of Securities and Futures Markets, Vol.21, No.4, pp.139-176.(TSSCI)(為通訊作者), vol. 316011, 2009
2009	Wang, R. H.;Lin, S. K.;Fuh, C. D., 2009, 'An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risks, ' Asia-Pacific Journal of Financial Studies, Vol.38, No.5, pp.745-772.(SSCI)(為通訊作者), vol. 316010, 2009
2009	Lin, S. K.;Wang, S. Y.;Tsai, P. L., 2009, 'Application of Hidden Markov Switching Moving Average Model in Stock Markets: Theory and Empirical Evidence, ' International Review of Economics and Finance, Vol.18, No.2, pp.306-317.(SSCI)(為通訊作者), vol. 316005, 2009
2009	Lin, S. K.;Chang, C. C.;Powers, M. R., 2009, 'The Valuation of Contingent Capital with Catastrophe Risks, ' Insurance: Mathematics and Economics, Vol.45, No.1, pp.65-73.(SSCI)(為通訊作者), vol. 315987, 2009
2008	Lin, S. K.;D. Shyu;Chang, C. C., 2008, 'Pricing Catastrophe Insurance Products in Markov Jump Diffusion Models, ' Journal of Financial Studie, Vol.16, No.2, pp.1-33.(TSSCI)(為通訊作者), vol. 316014, 2008
2008	Lin, S. K.;Chang, C. K.;Liao, S. L., 2008, 'A Recursive Formula of A Participating Contract Embedding A Surrender Option, ' Journal of Financial Studies, Vol.16, No.3, pp.107-147.(TSSCI), vol. 316013, 2008
2006	Lin, S. K.;Wang, R. H.;Fuh, C. D., 2006, 'Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk, ' Asia-Pacific Financial Markets, Vol.13, No.3, pp.261-295.(EconLit), vol. 316015, 2006
2004	Shih-Kuei Lin;Cheng-Der Fuh;Tze-Jieh Ko, 2004, 'A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk, ' Journal of Financial Studie, Vol.12, No.1, pp.81-116.(TSSCI)(為通訊作者), vol. 402688, 2004
2003	Cheng-Der Fuh;Inchi Hu;Shih-Kuei Lin, 2003, 'Empirical Performance and Asset Pricing in Hidden Markov Model, ' Communications in Statistics: Theory and Methods, Vol.32, No.12, pp.2477-2512.(SCIE)(為通訊作者), vol. 402689, 2003

Project Category	Year	Project Title	Participator	Job Title	Period	Unit
MOST Projects	112	文字探勘、統計學習與資產定價之創新應用與實證分析(2/2)	LIN SHIH-KUEI	Principal Investigator	2024.08 ~ 2025.07	National Science and Technology Council
MOST Projects	112	文字探勘、統計學習與資產定價之創新應用與實證分析	林士貴	Principal Investigator	2023.08 ~ 2025.07	國立政治大學
MOST Projects	112	文字探勘、統計學習與資產定價之創新應用與實證分析(1/2)	LIN SHIH-KUEI	Principal Investigator	2023.08 ~ 2025.07	National Science and Technology Council
Other Projects	112	存款保險基金目標值及風險差別費率之研究	LIN SHIH-KUEI,CHANG HSING-HUA	Principal Investigator	2023.06 ~ 2024.03
Other Projects	112	壽險業的經營挑戰分析~清償能力制度變革對我國壽險業發展之影響	PENG JIN-LUNG,TSAI CHENG-HSIEN,LIN SHIH-KUEI		2023.05 ~ 2024.04
Other Projects	112	非現金支付的發展趨勢	LIN SHIH-KUEI,CHANG HSING-HUA,PENG JIN-LUNG	Principal Investigator	2023.01 ~ 2023.10
MOST Projects	110	信用借貸之評分模型與利率訂價-機器學習在P2P平台風險管理之應用(2/2)	LIN SHIH-KUEI	Principal Investigator	2022.08 ~ 2023.07	National Science and Technology Council
Other Projects	111	以CAMELS指標探討對金融機構信用風險之監理應用	LIN SHIH-KUEI	Principal Investigator	2022.03 ~ 2022.10
MOST Projects	110	信用借貸之評分模型與利率訂價-機器學習在P2P平台風險管理之應用	林士貴	Principal Investigator	2021.08 ~ 2023.07	國立政治大學
MOST Projects	110	信用借貸之評分模型與利率訂價-機器學習在P2P平台風險管理之應用(1/2)	LIN SHIH-KUEI	Principal Investigator	2021.08 ~ 2023.07	National Science and Technology Council
Other Projects	109	教育部人工智慧技術與應用領域系列課程計畫-金融科技智慧應用	CHANG JIA-MING,CHEN YI-NING,LIN SHIH-KUEI,HU YUH-JONG		2020.09 ~ 2022.07	Ministry of Education, Republic of China (Taiwan)
MOST Projects	108	隨機波動度下股價指數選擇權與波動率指數選擇權之流動性風險溢酬:風險中立與完全競爭下均衡之研究(2/2)	LIN SHIH-KUEI	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
Other Projects	109	金融科技產學合作培育博士級研發人才計畫	LIN SHIH-KUEI,LIAO SZU-LANG	Principal Investigator	2020.02 ~ 2020.07	Ministry of Education, Republic of China (Taiwan)
Other Projects	109	金融科技時代之銀行風險監理與管理研究計畫	LIN SHIH-KUEI,LEE JIE-HAUN,TSANG CHENG-YUN	Principal Investigator	2020.01 ~ 2020.12
Other Projects	108	GMXB商品風險評估之情境開發	YANG SHARON S.,LIN SHIH-KUEI,HUANG HONG-CHIH		2019.11 ~ 2020.06
MOST Projects	108	隨機波動度下股價指數選擇權與波動率指數選擇權之流動性風險溢酬:風險中立與完全競爭下均衡之研究	林士貴	Principal Investigator	2019.08 ~ 2021.07	國立政治大學
MOST Projects	108	隨機波動度下股價指數選擇權與波動率指數選擇權之流動性風險溢酬:風險中立與完全競爭下均衡之研究(1/2)	LIN SHIH-KUEI	Principal Investigator	2019.08 ~ 2021.07	National Science and Technology Council
MOST Projects	108	交易、投資與風險管理群集智能平台	TSAI YEN-LUNG,LIN SHIH-KUEI	Principal Investigator	2019.06 ~ 2020.05	National Science and Technology Council
MOST Projects	108	交易、投資與風險管理群集智能平台	林士貴	Principal Investigator	2019.06 ~ 2020.05	國立政治大學
Other Projects	107	教育部人工智慧技術與應用領域系列課程計畫-資訊科學、大數據分析、社群媒體與大數據分析、大數據分析與金融科技	HU YUH-JONG,LIN SHIH-KUEI,LIU YU-LI,CHANG JIA-MING		2018.12 ~ 2020.07	Ministry of Education, Republic of China (Taiwan)
Other Projects	107	制裁與負面新聞查詢:網路爬蟲與資料挖礦	LIN SHIH-KUEI,WANG LI-LING,HSIEH MING-HUA,CHEN KUNG,SUNG HUANG-CHIH,TSAIH RUA-HUAN	Principal Investigator	2018.08 ~ 2018.12
MOST Projects	106	動態相關性多變量 GARCH 模型下附條件債券、利率衍生性商品與信用衍生性商品之評價(2/2)	LIN SHIH-KUEI	Principal Investigator	2018.08 ~ 2019.07	National Science and Technology Council
Other Projects	107	我國發展結合農漁業保險之天氣期貨交易契約可行性研究	TSAI CHENG-HSIEN,LIN SHIH-KUEI,LIN JAN-JUY		2018.04 ~ 2018.10
Other Projects	107	人工智慧選股策略輔助系統開發暨維護	HSIEH MING-HUA,CHENG TSUNG-CHI,LIN SHIH-KUEI		2018.03 ~ 2020.02
MOST Projects	106	動態相關性多變量 GARCH 模型下附條件債券、利率衍生性商品與信用衍生性商品之評價	林士貴	Principal Investigator	2017.08 ~ 2019.07	國立政治大學
MOST Projects	106	動態相關性多變量 GARCH 模型下附條件債券、利率衍生性商品與信用衍生性商品之評價(1/2)	LIN SHIH-KUEI,LIN SHIH-KUEI	Principal Investigator	2017.08 ~ 2019.07	National Science and Technology Council
MOST Projects	106	隨機波動度風險、跳躍風險、流動性風險與套利定價(延攬)	LIN SHIH-KUEI	Principal Investigator	2017.01 ~ 2017.07	National Science and Technology Council
MOST Projects	105	隨機波動度風險、跳躍風險、流動性風險與套利定價	林士貴	Principal Investigator	2016.08 ~ 2017.07	國立政治大學
MOST Projects	105	在季節性、不對稱性及極端氣候下隨機波動度之氣候衍生性商品定價與避險：GARCH SV 模型之應用(延攬)	LIN SHIH-KUEI	Principal Investigator	2016.08 ~ 2017.07	National Science and Technology Council
MOST Projects	105	隨機波動度風險、跳躍風險、流動性風險與套利定價	LIN SHIH-KUEI	Principal Investigator	2016.08 ~ 2017.10	National Science and Technology Council
MOST Projects	104	在季節性、不對稱性及極端氣候下隨機波動度之氣候衍生性商品定價與避險：GARCH 與 SV 模型之應用(2/2)	LIN SHIH-KUEI	Principal Investigator	2016.08 ~ 2017.07	National Science and Technology Council
MOST Projects	105	在季節性、不對稱性及極端氣候下隨機波動度之氣候衍生性商品定價與避險：GARCH 與 SV 模型之應用(延攬)	LIN SHIH-KUEI	Principal Investigator	2016.01 ~ 2016.07	National Science and Technology Council
MOST Projects	104	在季節性、不對稱性及極端氣候下隨機波動度之氣候衍生性商品定價與避險：GARCH 與 SV 模型之應用	林士貴	Principal Investigator	2015.08 ~ 2017.07	國立政治大學
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	104	在季節性、不對稱性及極端氣候下隨機波動度之氣候衍生性商品定價與避險：GARCH 與 SV 模型之應用(1/2)	LIN SHIH-KUEI	Principal Investigator	2015.08 ~ 2016.07	National Science and Technology Council
MOST Projects	103	槓桿與波動度回饋效果及傳染效應之實證分析、衍生性商品定價與風險管理(2/2)	LIN SHIH-KUEI	Principal Investigator	2015.08 ~ 2016.10	National Science and Technology Council
MOST Projects	103	槓桿與波動度回饋效果及傳染效應之實證分析、衍生性商品定價與風險管理	林士貴	Principal Investigator	2014.08 ~ 2016.10	國立政治大學
MOST Projects	102	考量流動性風險下巨災債券與颶風衍生性商品之評價、實證與風險管理(2/2)	LIN SHIH-KUEI	Principal Investigator	2014.08 ~ 2015.10	National Science and Technology Council
MOST Projects	103	槓桿與波動度回饋效果及傳染效應之實證分析、衍生性商品定價與風險管理(1/2)	LIN SHIH-KUEI	Principal Investigator	2014.08 ~ 2015.07	National Science and Technology Council
MOST Projects	102	考量流動性風險下巨災債券與颶風衍生性商品之評價、實證與風險管理	林士貴	Principal Investigator	2013.08 ~ 2015.10	國立政治大學
MOST Projects	101	使用互相激勵跳躍模型下傳染財務模型偵測、衍生性商品定價與風險管理之研究：高頻資料之實證分析(2/2)	LIN SHIH-KUEI	Principal Investigator	2013.08 ~ 2014.10	National Science and Technology Council
MOST Projects	102	考量流動性風險下巨災債券與颶風衍生性商品之評價、實證與風險管理(1/2)	LIN SHIH-KUEI	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	101	使用互相激勵跳躍模型下傳染財務模型偵測、衍生性商品定價與風險管理之研究：高頻資料之實證分析	林士貴	Principal Investigator	2012.08 ~ 2014.10	國立政治大學
MOST Projects	101	使用互相激勵跳躍模型下傳染財務模型偵測、衍生性商品定價與風險管理之研究：高頻資料之實證分析(1/2)	LIN SHIH-KUEI	Principal Investigator	2012.08 ~ 2013.07	National Science and Technology Council
MOST Projects	100	巨災與氣候衍生性商品之定價、避險與實証分析（2/2）	LIN SHIH-KUEI	Principal Investigator	2012.08 ~ 2013.10	National Science and Technology Council
MOST Projects	100	巨災與氣候衍生性商品之定價、避險與實証分析	林士貴	Principal Investigator	2011.08 ~ 2013.10	國立政治大學
MOST Projects	100	巨災與氣候衍生性商品之定價、避險與實証分析（1/2）	LIN SHIH-KUEI	Principal Investigator	2011.08 ~ 2012.07	National Science and Technology Council
MOST Projects	99	金融危機或成長下景氣循環之資產定價：股價指數、公債殖利率指數與房價指數之實證	LIN SHIH-KUEI	Principal Investigator	2010.08 ~ 2011.10	National Science and Technology Council
MOST Projects	99	金融危機或成長下景氣循環之資產定價：股價指數、公債殖利率指數與房價指數之實證	林士貴	Principal Investigator	2010.08 ~ 2011.10	國立政治大學
MOST Projects	98	在無金融風暴或金融風暴市場lognormal LIBOR模型下固定期限交換利率商品之評價	林士貴	Principal Investigator	2009.08 ~ 2010.07	國立高雄大學
MOST Projects	96	死亡與財務風險證券化之評價與實證研究	LIN SHIH-KUEI	Principal Investigator	2007.08 ~ 2008.07	National Science and Technology Council
MOST Projects	96	死亡與財務風險證券化之評價與實證研究	林士貴	Principal Investigator	2007.08 ~ 2008.07	國立高雄大學
MOST Projects	95	隨機利率下可解約參與型保單公平價值:條件Cox-Ross-Rubinstein方法	LIN SHIH-KUEI	Principal Investigator	2006.08 ~ 2007.07	National Science and Technology Council
MOST Projects	95	隨機利率下可解約參與型保單公平價值：條件 Cox-Ross-Rubinstein 方法	林士貴	Principal Investigator	2006.08 ~ 2007.07	國立高雄大學
MOST Projects	94	馬可夫跳躍風險下簡單遠期利率期間結構之資產定價與實證分析	LIN SHIH-KUEI	Principal Investigator	2005.08 ~ 2006.07	National Science and Technology Council
MOST Projects	94	馬可夫跳躍風險下簡單遠期利率期間結構之資產定價與實證分析	林士貴	Principal Investigator	2005.08 ~ 2006.07	國立東華大學
MOST Projects	93	非線性信用風險資產之風險管理—重點抽樣拔靴法之風險值	林士貴	Principal Investigator	2004.11 ~ 2005.07	國立東華大學

Country	School Name	Department	Degree	Duration
TAIWAN, REPUBLIC OF CHINA	國立政治大學	Statistics	博士	2000.09 ~ 2004.06
TAIWAN, REPUBLIC OF CHINA	國立政治大學	統計學系	碩士	1995.09 ~ 1997.06
TAIWAN, REPUBLIC OF CHINA	國立成功大學	數學系	學士	1990.09 ~ 1994.06

Experience Category	Organization Title	Department	Job Title	Duration
Current	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	教授	2024.09 ~ 2025.02
Current	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	教授	2015.07 ~ 2024.02
Current	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	教授	2014.08 ~ 2015.01
Current	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	副教授	2013.01 ~ 2014.08
Current	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	副教授	2010.08 ~ 2013.01
Part Time	NATIONAL CHENGCHI UNIVERSITY	Office of Research and Development Planning Section	組長	2024.08 ~ 2025.07
Part Time	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	系主任	2019.08 ~ 2020.07
Part Time	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	系主任	2018.08 ~ 2019.07
Part Time	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	系主任	2017.08 ~ 2018.07
Part Time	NATIONAL CHENGCHI UNIVERSITY	Department of Money and Banking	系主任	2016.08 ~ 2017.07

Honor Category	Year	Award Name	Awarding Unit
Inside School	112	國科會研究獎勵	科技部(國科會)
Inside School	111	國科會研究獎勵	科技部(國科會)
Inside School	110	國科會研究獎勵	科技部(國科會)
Inside School	109	國科會研究獎勵	科技部(國科會)
Inside School	108	國科會研究獎勵	科技部(國科會)
Inside School	103	資深優良教師(10年)	國立政治大學

NCCU College of Commerce

Browse Faculty by: Name / Academic Unit /