師資陣容

江彌修

江彌修

副教授

金融學系

  • 分機
    29393091 #81265
  • E-Mail
    mhchiang@nccu.edu.tw
  • 研究專長
    計量金融與財務工程

學歷

  • 英國倫敦大學計量金融研究所博士
  • 英國倫敦大學數學系碩士
  • 英國倫敦大學數學系學士

個人著作

  • 江彌修*;傅信豪;揚啟均, 2015.01, '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,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受)
  • Mi-Hsiu Chiang;Chang-Yi Li*;Son-Nan Chen, 2014.09, 'Pricing Currency Options under Double Exponential Jump Diffusion in a Markov-Modulated HJM Economy, ' Review of Quantitative Finance and Accounting, pp.24.(*為通訊作者)
  • 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, ' Financial Research Letters, pp.1-12.(SSCI)(*為通訊作者)
  • 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,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受)
  • 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, Vol.23, No.1, pp.327-362.(TSSCI)(*為通訊作者)
  • 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, Vol.20, No.2, pp.19-53.(TSSCI)(*為通訊作者)
  • 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, Vol.76, No.4, pp.909-931.(SSCI)(*為通訊作者)
  • 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)
  • 江彌修*;岳夢蘭;林恩平, 2009, '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, Vol.17, No.1.(TSSCI)(*為通訊作者)
  • 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)
  • 江彌修*;岳夢蘭;李蕙君, 2008, '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, Vol.36, No.3, pp.277-316.(TSSCI)(*為通訊作者)
  • 江彌修*;岳夢蘭;謝明華, 2007.12, 'An Efficient Algorithm for Basket Default Swap Valuation, ' Journal of Derivatives,.(SSCI)(*為通訊作者)
  • 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)
  • 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).
  • 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)
  • 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.
  • Chun-Yuan Huang;Kuan-Ting Wang;Mi-Hsiu Chiang, 2007, 'The Key Role Penalty Played, ' International Conference on Business and Information, Tokyo, Japan 2007.

研究計畫

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