SHIH-KUEI LIN
Name SHIH-KUEI LIN
Email
Office Tel No. 81012
Research Expertise Financial Engineering, Derivatives, Financial Econometrics, Actuarial Finance
Teaching Field 財務工程
Job Title Professor and Chairman
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
2024 Hsing-Hua Chang;Chen-Hsin Lai;Kuen-Liang Lin;Shih-Kuei Lin*, 2024.04, 'Optimizing Portfolios with ESG, Dividends, and Volatility Factors via Machine Learning, ' Advances in Pacific Basin Business, Economics and Finance, Vol.12, pp.193-214.(國科會B級期刊)(*為通訊作者), vol. 132188, Apr. 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 林士貴 Principal Investigator 2023.08 ~ 2025.07 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 林士貴 Principal Investigator 2021.08 ~ 2023.07 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 林士貴 Principal Investigator 2019.08 ~ 2021.07 國立政治大學
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
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 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 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
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 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 林士貴 Principal Investigator 2012.08 ~ 2014.10 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 林士貴 Principal Investigator 2011.08 ~ 2013.10 國立政治大學
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 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 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 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 ~ 2025.01
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