MI-HSIU CHIANG
Full-time
Name MI-HSIU CHIANG
Job Title Associate Professor
Unit Dept. of Money and Banking
Email mhchiang@nccu.edu.tw
Office Tel No. 81265
Research Expertise Mathematical Finance, Financial Engineering
Teaching Field 計量金融與財務工程
Year Paper Title
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,.(SSCI)(*為通訊作者)(本論著未刊登但已被接受), 425881
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, Vol.47, No.3, pp.395-448.(TSSCI)(*為通訊作者), 422842
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, pp.141-170.(*為通訊作者), 418391
2019 Yenn-Ru Chen;Mi-Hsiu Chiang*;Chia-Hsiang Weng, 2019, 'Are Investors Always Compensated for Information Risk? Evidence from Chinese Reverse-Merger Firms, ' Review of Quantitative Finance and Accounting, pp.1-38.(*為通訊作者), 418392
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, pp.50-69.(*為通訊作者), 420094
2018 Hsin-Yu Chiu;Shu-An Huang;Mi-Hsiu Chiang*, 2018, 'A liquidity-based Betting-against-beta strategy, ' 證券市場發展季刊, pp.41-74.(*為通訊作者), 418388
2018 Mi-Hsiu Chiang;Hsin-Hao Fu;Yi-Ta Huang;Chien-Ling Lo*;Pai-Ta Shih, 2018, 'Analytical Approximations for American Options: The Binary Power Option Approach, ' Journal of Financial Studies,.(*為通訊作者)(本論著未刊登但已被接受), 418920
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, pp.459-482.(*為通訊作者), 404928
2015 傅信豪;楊啟均;江彌修*, 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), 406592
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, ' Financial Research Letters, pp.1-12.(SSCI)(*為通訊作者), 403341
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,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受), 388734
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, Vol.23, No.1, pp.327-362.(TSSCI)(*為通訊作者), 387983
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, Vol.20, No.2, pp.19-53.(TSSCI)(*為通訊作者), 387987
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, Vol.76, No.4, pp.909-931.(SSCI)(*為通訊作者), 278880
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), 278884
2009 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), 226837
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), 235364
2008 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), 237613
2007 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), 226836
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), 279136
Project Category Year Project Title Participator Job Title Period Unit
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 Ministry of Science and Technology
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 Ministry of Science and Technology
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 Ministry of Science and Technology
Other Projects 107 我國外幣債券市場之發展與展望 胡昌國,CHIANG MI-HSIU,SHIEH SHWU-JANE 協同主持人 2018.07 ~ 2018.12 財團法人台北外匯市場發展基金會
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 Principal Investigator 2017.08 ~ 2018.07 Ministry of Science and Technology
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 Ministry of Science and Technology
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 Ministry of Science and Technology
Other Projects 104 因應金融進口替代新種商品發展之研究 CHIANG MI-HSIU,LIAO SZU-LANG,LIN SHIH-KUEI 協同主持人 2015.08 ~ 2016.01 臺灣證券交易所股份有限公司
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 Ministry of Science and Technology
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 Ministry of Science and Technology
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 Ministry of Science and Technology
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 葉斯偉,CHIANG MI-HSIU,CHU TE-FANG,LIAO SZU-LANG,LIN SHIH-KUEI 共同主持人 2013.07 ~ 2013.09 歐洲在台商務協會
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 Ministry of Science and Technology
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 Ministry of Science and Technology
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 Ministry of Science and Technology
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 Ministry of Science and Technology
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 臺灣期貨交易所股份有限公司
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 Ministry of Science and Technology
MOST Projects 93 選擇權之評價:Ornstein-Uhlenbeck 股價變動過程下 CHEN WEI-KUANG,CHIANG MI-HSIU 共同主持人 2004.08 ~ 2005.07 Ministry of Science and Technology
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 Ministry of Science and Technology
Country School Name Department Degree Duration
UNITED KINGDOM Imperial College London Quantitative Finance Centre for Quantitative Finance  Ph.D. 1994.10 ~ 1999.10
Experience Category Organization Title Department Job Title Duration
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 2019.02 ~ Up to today
Honor Category Year Award Name Awarding Unit
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 資深優良教師 (10年) 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