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
2019 鄭仁杰;江彌修*, 2019.07, '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,.(*為通訊作者)(本論著未刊登但已被接受), 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
Inside School 100 資深優良教師 (10年) 國立政治大學
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