WEI-KUANG CHEN
Full-time
Name WEI-KUANG CHEN
Job Title Professor
Unit Dept. of Money and Banking
Email wkc@nccu.edu.tw
Office Tel No. 81220
Research Expertise Financial Derivatives, Risk Management
Teaching Field 衍生性商品、風險管理
Year Paper Title
2018 陳威光;林靖庭*;張清發, 2018.08, '券商推薦股票評等報告之績效分析, ' 風險管理學報,.(*為通訊作者)(本論著未刊登但已被接受), 419658
2018 Wei‑Kuang Chen;Ching‑Ting Lin*;Cheng‑Yi Shiu, 2018.08, 'Price discovery and price leadership of various investor types: evidence from Taiwan futures market, ' Review of Quantitative Finance and Accounting,.(*為通訊作者)(本論著未刊登但已被接受), 419657
2016 Ching-Ting Lin**;Wei‑Kuang Chen, 2016.12, 'Asymmetric responses to stock index reconstitutions : Evidence from the CSI 300 index additions and deletions., ' Pacific-Basin Finance Journal, Vol.40, pp.36-48.(SSCI)(*為通訊作者), 419599
2013 陳威光*;郭維裕;王朝生;黃暐能, 2013.06, '波動度選擇權的隱含波動度, ' 風管學報, Vol.15, No.01, pp.57-80.(, 其它)(*為通訊作者), 401156
2013 郭維裕*;陳鴻隆;陳威光, 2013, 'Testing Options Market Efficiency with Applications to Implied Volatility Pair Trading Test, ' 管理與系統, Vol.2013, No.20, pp.425-458.(TSSCI)(*為通訊作者), 401106
2012 邱于紛;謝明華;蔡政憲*;陳威光, 2012.12, 'Valuation of Rarchet Equit-Indexed Annuities, ' 財務金融學刊, Vol.20, No.4, pp.89-107.(TSSCI)(*為通訊作者), 322935
2009 郭維裕*;陳威光;陳鴻隆;林信助, 2009.11, '動態隱含波動度模型:以台指選擇權為例, ' 期貨與選擇權學刊, Vol.2, No.2, pp.47-89.(*為通訊作者), 307401
2008 陳威光;江彌修*;鄭啟宏, 2008.04, 'Option Pricing in Ornstein-Uhlenbeck Position Process: The Application in the Impact of Price Limits, ' 風險管理學報, Vol.9, No.2.(*為通訊作者), 307404
2003 蔡政憲;郭維裕;陳威光, 2003.08, 'An empirical study on early surrender: the cointegration approach, ' Journal of risk and insurance, Vol.70, No.0, pp.489-508.(SSCI), 148575
2003 蔡政憲;詹志清;陳威光, 2003.07, 'On the distribution of life insurance reserves in a stochastic mortality, interest rate, and surrender rate enviroment, ' 證券市場發展季刊, Vol.0, No.0, pp.0.(TSSCI), 148577
2002 林家帆;陳威光;郭維裕, 2002.07, '以實質選擇權法評估高科技產業股價, ' 管理評論, Vol.21, No.3, pp.97-113.(TSSCI), 145119
2002 郭維裕;蔡政憲;陳威光, 2002, 'Early Surrender and the Distribution of Policy Reserves, ' Insurance,Mathematics, and Economics, Vol.0, No.31, pp.429-445.(SCIE), 145118
2000 曾令寧;陳威光, 2000.06, '信用風險管理之評估原則及外匯清算風險, ' 存款保險季刊, Vol.13, No.2, pp.63-92., 148579
1999 曾令寧;陳威光, 1999.12, '信用風險模型簡介─信用計量法及信用風險加成法, ' 存款保險資訊季刊, Vol.13, No.2, pp.63-92., 148581
1998 蔡瑞煌;陳威光, 1998.05, 'Applications of Neural Networks to Financial Swaps, ' Journal of Computational Intelligence in Finance,., 135492
1998 陳威光, 1998.01, '認購權價格之探討, ' 元大期貨, No.5, pp.57-64., 135493
1997 陳威光, 1997.04, '認股權證之評價, ' 元大期貨, No.4, pp.40-46., 132809
1996 張士傑;陳威光, 1996, '不同利率模型下之債券評價分析, ' 保險季刊, Vol.46, pp.139-150., 134921
1994 陳威光, 1994.11, 'An Empirical Test of The Relative Price of Stock Index Call And Put Option, ' 成功大學學報, No.29., 119929
Project Category Year Project Title Participator Job Title Period Unit
MOST Projects 103 波動度選擇權的資訊內涵 CHEN WEI-KUANG Principal Investigator 2014.08 ~ 2015.07 Ministry of Science and Technology
Other Projects 103 計算與運用經濟資本 CHEN WEI-KUANG,KUO WEIYU,TSAI CHENG-HSIEN 共同主持人 2014.04 ~ 2014.10 新安東京海上產物保險股份有限公司
Other Projects 102 提升投資風險之策略性風險管理 CHEN WEI-KUANG,KUO WEIYU,TSAI CHENG-HSIEN 共同主持人 2013.06 ~ 2013.10 新安東京海上產物保險股份有限公司
MOST Projects 100 波動度選擇權的隱含波動度 CHEN WEI-KUANG Principal Investigator 2011.08 ~ 2012.07 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 Principal Investigator 2004.08 ~ 2005.07 Ministry of Science and Technology
Other Projects 92 期貨市場交割結算基金總額計算方式之研究 CHEN WEI-KUANG,KUO WEIYU,TSAI CHENG-HSIEN Principal Investigator 2003.09 ~ 2004.02 台灣期貨交易所股份有限公司
MOST Projects 92 美式蒙地卡羅模擬法之研究與延伸 CHEN WEI-KUANG Principal Investigator 2003.08 ~ 2004.07
Other Projects 92 期貨商台指期貨與選擇權營運成本之研究分析 CHEN WEI-KUANG,KUO WEIYU Principal Investigator 2003.01 ~ 2003.04 台北期貨商業同業公會
MOST Projects 90 以分解結合法加速界限選擇權評價之效率 CHEN WEI-KUANG,CHOW HSING-YI Principal Investigator 2001.08 ~ 2002.07
MOST Projects 89 界限選擇權之評價與避險-以ADAPTIVE MESH MODEL來增加三元樹評價的效率 CHEN WEI-KUANG,CHOW HSING-YI Principal Investigator 2000.08 ~ 2001.07
MOST Projects 89 交易成本及漲跌幅限制下認購權證之最適避險策略 CHEN WEI-KUANG,CHOW HSING-YI Principal Investigator 1999.08 ~ 2000.07 Ministry of Science and Technology
MOST Projects 88 神經網路在選擇權定價上之應用 CHEN WEI-KUANG,TSAIH RUA-HUAN Principal Investigator 1998.08 ~ 1999.07 Ministry of Science and Technology
MOST Projects 87 漲跌幅限制下認股權之評價 CHEN WEI-KUANG Principal Investigator 1997.08 ~ 1998.07 Ministry of Science and Technology
MOST Projects 86 衍生性產品之市場風險衡量---Value-At-Risk(VAR)模型應用之探討 CHEN WEI-KUANG Principal Investigator 1996.08 ~ 1997.07 Ministry of Science and Technology
Country School Name Department Degree Duration
UNITED STATES State University of New York Economics Ph.D. 1987.09 ~ 1992.06
TAIWAN, REPUBLIC OF CHINA Bachelor 1978.09 ~ 1981.06
Experience Category Organization Title Department Job Title Duration
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 2019.08 ~ Up to today
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 2016.08 ~ 2019.02
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 2013.01 ~ 2016.02
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 2007.08 ~ 2013.01
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 2006.02 ~ 2007.02
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 教授 1999.08 ~ 2005.08
Current NATIONAL CHENGCHI UNIVERSITY 金融學系 副教授 1995.08 ~ 1999.08
Honor Category Year Award Name Awarding Unit
Inside School 101 資深優良教師 (20年) 國立政治大學
Inside School 99 教學績優教師 商學院
Inside School 98 教學績優教師 商學院
Inside School 97 教學績優教師 商學院
Inside School 93 學術研究成果國際化優等研究獎 政治大學
Inside School 92 學術研究成果國際化優等研究獎 政治大學
Inside School 92 三等服務獎章 政治大學
Inside School 91 資深優良教師 (10年) 國立政治大學
Outside School 88 國科會甲種研究獎勵 科技部(國科會)
Outside School 87 國科會甲種研究獎勵 科技部(國科會)
Year Paper Title
2014 Wei-Yu Kuo; Ching-Ting Lin*;Wei-Kuang Chen, 2014.09, 'Cancellation of Limit Orders in the Futures Markets, ' Academy of Behavioral Finance & Economics Sixth Annual Meeting 2014, Academy of Behavioral Finance & Economics.(*為通訊作者)
2014 Wei-Yu Kuo;Ching-Ting Lin*;Wei-Kuang Chen., 2014.04, 'Fleeting Orders Under the Microscope, ' 26th International Business Research Conference 2014, WBI London, UK and World Business Institute.(*為通訊作者)
2002 陳威光;郭維裕;林家帆, 2002.05, '以實質選擇權法評估高科技產業股價, ' 台灣財務學會年會論文研討會, 台灣財務學會.
2001 陳威光;洪瑞鴻, 2001.06, '以Adaptive Mesh Model評價重設選擇權, ' 2001年財務金融學術暨實務研討會, 台灣財務學會.
2001 陳威光;張龍福;王志原, 2001.03, '以分解結合法加速重設型選擇權之評價效率, ' 21世紀全球投資策略研討會, X.
2000 陳威光, 2000.06, 'Further investigation of stock index futrues and stock prices movement during the Octorber 1987 market crash, ' The 8th Pacific Basin Finance, Economics and Accounting, X.
1999 陳威光, 1999.04, 'The market risk of warrant positions: Value-at -risk Approach, ' 第一屆財務金融研討會--遽變環境中之雙率風險管理, X.
1999 陳威光, 1999.04, 'The valuation and Hedging of reset option, ' 中國財務學會年會論文研討會, X.
1999 陳威光;Shen, 1999, 'The valuation of option when the underlying asset prices under price limits., ' Rutger university and National Taiwan university, The seventh conference on Pacific Basin Finance, Economics and Accounting.
1998 陳威光, 1998, 'Option Pricing When Stock Price Under Price Limits, ' 1998 National Taiwan University International Conference on Finance, National Taiwan University.
1997 陳威光, 1997.12, 'Application of Neural Networks to Financial Swaps, ' Conference on the Theories and Practices of Securities and Financial Markets.
1997 陳威光, 1997.10, 'An Analysis of Capital Guarantted Trust and Its Innovation Value- A Monte Carlo Approach for Pricing Average Rate Option, ' Financial Management Association Annual Meeting, FMA.
1997 陳威光, 1997, 'An Analysis of Capital Guaranteed Trust, ' 中國財務學會年會.
1997 陳威光, 1997, 'A Study of the value of early cxercise in America Option Prices, ' 亞太及中國財務學會聯合會議.
1996 陳威光, 1996, 'Capital Requirements and Market Risks of Currency Options- A VAR Approach, ' Eastern Economic Association Conference.
1996 陳威光, 1996, 'Option Pricing When Underlying Asset Subject to Price Limits, ' 第五屆證券暨金融市場之理論與實務研討會.
1995 陳威光, 1995.04, '歐式與美式外幣選擇權價格差異之實證研究, ' 中國財務學會年會.
1994 陳威光, 1994.12, '1987年股票大崩盤期間股價指數期貨基差與股價變動之研究, ' 第三屆證券金融市場之理論與實務研討會.
1994 陳威光, 1994.12, '不完全市場下選擇權與期貨價格關係之實證研究, ' 中國經濟學會年會.
1994 陳威光, 1994.11, '股票指數選擇權之資訊內涵-1987年股票大崩盤前後之實證研究, ' 第六屆會計理論與實務研討會.
1994 陳威光, 1994.09, 'Information Technology,Market Efficiency and System Regulation :An Emprical Study of The Taiwan Stock Market Surveillance System, ' Sino-South Africa Bilateral Symposium.
1994 陳威光, 1994.04, 'An Empirical Test of Put-Call-Futures-Parity--A Relationship between Index Option and Futures Prices, ' 中國財務學會八十三年論文研討會.
1993 陳威光, 1993.12, 'An Investigation of Stock Index Option Prices during the 1987 Stock Crash, ' 第二屆證券暨金融市場之理論與實務研討會.
1993 陳威光, 1993.05, 'An Alternative Test of the Black-Scholes Option Pricing Models, ' 中國財務學會年會.
1992 陳威光, 1992.03, 'The Valuation and Efficiency Test of Stock Index Option Markets:A Evidence from the 1987 Stock Crash, ' Eastern Economics Association Conference Meeting.