| 國立政治大學 |
2018-12 |
Pricing the Deflation Protection Option in TIPS using a HJM Model with Inflation- and Interest-Rate Jumps
|
Chuang, Ming-Che; 林士貴; Lin, Shih-Kuei; 江彌修; Chiang, Mi-Hsiu |
| 國立政治大學 |
2018 |
Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps
|
林士貴; Lin, Shih-Kuei; Chuang, Ming-Che; Chiang, Mi-Hsiu |
| 國立政治大學 |
2017-11 |
Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
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林士貴; Lin, Shih-Kuei; Wang, Shin-Yun; Chen, Carl R.; Xu, Lian-Wen |
| 國立政治大學 |
2017-11 |
Fair valuation of mortgage insurance under stochastic default and interest rates
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林士貴; Wu, Yang-Che; Huang, Yi-Ting; Lin, Shih-Kuei; Chuang, Ming-Che |
| 國立政治大學 |
2017-08 |
Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market
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林士貴; Chuang, Ming-Che; Yang, Wan-Ru; Chen, Ming-Chi; Lin, Shih-Kuei |
| 國立政治大學 |
2017-06 |
Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Markets
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廖四郎; Liao, Szu-Lang; 林士貴; Lin, Shih-Kuei; 廖志偉; Liao, Chih-Wei |
| 國立政治大學 |
2017-06 |
Realized Jump Risks in the U.S. TB and TIPS Markets
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林士貴; Lin, Shih-Kuei; Chuang, Ming-Che; Shyu, So-De; Wu, An-Chi |
| 國立政治大學 |
2016-12 |
Analysis of Risk Management Strategies for Contingent Convertible Bonds=或有可轉債之風險管理策略分析
|
林士貴; Lin, Shih-Kuei;Chen, Ting-Fu;Lin, Chien-Tsang |
| 國立政治大學 |
2016-12 |
Analysis of the Risk Management Strategies for Contingent Convertible Bonds
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林士貴; Lin, Shih-Kuei; 陳亭甫; Chen, Ting-Fu; 林建璋; Lin, Chien-Tsang |
| 國立政治大學 |
2016-07 |
The Extension from Independence to Dependence between Jump Frequency and Jump Size in Markov-modulated Jump Diffusion Models
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林士貴 ; 彭金隆; Lin, Shih-Kuei;Peng, Jin-Lung;Chao, Wei-Hsiung;Wu, An-Chi |
| 國立政治大學 |
2016-04 |
Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
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林士貴; Hsu, Yuan-Lin; Lin, Shih-Kuei; Hung, Ming-Chin; Huang, Tzu Hui |
| 國立政治大學 |
2016-03 |
The Affine Styled-Facts Price Dynamics for the Natural Gas: Evidence from Daily Returns and Option Prices
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林士貴; Hsu, Chih-Chen;Chen, An-Sing;Lin, Shih-Kuei;Chen, Ting-Fu |
| 國立政治大學 |
2016 |
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(第2年)
|
林士貴 |
| 國立政治大學 |
2015 |
Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium
|
Li, Chang-Yi;Chen, Son-Nan;Lin, Shih-Kuei; 林士貴 |
| 國立政治大學 |
2015 |
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 |
| 國立政治大學 |
2014.04 |
Pricing gold options under Markov-modulated jump-diffusion processes
|
林士貴;連育民;廖四郎; Lin,Shih-Kuei;Lian,Yu-Min;Liao,Szu-Lang |
| 國立政治大學 |
2014.02 |
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
|
Lin, Shih-Kuei ; Lin, Chien-Hsiu ; Chuang, Ming-Che ; Chou, Chia-Yu; 林士貴;林建秀 |
| 國立政治大學 |
2014.01 |
Foreign Exchange Option Pricing in the Currency Cycle with Jump Risks
|
Lin, Chien-Hsiu ; Lin, Shih-Kuei ; Wu, An-Chi; 林建秀;林士貴 |
| 國立政治大學 |
2014.01 |
Pricing and Hedging European Energy Derivatives: A Case Study of WTI Oil Options
|
林士貴; Hsu,Chih-Chen ;Lin,Shih-Kuei ;Chen,Ting-Fu |
| 國立政治大學 |
2014-06 |
Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options
|
林士貴; Hsu*, Chih-Chen;; Lin, Shih-Kuei; Chen, Ting-Fu |
| 國立政治大學 |
2014 |
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 |
| 國立政治大學 |
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
|
Chang, Charles ; Fuh, Cheng-Der ; Lin, Shih-Kuei; 林士貴 |
| 國立政治大學 |
2013.03 |
A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications
|
林士貴; Lin,Shih-Kuei ; Chang,Charles ; Fuh,Cheng-Der |
| 國立政治大學 |
2013 |
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 |
| 國立政治大學 |
2012-12 |
Empirical Analysis and Option Pricing under Regime Switching Model with Dependent Jump Size Risks
|
林士貴;劉惠美;陳亭甫;林琮偉; Lin, Shih-Kuei;Liu, Hui-Mei;Chen, Tingfu;Lin, Tsung-Wei |
