About  | Current positions | Working experience |Awards |Courses | Publication

 

 

     


   廖四郎
(Szu-Lang Liao) 教授

 

·  Highest Degree: 芝加哥大學經濟學博士

·  Office: 政治大學商學院十二樓261251室

·  Phone: (02)29393091#81251 

·  E-mail: liaosl@nccu.edu.tw

 

 

 

·     Courses(教授課程)

財務數學、固定收益分析、財務工程與金融創新、風險管理之統計分析、計量經濟、財務經濟學、信用衍生性商品、資產抵押證券

·    Current Positions(現職)

      國立政治大學金融學系 特聘教授

      國立中山大學財務管理學系兼任教授

      臺灣財務金融學會理事

      財務金融學刊編輯委員

      期貨與選擇權學刊編輯委員

      台灣金融工程師學會理事長

      公務人員退休撫卹基金管理委員會顧問

 

       ·    Working Experience(經歷)

 

      國立中山大學財務管理學系副教授(19941997

      國立高雄大學金融管理系教授兼主任(20052007

      教育部國際文教處國際學術會議論文審查委員(2000

      教育部公費留考博士後研究數理財務組考試委員(2002

      財政部證期會新金融商品設計小組委員(2000

      交通部郵政儲金委外操作審查委員(20012002

      交通部高鐵局研究計畫審查委員(2002

      中華民國管理科學會私校經費使用訪視委員(2002∼迄今)

      財政部金融菁英儲備訓練計畫授課教授(20022003

      證券基金會專業課程教授(20022005

      財務工程理論與實務短期課程教授(20032005

      投信公會債券交易審議委員(2004

      期貨交易分析人員資格測驗命題委員(2006~迄今)

      中華金融創新與財務工程學會秘書長(2001~2007)

     國立政治大學金融學系教授兼主任(2008~2010)

     國立政治大學金融學系特聘教授(2012~2015)     

 

            ·    Awards(獎項)

 

      國科會甲種研究獎助(歷年)

      國立政治大學商學院教學特優獎(2002

      國立政治大學商學院教學績優教師(2003-2007)

      國立政治大學學術研究成果國際化優良研究獎(2002-2007

      指導博士論文:龍騰博士論文優等獎(2000

      經濟部中小企業研究博士論文優等獎(2001

      國立政治大學商學院五十週年紀念教學研究績優教師(2008)

      國立政治大學研究優良獎(2010)

 

 

 

 

        ·     Publication

期刊論文

           

1.      廖四郎,評兩種資本主義之戰爭與國家競爭力,中山管理評論,民國八十六年。(TSSCI)

2.      廖四郎 (徐守德、王銘杰)臺灣遠期美元外匯市場風險溢酬之研究,中國財務學刊,第五卷 第二期,頁27-57,民國八十六年十月。(TSSCI)

3.      廖四郎,Black-Scholes模型分析論數理財務模型之發展,亞太經濟管理評論,第二卷 第一期,頁97-123,民國八十七年十月。

4.      廖四郎 (林信惠、許琬琳、王銘杰)台股指數期貨套利分析與類神經網路之應用,亞太經濟管理評論,第三卷 第一期,頁41-63,民國八十八年九月。

5.      廖四郎 (徐守德、王毓敏、葉正乾)台灣地區商業銀行的技術性效率研究,亞太經濟管理評論,第二卷 第二期,頁23-48,民國八十八年三月。

6.      Liao (with Y. C. Chiang and L. K. Hu), “Valuation of Cross-Currency Two-way Equity SWAPS Without Currency Risks”Advances in Pacific Basin Business, Economics, and Finance, Vol. 4, 2000, 251-275.

7.      廖四郎 (蔡明憲、徐守德、許溪南)美式選擇權的定價-隱含相信模型及美國S&P 100指數選擇權的應用,中國財務學刊,第八卷 第一期,頁33-66,民國八十九年四月。(TSSCI

8.      廖四郎 (王銘杰、徐守德)股酬交換的一般化評價模型,亞太經濟管理評論,第四卷 第一期,頁73-95,民國八十九年九月。

9.      廖四郎 (王鳳生)金融市場套利模型與投機性攻擊分析-兼論1998年香港政府干預金融市場事件,東吳經濟商學學報,第二十九期,頁47-63,民國八十九年六月。

10.  廖四郎 (徐守德、王毓敏)亞洲股市間的關係-動態過程的檢定,亞太管理評論,第五卷 第一期,頁15-27,民國八十九年三月。

11.  廖四郎 (楊淑媛、黃瑞靜)從動態資本結構模型探討台灣產業最適資本結構,亞太經濟管理評論,第三卷 第二期,頁41-64,民國八十九年三月。

12.  廖四郎 (蔡明憲、徐守德)人壽保險費率的分析-從選擇權理論觀點,風險管理學報,第二卷 第一期,頁1-24,民國八十九年五月。

13.  廖四郎 (黃瑞靜、徐守德)兩稅合一對公司價值,股利政策與資本結構之影響-動態資本結構模型之應用與台灣產業之實證研究,管理評論,第二十卷 第二期,頁55-86,民國九十年四月。 (TSSCI)

14.  Liao (with C. W. Wang), “Pricing Arithmetic Average Reset Options with control Varieties”, Journal of Derivatives, Vol.10, 2002, 59-74. (SSCI)

15.  Liao (with Y. T. Tsay and M. L. Chang), "The Impact of Share Holding and Ability of Managers on The Firm Value of State-Owned Enterprises in China - An Application of Financial Agency Theory," NSYSU Management Review, No.10, 2002, 3-39. (TSSCI)

16.  廖四郎(呂桔誠、廖政芳),信用風險下的股酬交換評價,貨幣市場雙月刊,第六卷 第五期,頁21-44,民國九十一年十月。

17.  Liao (with C. W. Wang), “The Valuation of Reset Options with Multiple Strike Resets and Reset Dates”, Journal of Futures Markets, Vol.23, 2003, 87-107. (SSCI)

18.  Liao (with M. C. Wang), “Pricing Models of Equity Swaps”, Journal of Futures       Markets, Vol.23, 2003, 751-772. (SSCI)

19.  Liao, (with C. W. Wang), “The Valuation and Hedging Strategies of High Yield Notes”, Academia Economic Paper, Vol.31, No.3, 2003, 333-367. (In Chinese) (TSSCI)

20.  廖四郎(康榮寶、張嘉倩),保本型票券之訂價及避險策略,證券暨期貨管理雜誌,第二十一卷 第七期,頁52-68,民國九十二年。

21.  廖四郎(陳坤銘、鄭宗松),最適投資決策與產品生命週期實質選擇權分析法,中山管理評論,第十一卷 第三期,頁571-596,民國九十二年。(TSSCI)

22.  廖四郎(呂桔誠、王昭文),組合型選擇權之評價及其在投資組合避險策略上之應用,亞太經濟管理評論,第六卷第三期,民國九十二年。

23.  廖四郎(連春紅、李政峰),估計與比較連續時間利率模型多國實証分析,管理評論,第二十四卷第一期,頁29-54,民國九十四年一月。 (TSSCI)

24.  Liao, (with C. C. Chen), “The Valuation of European Options When Asset Returns Are Autocorrelated”, Journal of Futures Markets, Vol.26, No.1, January 2006, 85-102. (SSCI)

25.  廖四郎(陳芬英),上限型股權連結保本票券之設計、評價和比較,管理學報,第二十二卷 第五期,頁653-670,民國九十四年十月。(TSSCI)

26.  廖四郎(王昭文),利率、匯率及價格風險下遠期價格樹狀模型,財務金融學刊,第十三卷 第二期,頁29-70,民國九十四年八月。(TSSCI)

27.  廖四郎(李福慶),擔保債權憑證之評價─Copula分析法,台灣金融財務季刊,第六輯 第二期,頁53-84,民國九十四年一月。

28.  Liao (with H. H. Huang), “Pricing Black-Scholes Options with Correlated Interest Rate Risk and Credit Risk: An Extension”, Quantitative Finance, Vol.5, No.5, October 2005, 443-457. (SSCI)

29.  廖四郎(王昭文、吳錦文),隨機利率與信用風險下股權聯動結構型票券之訂價及避險策略,證券市場發展季刊,第十七卷 第四期,頁191-220,民國九十四年。(TSSCI)

30.  廖四郎(李國榮、徐守德),不確定下之最適購併決策分析,財務金融學刊, Vol.14, No.3, August 2006, 111-140. (TSSCI)

31.  Liao (with H. H. Huang), “Effects of Macroeconomic Conditions and Firm-Level Productivity on Optimal Capital Structure: Theory and Evidence”, Journal of Financial Studies, Vol.14, No.4, December 2006, 1-27. (TSSCI)

32.  Liao (with J. C. Lyu and H. H. Huang), “Financial Synergies and Optimal Stock Exchange Ratio in a Cross-Border M&A—Real Option Approach”, Collaborative Research in Econometrics, Quantitative Finance, Operations Research and Risk Management, 2005.

33.  Liao (with H. H. Huang), “Valuation and Optimal Strategies of Convertible Bonds”, Journal of Futures Markets, Vol. 26, No.9, September 2006, 895-922. (SSCI)

34.  Liao (with F. C. Li), “Valuation of Synthetic Collateralized Debt Obligations: Application of Factor Copula and SSRD stochastic Intensity Model”, Collaborative Research in Financial Services: Risk Management and Actuary, 2008.

35.  Liao (with C. W. Wang and T. Y. Wu), “Pricing Generalized Capped Exchange Options”, Applied Financial Economics, 2008, 765-776, 18:9. (FLI) (Econlit)

36.  Liao (with M. S. Tsai and S. L. Chiang), “Closed-Form Mortgage Valuation Using Reduced-Form Model”, Real Estate Economics, Vol.36, Issue 2, summer 2008, 313-347. (SSCI)

37.  廖四郎(林士貴、張智凱),“可解約分紅保單之遞迴評價公式”,財務金

融學刊,第十六卷 第三期,頁107-147,民國九十七年九月。(TSSCI)

38.  Liao (with Y. C. Wu and S. D. Shyu), “Pricing Catastrophe Insurance Derivatives with Stochastic Interest Rates and Regime-Switching Jump Diffusion Losses”, Icfai Journal of Risk and Insurance, Vol.5, No.4, October 2008, 7-28. (EconLit)

39.  廖四郎(連春紅、徐守德),台灣短期利率模型樣本外預測之實證研究,證券市場發展季刊,第二十一卷,第二期,頁151-181,民國九十七年七月。 (TSSCI)

40.  Liao (with C. W. Wang and C. C. Chang), “The Valuation of Special Purpose Vehicles by Issuing Structured Credit Linked Notes”, Applied Financial Economics, Vol.19, Issue 3, 2009, 227-256. (FLI) (Econlit)

41.  Liao (with M. S. Chen and F. C. Li), “A Factor-Copula Based Valuation of Synthetic CDO-Squared under Stochastic Intensity”, International Journal of Information and Management Sciences, Vol.29, No.1, February 2009, 103-120. (EI)

42.  Liao (with M. S. Tsai and S. L. Chiang), “Analyzing Yield, Duration and Convexity of Mortgage Loans under Prepayment and Default Risks”, Journal of Housing Economics, Vol.18, Issue 2, June 2009, 92-103. (SSCI)

43.  廖四郎(江明珠、李政峰、徐守德),短期利率條件分配之尾部差異性檢定與風險值,中山管理評論,第十七卷,第二期,頁517,民國九十八年七月。(TSSCI)

44.  Liao (with F. Y. Chen), “Modelling VaR for Foreign-asset Portfolios in Continuous Time”, Economic Modelling, Vol. 26(1), 2009, 234-240. (SSCI)
45.  Liao (with Y. C. Wu and S. D. Shyu), “Closed-form Valuations of Basket Options Using a Multivariate Normal Inverse Gaussian Model”, Insurance: Mathematics and Economics, Vol.44, Issue 1, February 2009, 95-102. (SSCI) 
46.  Liao (with P. P. Hsu), “Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross-Currency Levy Processes”, Journal of Futures Markets, Vol.29, Issue 10, October 2009, 973-998. (SSCI)
47.  Liao (with M. L. Chang and H. P. Lin), “The Relationship between Book-Tax Difference and Earnings Management”, Journal of Management, Vol.26, No.4,  August 2009, 391-415. (TSSCI)

48.  廖四郎(吳仰哲、林士貴),“LevyGARCH-Levy過程之選擇權評價與實證分析:台灣加權股價指數選擇權為例,管理與系統,第十七卷,第一期,頁49-74,民國九十九年一月。(TSSCI)

49.  Liao (with J. J. Chang), “Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing”, Journal of Futures Markets, 2010, Vol. 30, Issue 11. 1007-1105. (SSCI)
50.  Liao (with S. K. Lin and T. C. Lin), “Credit Risks with Levy Processes under a Stochastic Interest Rate: A Structural Form Model”, Review of Securities and Futures Markets, 2010, Vol. 21, 139-146. (TSSCI).
51.  Liao (with Z. H. Chen), “Elucidating Asymmetrical Volatility in Asset Returns and Optimizing Portfolio Choice Using Time-Changed Levy Processes”財務金融學刊,第十七卷,第四期,民國九十八年。 (TSSCI)
52.  Liao (with J. J. Chang), “Warrant Introduction Effects on Stock Return Processes”, Applied Financial Economics, 2010, Vol. 20, 1377-1395. (Econlit and FLI)
53.  Liao (with H. P. Tsai and S. K. Lin), “An Efficient Valuation and Hedging of Constant Maturity Swap Products under BGM Model”, Journal of Chinese Statistical Association, 2010, Vol. 48, 161-189.(EconLit)
54.  Liao (with H. C. Sung), “Not-for-Profit Service that Leads Profit: Delegation and Competition between Not-for-Profit and For-Profit Organizations,” International Research Journal of Finance and Economics, 2011, Vol. 80, 40-48.(EconLit)

55. Liao (with H. P. Yang, H. P. Tsai), “A Valuation of Quanto Constant Maturity Swap Products under the Three-Factor BGM Model,” Journal of the Chinese Statistical Association,2011, Vol. 49, Issue 2, 60-81.(EconLit)

56. Liao (with Hsu P. P), "The Portfolio Strategy and Hedging: a Spectrum Perspective on Mean-Variance Theory," International Review of Economics and Finance,2012, Vol.2, Issue1,129-140.(SSCI)
57. Liao (with M.S. Tsai, J. H. Chen and C. H. Li), “Valuation of Convertible Bond Under Lévy Process with Default Risk” Journal of the Chinese Statistical Association,2012,Vol.50, Issue 2, 48-70. (EconLit)
58. Liao (with M. C. Wang and L. J. Huang), “ Option Pricing Using the Martingale Approach with Polynomial Interpolation,” Journal of Futures Markets, Vol.0, Issue 0, 1-23. (SSCI)
59. Liao (with H. L. Chang and S. S. Wu), “The Analysis of Entry Time and Model in China Banking Sector for Following Financial Institutes – Real Option Approach,” International Research Journal of Finance and Economics,2012,Issue. 90, 136-145. 
60. Liao (with J. Y. Chen), “Dynamic Conditional Correlation Analysis in International Real Estate Security Markets,” Taiwan Banking & Finance Quarterly,2012, Vol. 12, Issue 3. 
61. Liao (with M. C. Wu and Y. T. Huang), “Determinants of Firm Adoption Executive Stock Options in China,” Chinese Economy,2012. (EconLit) Forthcoming 
62. Liao (with J. Y. Chen), “Spatial and Temporal Effects of High-Speed Rail on House Prices–A Case of Kaohsiung City,” Journal of Housing Studies,2013. (TSSCI) Forthcoming.
63. Liao (with  M. C. Wu and Y. T. Huang), “The Relation between Equity-based Compensation and Managerial Risk-taking: Evidence from China,” Emerging Markets Finance and Trade,2013. (SSCI) Forthcoming

       

 

 

研討會論文

1.      Liao, S. L., (1994), “A Model of Mixed Asset Portfolio Selection with Transaction Cost”, International Mathematics Conference, Taiwan.

2.      Liao, S. L., (1995), “The Effect of Trade Deregulation and Political Risks on International Asset pricing”, in 4th Annual Conference on the Theories and practices of Security and Financial Markets, Taiwan.

3.      Liao, S. L.with S. N. Chen and L. Wang, (1996), “On the Relevancy of Stochastic Calculus in Dynamic Economic Models”, in The 2nd International Conference on Applications of Dynamic Models to Economics, Taiwan.

4.      Liao, S. L., (1996), “The Financial Cooperation and Competition between Mainland China and Taiwan”, in conference on The Changing Taiwan in 21st Century, Taiwan.

5.      Liao, S. L., (1996), “On the Dynamic Stochastic Modeling in Asset Pricing Theories”, in the First Joint Statistic Conference of Mainland China and Taiwan, Taiwan.

6.      Liao, S. L., (1996), “On the Use of Stochastic Calculus in Financial Economics”, invited lecture to Institute of Mathematics, Academic Sinica, Taiwan.

7.      Liao, S. L. (with S. N. Chen), (1996), “The Impact of Trade barriers on Financial Markets: Purchasing Power Risk, Asset Pricing and Interest Rate”, in 1996 APFA/PACAP Finance Conference, Taipei.

8.      Liao, S. L. (with W. K. Chang), (1996), “Pricing and Simulation of Callable Bonds Under Stochastic Term Structure of Interest Rates”, in Conference on Asia Pacific Financial CentersThe Change and Challenge for the Banking Industry, Taiwan.

9.      Liao, S. L. (with M. C. Wang), (1996), “Testing The Efficiency of Taiwan’s Forward US Dollar Market”, in The 5th Conference on the Theories and Practices of Security and Financial Markets, Kaohsiung.

10.  Liao, S. L., (1997), “Equilibrium Asset Pricing under Transaction Costs: A Martingale Approach”, 1997 Annual conference of Chinese Statistics Association, Taipei.

11.  Liao, S. L., (1997), “The Economic Analysis of Kaohsiung as a Regional Operating Center”, Conference on the Future of Hong Kong and Taiwan After 1997.

12.  Liao, S. L., (1997), “Nonlinear Dynamics in Financial Markets and It's Implication for Financial Management”, in Conference on Asia-Pacific Financial Center-Business financing, Credit Assessment and Financial Innovation, Kaohsiung.

13.  Liao, S. L., (1997), “Nonlinear Dynamics and Chaotic Behavior in Foreign Exchange Market”, The 6th Conference on the Theories and Practices of Security and Financial Markets, Kaohsiung.

14.  Liao, S. L., (1998), “Nonlinear Dynamics and Chaos in Foreign Exchange Markets”, 1998 Taipei International Statistical Symposium.

15.  Liao, S. L. (with Y. M. Chang and D. S. Hsyu), (1998), “The Relationship among Asian Stock MarketsThe Test of Dynamic Processes”, in 7th Annual Conference on the Theories and Practices of Security and Financial Markets, Taiwan.

16.  Liao, S. L. (with Y. C. Chiang and L. K. Hu), (1998), “Pricing Cross-Currency Two-Way Equity Swaps”, in 7th Annual Conference on the Theories and Practices of Security and Financial Markets, Taiwan.

17.  Liao, S. L. (with M. C. Wang and D. S. Hsyu), (1999), “Pricing Cross-Currency Equity Swaps”, The 8th Annual Conference on The Theories and Practices of Security and Financial Markets, Taiwan.

18.  Liao, S. L. (with M. L. Wang), (2000), “Capital Budgeting and Optimal Financing under Uncertainty”, The 9th Annual Conference on The Theories and Practices of Security and Financial Markets, Taiwan.

19.  Liao, S. L. (with C. W. Wang), (2001), “The Valuation of Generalized Time-Varing Discrete Capped Exchange Options with Related Asset as Trigger and A Stochastic Barrier under Stochastic Interest Rate”, The 2001 Annual Conference of CFA, Taiwan.

20.  Liao, S. L. (with C. S. Cheng and L. K. Hu), (2001), “Real Option and Product Life Cycle”, The 2001 Annual Conference of CFA, Taiwan.

21.  Liao, S. L. (with C. W., Wang), (2001), “Valuation of general reset options,” International Conference of Quantitative Finance, Academic Sinica.

22.  Liao, S. L., (2001), “An Efficient Multinimial-Based Method of Option Pricing,” The 11th Annual Conference of the Chinese Statistical Association, R.O.C.

23.  Liao, S. L. (with C. W. Wang), (2001), “The Forward-Pricing Tree Methods of Option Pricing under Gaussian HJM framwork of Stochastic Interest Rates,” The 10th Annual Conference on The Theories and Practices of Security and Financial Markets, Taiwan.

24.  Liao, S. L., (2001), “The Valuation of Basket Options and Portfolio Insurance,” The 2nd Conference on Empirical Economics, Taiwan.

25.  Liao, S. L. (with M. C. Wang), (2002), “The Pricing Models of Cross-Currency Equity Swaps and Swaptions,” Conference on Finance and Industry, Taiwan.

26.  Liao, S. L., (2002), “Pricing Convertible Bonds with Credit Risk under Gaussian HJMF framework,” Taipei International Statistical Symposium and Bernoulli Society EAPR Conference., EAPR.

27.  Liao, S. L. (with G. C. Lyu and H. H. Huang), (2002), “Bonds Valuation and Agency ProblemsA Contingent Claims Approach under Optimal Capital Structure,” the 11th Annual Conference on the Theories and Practices of Securities and Financial Markets, Taiwan.

28.  Liao, S. L. (with C. W., Wang), (2002), “Forward-Price and The Implied Spot-Price Tree Method of Option Pricing with An Application to Extended Vasicek Model,” CIFER, Hong Kong.

29.  Liao, S. L. (with C. W. Wang), (2002), “The Valuation of Generalized Capped Options,” Academic Conference of Finance, Taiwan Finance Association.

30.  Liao, S. L., (2002), “On the Implementation of Continuous-Time Interest Rate Models,” Workshop on Probability with Applications to Finance and Insurance, Hong Kong University, Hong Kong.

31.  Liao, S. L., (2003), “An Efficient Tree Method of Option Pricing under Stochastic Interest Rates,” The Conference on Financial Engineering, NCTU, Taiwan.

32.  Liao, S. L., (2003), “The Valuation of Generalized Capped Exchange Options,” The Annual Conference of Chinese Probability and Statistics Association, Taiwan.

33.  Liao, S. L. (with C. W., Wang), (2003), “The Valuation of Convertible Bond with Credit Risk,” The 7th Conference on Empirical Economics, Taiwan.

34.  Liao, S. L. (with H. H. Huang), (2004), “Analyzing Convertible Bonds: Valuation and Optimal Strategies of Conversion”, Quantitative Methods in Finance 2004 Conference, Sydney, Australia.

35.  Liao, S. L. (with H. H. Huang), (2005), “Effects of Macro and Micro Economics Conditions on Optimal Capital Structures: Theory and Evidence”, Thirteenth Annual Conference on Pacific Basic Finance, Economics, and Accounts, New Jersey, U.S.A.

36.  Liao, S. L. (with G. L. Lee), (2005), “The Optimal Strategy of Merging under Uncertainty”, The Taiwan Financial Annual Conference, Taiwan.

37.  Liao, S. L. (with S. L. Chiang), (2005), “Yield and Duration Analysis of Mortgage Loan”, The International Conference on Contemporary Issues in Financial Markets and Accounting, TWCAT, Taiwan.

38.  Liao, S. L. (with H. H. Huang), (2005), “Financial Synergies and Optimal Stock Exchange Ratio in a Cross-Border M&A—Real Option Approach”, 2005管理新思維學術研討會, NTUST, Taiwan.

39.  Liao, S. L. (with M. S. Tsai and S. L. Chiang), (2007), “Analyzing Yield, Duration and Convexity of Mortgage Loans under Prepayment and Default Risks”, Fifteenth annual Conference on Pacific Basin Finance, Economics, Accounting and Management, Ho Chi Minh City, Vietnam.

40.  Liao, S. L. (with J.J. Chang), (2009), “Economic Determinants of Default Risks and Their Impacts on Credit Derivative Pricing”, The 17th Annual Conference on PBFEAM and The 3rd International Conference on Business in Asia (iCBA), Bangkok.

41.  Jing -Yi Chen, Szu-Lang Liao, (2011) “Dynamic Conditional Correlation Analysis in International Real Estate Security Markets,”獲選兩岸金融暨銀行經營管理學術研討會,研討會最佳論文。

42.  Szu-Lang Liao, Jing -Yi Chen, (2011) “Spatial and Temporal Effects of HIGH-SPEED RAIL on House Prices–A Case of Kaohsiung City,”,獲得2011年中華民國住宅學會第二十屆年會暨學術研討會,傑出論文獎。

 

 

 

國科會歷年研究計畫報告

1.      訊息風險與持股限制對國際投資策略及證券評價的影響, NSC 85-2416-H-110-029

2.      貿易自由化對國際資產訂價與利率的影響,NSC 86-2418-H-110-003

3.      交易成本下的資本資產訂價:平賭過程法,NSC 87-2416-H-004-044

4.      金融市場的非線性動態及財務管理上的應用,NSC 88-2416-H-004-014

5.      股匯市的國際投機性攻擊策略與金融危機之分析,NSC 89-2416-H-004-014

6.      跨通貨股酬交換之評價-遠期平賭測度法,NSC 89-2416-H-004-064

7.      隨機利率下組合型選擇權的定價與投資組合風險管理,NSC 90-2416-H-004-016

8.      多層重設型選擇權之訂價及避險策略,NSC 91-2416-H-004-028

9.      策略性債務融資與可轉換公司債之評價-最適資本結構模型,NSC 92-2416-H-004-039

10.  跨國合併與購併財務綜效之衡量-或有求償權評價法,NSC 93-2416-H-004-046

11.  產業需求與公司技術水準對公司債評價及資本結構之影響,NSC 94-2416-H-004-046

12.  住宅抵押提前清償風險與違約風險之分析與評價-理論與實證,NSC 95-2416-H-004 -035 -MY2()

13.  住宅抵押提前清償風險與違約風險之分析與評價-理論與實證,NSC 95-2416-H-004 -035 -MY2()

14.  發行認股權證對股價影響之探討,NSC 97-2410-H-004 -023

15.  違約風險的經濟因素與Levy 過程下之動態違約評價模型及預警系統NSC 98-2410-H-004 -064 -MY2()

16.  可轉債資產交換與一般資產交換評價與風險控管分析,NSC100-2221-E-004-016-

17.  馬可夫跳躍過程下美式選擇權之評價:黃金之實證分析,NSC101-2410-H-004-060-

 

 

專案研究計畫

1.      新加坡與香港的金融危機因應措施對我國金融中心之啟示,行政院經濟建設委員會,1999

2.      開放國內證券商發展OTC金融衍生性商品及保本型商品業務之可行性研究,中華民國證券商業同業公會,2002

3.      擴大開發證券商從事策略性交易及其配套措施之研究,中華民國證券商業同業公會,2004

4.      國外證券商從事外匯衍生性商品的法律規範與作業情況之研究與國內制度建議, 中華民國櫃檯買賣中心,2004

5.      衍生性商品之會計與稅務處理之研究,資誠文教基金會,2004

6.      新金融商品開發之研究,中華民國證券商業同業公會,2008

7.      台商上市之決策分析,國立政治大學國際事務學院,2008

8.      金融資產證券化之風險分析與評估,證券櫃檯買賣中心,2008

9.      國際主要金融機構在中國發展經驗之探討,行政院經濟建設委員會,2009

10.   台灣銀行業前進中國的機會與挑戰,台灣IBM2009

11.    兩岸財富管理市場發展之研究,社團法人台灣金融服務業聯合總會,2010

 

 

     專書著作

1. 廖四郎、王昭文,期貨與選擇權,新陸書局,2005

 

 

 

     專書審訂

  1.      細說Black-Scholes微分方程式(吳文峰、李詩政譯,石村貞夫、石村園子著),鼎茂出版社,2004

  2.      基礎金融工程隨機微積分(吳文峰、李詩政譯,藤田岳彥著),鼎茂出版社,2004

  3.      細說Black-Scholes模型(吳文峰、李詩政譯,蓑谷千鳳彥著),鼎茂出版社,2005