20092020

Research output per year

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Personal profile

Research Interests

Financial Statistics, Statistical Computing, Bayesian Inference, Financial Eengineering

Experience

2017/2~present Associate Professor, Department of Information Management and Finance

Education/Academic qualification

PhD, Pennsylvania State University

External positions

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Projects

Machine Llearning in Financial Technology: Large Portfolio Management and Delinquency Risk Prediction

Teng, H.

1/08/2031/07/21

Project: Government MinistryMinistry of Science and Technology

Artificial Intelligence And Its Application On Derivatives Pricing

Teng, H.

1/01/2031/12/20

Project: Government MinistryMinistry of Science and Technology

Machine Llearning in Financial Technology: Large Portfolio Management and Delinquency Risk Prediction

Teng, H.

1/08/1931/07/20

Project: Government MinistryMinistry of Science and Technology

Artificial Intelligence and Its Application on Derivatives Pricing

Teng, H.

1/01/1931/12/19

Project: Government MinistryMinistry of Science and Technology

A Dynamic Rebalancing Strategy for Portfolio Allocation with Changepoint Detection and Other Applications in FinTech

Teng, H.

1/08/1831/10/19

Project: Government MinistryMinistry of Science and Technology

Research Output

  • 11 Article
  • 1 Conference contribution

Simulating false alarm probability in K-distributed sea clutter

Teng, H. W. & Fuh, C. D., 1 Jan 2020, (Accepted/In press) In : Communications in Statistics: Simulation and Computation.

Research output: Contribution to journalArticle

  • A systematic and efficient simulation scheme for the Greeks of financial derivatives

    Lyuu, Y. D., Teng, H-W., Tseng, Y. T. & Wang, S. X., 1 Jan 2019, (Accepted/In press) In : Quantitative Finance.

    Research output: Contribution to journalArticle

  • 1 Scopus citations
  • 1 Scopus citations

    A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management

    Teng, H-W., 4 Jan 2018, 2017 Winter Simulation Conference, WSC 2017. Chan, V. (ed.). Institute of Electrical and Electronics Engineers Inc., p. 469-480 12 p. (Proceedings - Winter Simulation Conference).

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

  • Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events

    Fuh, C. D., Teng, H-W. & Wang, R. H., 1 Apr 2018, In : Computational Economics. 51, 4, p. 973-990 18 p.

    Research output: Contribution to journalArticle

  • 1 Scopus citations