Projects per year
Personal profile
Research Interests
Derivatives Pricing, Credit Risk, Interest Rate Term Structure, Algorithms
Experience
2014 ~ present Director, Institute of Finance, National Chiao Tung University
Education/Academic qualification
PhD, National Taiwan University
External positions
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Dive into the research topics where Tian-Shyr Dai is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Recent external collaboration on country level. Dive into details by clicking on the dots.
Projects
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Analyzing The Covenants That Cause Assets Injections/Leakages And The Change Of Capital Structures On The Evaluations Of Catastrophe-Type Derivatives And Employee Stock Options
1/08/20 → 31/07/21
Project: Government Ministry › Ministry of Science and Technology
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Trading & Risk Management Mechanisms Based on Deep Reinforcement Learning for Continuous Trading of Taiwan Stock Exchanges
1/06/20 → 31/05/21
Project: Government Ministry › Ministry of Science and Technology
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Intelligent OTC Trading And Robo-Advising System Using Multimodal Big-Data Analytics And Distributed Blockchain Computation (IV)
1/06/20 → 31/05/21
Project: Government Ministry › Ministry of Science and Technology
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Analyzing The Covenants That Cause Assets Injections/Leakages And The Change Of Capital Structures On The Evaluations Of Catastrophe-Type Derivatives And Employee Stock Options
1/08/22 → 31/07/23
Project: Government Ministry › Ministry of Science and Technology
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Analyzing The Covenants That Cause Assets Injections/Leakages And The Change Of Capital Structures On The Evaluations Of Catastrophe-Type Derivatives And Employee Stock Options
1/08/21 → 31/07/22
Project: Government Ministry › Ministry of Science and Technology
Research output
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Analytical pricing formulae for vulnerable vanilla and barrier options
Liu, L. C., Chiu, C. Y., Wang, C. J., Dai, T. S. & Chang, H. H., 2021, (Accepted/In press) In: Review of Quantitative Finance and Accounting.Research output: Contribution to journal › Article › peer-review
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Improving Pair Trading Performances with Structural Change Detections and Revised Trading Strategies
Chang, H. H., Dai, T. S., Wang, K. L., Chu, C. H. & Wang, J. Z., Dec 2020, Proceedings - 2020 International Conference on Pervasive Artificial Intelligence, ICPAI 2020. Institute of Electrical and Electronics Engineers Inc., p. 105-109 5 p. 9302715. (Proceedings - 2020 International Conference on Pervasive Artificial Intelligence, ICPAI 2020).Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review
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Online structural break detection for pairs trading using wavelet transform and hybrid deep learning model
Huang, S. H., Shih, W-Y., Lu, J. Y., Chang, H. H., Chu, C. H., Wang, J. Z., Huang, J-L. & Dai, T-S., Feb 2020, Proceedings - 2020 IEEE International Conference on Big Data and Smart Computing, BigComp 2020. Lee, W., Chen, L., Moon, Y-S., Bourgeois, J., Bennis, M., Li, Y-F., Ha, Y-G., Kwon, H-Y. & Cuzzocrea, A. (eds.). Institute of Electrical and Electronics Engineers Inc., p. 209-216 8 p. 9070533. (Proceedings - 2020 IEEE International Conference on Big Data and Smart Computing, BigComp 2020).Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review
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Pricing fair deposit insurance: Structural model approach
Tai, T., Lee, C. F., Dai, T. S., Wang, K. L. & Chen, H. Y., 1 Jan 2020, Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (In 4 Volumes). World Scientific Publishing Co., p. 583-602 20 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
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An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process
Wang, C. J. & Dai, T-S., 1 Nov 2018, In: IEEE Computational Intelligence Magazine. 13, 4, p. 35-45 11 p., 8492370.Research output: Contribution to journal › Article › peer-review
Activities
- 1 Invited talk