20022022

Research output per year

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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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Projects

Research Output

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 proceedingConference contribution

  • 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 journalArticle

  • A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds

    Wang, J. Y. & Dai, T-S., 1 Jun 2017, In : Journal of Derivatives. 24, 4, p. 52-79 28 p.

    Research output: Contribution to journalArticle

  • Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure

    Liu, L. C., Dai, T-S. & Wang, C. J., 1 Nov 2016, In : Journal of Banking and Finance. 72, p. 151-174 24 p.

    Research output: Contribution to journalArticle

  • 2 Scopus citations

    Activities

    • 1 Invited talk

    交大財金研討會

    Tian-Shyr Dai (Speaker)

    8 Dec 2017

    Activity: Talk or presentationInvited talk