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
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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Theoretical and Empirical Analyses of Evaluations and Exercise Behaviors of Bonds with Embedded Options
1/08/19 → 31/01/21
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
Research Output
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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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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
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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 journal › Article › peer-review
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Recap of the 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management
Lee, C. F. & Dai, T-S., 22 Mar 2017, In: Review of Pacific Basin Financial Markets and Policies. 20, 1, 14 p.Research output: Contribution to journal › Article › peer-review
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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 journal › Article › peer-review
Activities
- 1 Invited talk