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國立臺北科技大學 學術資源網

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劉亮志副教授Liu, Liang-chih

現職:
臺北科大/資訊與財金管理系
聯絡方式:

期刊論文

  • "Asymptotic Analyses for Trend-Stationary Pairs Trading Strategy in High-Frequency Trading", Review of Quantitative Finance and Accounting, 2024/05, ELSE2
  • "On the Design of Bail-in-able Bonds from the Perspective of Non-Financial Firms", International Review of Economics and Finance, 2023/10, SSCI
  • "Pricing Tenure Payment Reverse Mortgages with Optimal Exercised Prepayment Options under House Price, Interest Rate, and Mortality Risk", Quantitative Finance, 2023/06, SSCI
  • "Feature Generation and Contribution Comparison for Electronic Fraud Detection", Scientific Reports, 2022/10, SCI
  • "A Novel State-Transition Forest: Pricing Corporate Securities with Intertemporal Exercise Policies and Corresponding Capital Structure Changes", Quantitative Finance, 2022/08, SSCI
  • "Feature Engineering and Resampling Strategies for Fund Transfer Fraud with Limited Transaction Data and a Time-inhomogeneous Modi Operandi", IEEE Access, 2022/08, SCI
  • "Option Pricing with the Control Variate Technique beyond Monte Carlo Simulation", North American Journal of Economics and Finance, 2022/07, SSCI
  • "A Stochastic-Volatility Equity Price Tree for Pricing Convertible Bonds with Endogenous Firm Values and Default Risks Determined by the First-Passage Default Model", The Journal of Futures Markets, 2022/07, SSCI
  • "Analyzing Interactive Call, Default, and Conversion Policies of Corporate Bonds", The Journal of Futures Markets, 2022/05, SSCI
  • "Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options", Mathematical Problems in Engineering, 2022/03, SCI
  • "Analytical Pricing Formulae for Vulnerable Vanilla and Barrier Options", Review of Quantitative Finance and Accounting, 2021/03, ELSE2

研討會論文

  • "Slicing a Block into Pieces: A Novel Tree Structure to Capture Sequential Exercise Policy", European Financial Management Association 2021 Annual Meeting, Leeds, 2021/06/30
  • "Slicing a Block into Pieces: A Novel Tree Structure to Capture Sequential Exercise Policy", 37th International Conference of the French Finance Association, Nantes, 2021/05/26
  • "Analyzing Interactive Call, Default, and Conversion Policies of Corporate Bonds", 37th International Conference of the French Finance Association, Nantes, 2021/05/26
  • "On the Design of Bail-in-able Bonds from the Perspective of Non-Financial Firms", Conference on the Theories and Practices of Securities and Financial Markets, 高雄市, 2020/12/11
  • "Game Option Analysis for Interactive Exercising Policies of Embedded Call, Default, and Conversion Decisions", Conference on the Theories and Practices of Securities and Financial Markets, 高雄市, 2020/12/11
  • "The Structure of Contingent Capital and the Analysis of its Issuance: From the Perspective of Banks to Non-Bank Firms", Conference on the Theories and Practices of Securities and Financial Markets, 高雄市, 2019/12/06
  • "Analyzing Interactive Exercising Policies of Callable and (or) Convertible Bonds", European Financial Management Association Annual Meeting, Island of S. Miguel, 2019/06/26
  • "Analyzing Interactive Exercising Policies of Callable and (or) Convertible Bonds", Financial Management Association European Conference, Glasgow, 2019/06/12
  • "FRIDAYS: A Financial Risk Information Detecting and Analyzing System", Thirty-Third AAAI Conference on Artificial Intelligence, Honolulu, Hawaii, 2019/01/27
  • "Analyzing Interactive Exercising Policies and Evaluations of Callable and (or) Convertible Bonds", International Finance and Banking Society 2018 Porto Conference, Porto, 2018/06/30
  • "The 16th Annual Conference of the North American Chapter of the Association for Computational Linguistics: Human Language Technologies", RiskFinder: A Sentence-Level Risk Detector for Financial Reports, New Orleans, 2018/06/01
  • "Analyzing Interactive Exercising Policies and Evaluations of Callable and (or) Convertible Bonds", 臺灣財務金融年會暨國際研討會, 臺北市, 2018/05/25
  • "Analyzing Interactive Exercising Policies and Evaluations of Callable and (or) Convertible Bonds", The 25th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, 新加坡, 2017/11/23
  • "Analyzing Interactive Exercising Policies and Evaluations of Callable and (or) Convertible Bonds", The 2017 Annual Meeting of the Financial Management Association, Boston, 2017/10/11
  • "Analyzing Interactive Exercising Policies and Evaluations of Callable and (or) Convertible Bonds", 台灣風險與保險學會, 新竹市, 2017/10/09
  • "Issuing Contingent Capital and Asset Substitution Problems", The 2017 Conference on Financial Engineering and Actuarial Mathematics, 臺北市, 2017/04/21
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