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財務金融系暨研究所
Welcome to Finance
分類清單
張龍福副教授
 財務金融系--張龍福副教授 

 



研究室:承曦樓917

聯絡電話:(02)2322-6517
傳真電話:(02)2322-6378
電子郵件:
mail lfchang@ntub.edu.tw


 學歷 

國立臺灣大學國際企業學研究所財務博士


 研究領域 

財務工程、風險管理、資產訂價、資產管理


 主授課程 

.財務工程專題、財務報表分析、財金專題研討、微積分、個體經濟學、管理數學


 期刊論文 
  • Lung-Fu Chang, Jia-Hau Guo and Mao-Wei Hung, 2016,  “ A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options. Journal of Futures Markets ,36(9).887-901(SSCI, 國科會財務領域國際期刊分級A )

  • Lung-Fu Chang, (with Shian-Chang Huang et al.), 2014, “Composite Kernel Machines on Kernel Locally Consistent Concept Factorization Space for Data Mining.” International Journal of Signal Systems, 2, 64-69.

  • Lung-Fu Chang, (with Shian-Chang Huang et al.), 2012, “Financial Forecasting by Modified Kalman Filters and Kernel Machines.” Journal of Statistics & Management Systems, 2, 163-176. (EI)

  • Lung-Fu Chang, (with Shian-Chang Huang et al.), 2012, “Measuring Portfolio Value-at-Risk Using Bayesian conditional EVT-Copula Models: Taking an Asian Index Portfolio for Example.” Journal of Statistics & Management Systems, 15, 345-367. (EI)

  • Chang, Lung-Fu, Tzu-Hui Pan and Shian-Chang Huang, 2012, “Stochastic Control of Annuity Contracts under Model Misspecification.” Journal of Information & Optimization Sciences, 33, 401-425. (EI)

  • Chang, Lung-fu and Tzu-Hui Pan, 2011, “Intertemporal Surplus Management under Model Misspecification.” International Research Journal of Finance and Economics, 79, 86-92. (EconLit)

  • Chang, Lung-fu and Mao-wei Hung, 2011, “Pricing Vulnerable American-Style Exchange Options with Correlated Credit Risk.” International Research Journal of Finance and Economics ,75, 194-208. (EconLit)

  • Chang, Lung-fu and Mao-wei Hung, 2009, “Analytical Valuation of Catastrophe Equity Options with Negative Exponential Jumps,” Insurance: Mathematics and Economics, 44, 59-69. (SSCI, 國科會財務領域國際期刊分級A)

  • Chang, Lung-fu and Mao-wei Hung, 2007, “Valuation of Vulnerable American Options with Correlated Credit Risk.” Review of Derivatives Research, 9, 137-165. (SSCI, 國科會財務領域國際期刊分級A-)

 研討會論文 
  • Guo, Jia-Hau, Lung-Fu Chang and Mao-Wei Hung, 2016, “Limit Hits and Connected Stocks,” 2016 Annual Meeting of the European Financial Management Association Conference (EFMA), University of Basel, Switzerland.
  • Chang, Lung-Fu, Jia-Hau Guo and Mao-Wei Hung, 2016, “Pricing American Options with Stochastic Volatility and Jumps,” 2016 23th Annual Meeting of the Multinational Finance Society, Stockholm Business School, Sweden.
  • Guo, Jia-Hau, Lung-Fu Chang and Mao-Wei Hung, 2015, “Limit Hits and Informationally Related Stocks,” 2015 Annual Meeting of the European Financial Management Association Conference (EFMA), Nyenrode   Business University, Netherlands.
  • Chang, Lung-Fu, Jia-Hau Guo and Mao-Wei Hung, 2015, “A Generalization of the Recursive Integration Method for the Analytical Valuation of American Options,” 2015 22th Annual Meeting of the Multinational Finance Society, Meliton, Halkidiki, Greece.
  • Chang, Lung-Fu, Jia-Hau Guo and Mao-Wei Hung, 2014, “The Information Content of Limit Hits for Continually Trading Stocks,” 2014 Annual Meeting of the World Finance Conference, Ca’Foscari University, Venice, Italy.
  • Chang, Lung-Fu and Mao-Wei Hung, 2013, “A Generalization of Valuation of Volatility Risk Management Products,” 2013 Financial Management Association European (FMA) Conference, Grand-Duche de Luxembourg, Luxembourg, Luxembourg.
  • Chang, Lung-Fu and Jia-Hau Guo, 2013, “The Impact of Jumps and Information Uncertainty on the Term Structure of Credit Spreads,” 2013 9th Eurasia Business and Economics Society, Sapienza University, Rome, Italy.
  • Chang, Lung-Fu, Jia-Hau Guo and Mao-Wei Hung, 2012, “Valuation of Volatility Risk Management Products,” 2012 19th Annual Meeting of the Multinational Finance Society, Novotel Krakow Bronowice, Krakow, Poland.
  • Chang, Lung-Fu, Jia-Hau Guo and Hsuan Rern, 2011, “A Reexamination of Jump Effect on Credit Spreads with Noisy Information,” 2011 18th Annual Meeting of the Multinational Finance Society, LUISS Guido Carli University, Rome, Italy.
  • Chang, Lung-Fu and Mao-Wei Hung, 2006, “Pricing American Options with Counterparty Risk”, 2006 Academic Conference of International Business, Graduate Institute of International Business, National Taiwan University, Taipei, Taiwan.

 其他 

(1) 國科會專題研究計畫

  • A Generalization of the Static Hedge Method for Pricing American Options. (MOST 105-2410-H-141-002)
  • Information Uncertainty, Jump Risk and Corporate Bond Yield Spreads. (NSC 102-2410-H-141-001)
  • An analysis of Credit Spreads with Stationary Leverage Ratios, Incomplete Information and Double Exponential Jumps. (NSC 101-2410-H-141-001)
  • Hedging Volatility Risk with Stochastic Volatility, Jumps, and Stochastic Interest Rates. (NSC 100-2410-H-141-010)
  • A Recursive Integration Method for Pricing American Options under Stochastic Volatility and Jumps. (NSC 99-2410-H-141-004)
  • A Generalization of the Approximate Analytical Formula for Pricing American Options. (NSC 98-2410-H-141-010)

(2) 其他著作

  • 新金融商品個案集I (陳威光編著)— PRIME and SCOREp338-p352,智勝出版社(2003