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Chang, Lung-Fu

FROM NTUB SITE
Associate Professor Chang, Lung-Fu 

張龍福

 

Research lab: RM917, Cheng-Hsi Bldg.

Tel: (02) 2322-6517

Fax: (02) 2322-6378

Email: mail lfchang@ntub.edu.tw


 

Education
  • Phd, College of International Business, National Taiwan University

 

Major
  • 財務工程、風險管理、資產訂價、資產管理

 

Courses
  • Financial Statements Analysis, Calculus, Financial Management, Money and Banking

 

Journal papers
  • 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-)

 

 Conference papers
  • 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.

 

Others

(1) Ministry of Science and Technology Research Projects

  • 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) Publications

  • “新金融商品個案集I (陳威光編著)— PRIME and SCORE ”,p338-p352,智勝出版社(2003)