張龍福助理教授

財務金融系--張龍福助理教授

張龍福老師

研究室：承曦樓917

聯絡電話:(02)2322-6517

傳真電話:(02)2322-6378
老師信箱:

學歷

．國立臺灣大學國際企業學研究所博士

研究領域

．財務工程、風險管理、資產定價、資產管理

主授課程

．微積分、貨幣銀行學、財務報表分析

期刊論文

1.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, 2010 Impact Factor = 0.389, 國科會財務類A-級優良期刊)

2.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, 2010 Impact Factor = 1.178, 國科會財務類A級優良期刊)

3.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, JEL, SSCI觀察名單)

4.Chang, Lung-fu, 2011, “Intertemporal Surplus Management under Model Misspecification.” International Research Journal of Finance and Economics, 79, 86-92. (EconLit, JEL, SSCI觀察名單)

5.Chang, Lung-fu and Mao-wei Hung, 2012, “Ambiguity, Parameter Uncertainty and Portfolio Decision.” Archives Des Sciences, 65, 68-72. (SCI, 2012 Impact Factor = 0.474)

研討會論文

1.“Valuation of Volatility Risk Management Products,” (with J. Guo and M. Hung), 19th Annual Meeting of the Multinational Finance Society, Novotel Krakow Bronowice, Krakow, Poland, 2012.

2.“A Reexamination of Jump Effect on Credit Spreads with Noisy Information,” (with J. Guo), 18th Annual Meeting of the Multinational Finance Society, LUISS Guido Carli University, Rome, Italy, 2011.

3.“Pricing American Options with Counterparty Risk” (with M. Hung), in the Academic Conference of International Business, Graduate Institute of International Business, National Taiwan University, Taipei, Taiwan, 2006.

4.“Valuation of Reset Options: A Flexible-Lattice Method.” (with W. Chen), in the Academic Conference of Global Investment, National Kaohsiung First University of Science and Technology, Kaohsiung, Taiwan, 2001.

國科會專題研究計畫

1.“Hedging Volatility Risk with Stochastic Volatility, Jumps, and Stochastic Interest Rates.” 2011, NSC 100-2410-H-141-010.

2.“A Recursive Integration Method for Pricing American Options under Stochastic Volatility and Jumps.” 2010, NSC 99-2410-H-141-004.

3.“A Generalization of the Approximate Analytical Formula for Pricing American Options.” 2009, NSC 98-2410-H-141-010.

其他著作

1.“財務金融研究”，台灣大學博士論文（2007）。

2.“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）。