REN-RAW CHEN
Fordham University
Room 606, 45
Columbus Avenue,
New York, NY 10023
rchen@fordham.edu
http://faculty.fordham.edu/rchen
AREAS OF INTEREST
Liquidity Quantification
Credit Derivatives
Equilibrium Option Pricing
Real Options
Mortgage Backed Securities
Term Structure of Interest Rates
EDUCATION
|
University of Illinois at U-C |
Finance |
1987-1990 |
Ph.D |
|
University of Illinois at U-C |
Finance |
1985-1987 |
M.S. |
|
National Taiwan University |
Business Administration |
1978-1982 |
B.B.A |
EXPERIENCE
|
Professor |
Fordham University |
9/2008-present |
|
Asst. and Asso. Professor |
Rutgers Univ. |
7/1990-6/2008 |
|
Vice President |
Lehman Brothers Inc. |
8/1997-1/1999 |
|
Visiting Asst. Prof. |
Univ. of Pittsburgh |
1/1996-6/1996 |
|
Visiting Asso. Prof. |
National Taiwan Univ. |
8/1994-12/1995 |
Columbia
University – Adjunct Professor, Spring 2013.
National
Chung-Hsing University (Taiwan) – Visiting Chair Professor, 2007-2014.
Central University of Finance and Economics (Beijing, China) – Visiting
Professor, Summer 2011/2012.
Hong Kong University – Visiting Assistant Professor, summer 1994.
JP Morgan,
Price Waterhouse, Freddie Mac, Grand Cathy Securities, Moody’s KMV, BlackRock, Morgan Stanley, UBS,
DTCC, IFE, CDIB.
COURSES TAUGHT
Columbia: Financial Econometrics II
Rutgers: Investment and Portfolio Analysis
National Taiwan University: Capital Market Theory, Seminar on Term Structure
Fordham: Financial Innovations and Intermediation, Philosophy of Business Research
Fordham: AI in Asset Management, Risk Management, Financial Modeling II, Credit Risk Management, Advanced Derivatives, Large-scale Data Analysis
Rutgers: Financial Modeling II
Fordham: Global Risk Management
Fordham: Real Estate Finance, Mortgage Backed Securities, Global Risk Management
Rutgers: Analysis of Fixed Income, Investments, Futures and Options
University of Pittsburgh: Financial Engineering, Advanced Corporate Finance, Interest Rate Derivatives, Investments, Futures and Options
Hong Kong University: Derivatives
National Taiwan University: Real Estate Finance & Mortgage Backed Securities
Fordham: Futures and Options
Rutgers: Business Forecasting, Futures and Options, Introduction to Financial Management, Real Estate Finance & Mortgage Backed Securities, Advanced Corporate Finance, Fundamentals of Accounting
University of Illinois: Investments, Introduction to Financial Management
1. “A Model-free Lattice,” with Pei-Lin Hsieh, Jeffrey Huang, and Hongbiao Zhao, Journal of Risk and Financial Management, forthcoming, 2025.
2. “A Graphic Model for the Term Structure of Interest Rates,” with Pei-Lin Hsieh, Jeffrey Huang, and Alina Luo, Journal of Fixed Income, forthcoming, 2024.
3. “Is Taiwan Stock Market (Swarm) Intelligent?” Information, forthcoming, 2024.
4. “GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model,” with Leon Li and Frank Fabozzi, Journal of Derivatives, forthcoming, 2024.
5. “Systemic Risk and Bank Networks: A Use of Knowledge Graph with ChatGPT,” with Ren-Yuan Lyu, Chung, San Lin, and Yilu Zhou, FinTech, forthcoming, 2024.
6. “Search on a NK Landscape with Swarm Intelligence: Limitations and Future Research Opportunities," with Cameron Miller and Puay Khoon Toh, Algorithms, forthcoming, 2024.
7. “From Liquidity Risk to Systemic Risk: A Use of Knowledge Graph,” with Xiaohu Zhang, Journal of Financial Stability, 70, 2024.
8. “Using Graphics Processing Unit (GPU) to Evaluate American-Style Derivatives,” with Leon Li, Journal of Financial Data Science, 5(3), 2023.
9. “Modeling Firm Search and Innovation Trajectory Using Swarm Intelligence,” with Cameron D. Miller and Puay Khoon Toh, Algorithms, 16(2), 2023
10. “CMS Spread Options Pricing under the CHH model: CMS Spread Options Pricing,” with Pei-lin Hsieh and Xiaowei Li, Journal of Fixed Income, 33(2), 2023.
11. “Predictive Power of the Implied Volatility Term Structure in the Fixed-Income Market,” with Pei-lin Hsieh, Xiaowei Li, and Jeffrey Huang, Journal of Futures Markets, 43(3), 2023.
12. “Index Tracking: A Stock Selection Model using Particle Swarm Optimization,” Journal of Investing, 32(2), 2023.
13. “An Exact Structural Model for Evaluating Credit Default Swaps: Theory and Empirical Evidence,” with Pei-Lin Hsieh, Journal of Fixed Income, 32(3), 2023.
14. “Ultra Treasury Bond Futures,” with Dean Leistikow and Shih-Kuo Yeh, Journal of Fixed Income, 33(2), 2023.
15. “Stock Liquidity Risk and Cash Reservation,” with Wan-Ru Yang and Shih-Kuo Yeh, Review of Pacific Basin Financial Markets and Policies, 25(4), 2022.
16. “A New Look at the Swing Contract: From Linear Programming to Particle Swarm Optimization,” with Tapio Behrndt, Journal of Risk and Financial Management, 15(6), 2022.
17. “Spot Asset Carry Cost Rates and Futures Hedge Ratios,” with Dean Leistikow and Yuewu Xu, Review of Quantitative Finance and Accounting, Vol. 58, No. 4, p. 1741-1779, 2022.
18. “On the Black-Litterman Model: Learning to Do Better,” with Shih-Kuo Yeh and Xiaohu Zhang, Journal of Financial Data Science, Vol. 4, No. 3, 2022.
19. “Particle Swarm Optimization Approach to Portfolio Construction,” with Kaihua Huang and Shih-Kuo Yeh, Intelligent Systems in Accounting, Finance and Management, Vol. 28, No. 3, p.182-194, 2021.
20. “An Artificial Intelligence Approach to the Valuation of American-style Derivatives: A Use of Particle Swarm Optimization,” with William Huang, Jeffrey Huang, and Robert Yu, Journal of Risk and Financial Management, Vol. 14, No. 2, 2021.
21. “CDS-Implied Risk of U.S. Delinquency: Implications for the U.S. Debt Ceiling,” with John Finnerty and Bruno Kamdem, Journal of Fixed Income, Vol. 31, No.1, p.6-26, Summer, 2021 (lead article) .
22. “An Examination of Ex Ante Risk and Return in the Cross Section Using Option- Implied Information,” with Dongcheol Kim and Tai-Yong Roh, European Journal of Finance, Vol. 26, Issue 16, May 2020.
23. “Futures Minimum Variance Hedge Ratio Determination: An ex-ante Analysis,” with Dean Leistikow and Andrew Wang, North American Journal of Economics and Finance, Vol. 54, November 2020.
24. “A Resolution to Valuation Conflicts of Swaptions/Caps and OIS/LIBOR,” with Pei-lin Hsieh, Joe Huang, and Jeffrey Huang, Journal of Fixed Income, Vol. 28, No.3, p.68-87, Winter 2019.
25. “Default Risk and Cross Section of Returns,” with Nusret Cakici and Sris Chatterjee, Journal of Risk and Financial Management, Vol. 12, Issue 2, May 2019.
26. “Futures Hedge Ratios and Spot Carry Cost Rate Variation,” with Dean Leistikow, Journal of Risk and Financial Management, Vol. 12, Issue 2, May 2019.
27. “Crash Risk and Risk Neutral Densities,” with Pei-lin Hsieh and Jeffrey Huang, Journal of Empirical Finance, Vol. 47, Issue C, p. 162-189, 2018.
28. “It’s Time to Shift Log-normal,” with Pei-lin Hsieh and Jeffrey Huang, Journal of Fixed Income, Vol. 27, No. 2, p. 37-51, Fall, 2017.
29. “What Lies Beneath the Implementation of Expensing Equity-based Compensation?” with Ting-Kai Chou and Hsuan-Chu Lin, Pacific-Basin Finance Journal, p. 78-93, December 2017.
30. “The Liquidity Impact on Firm Values: the Evidence of Taiwan’s Banking Industry,” with Seiko Yeh and Tung-Hsiao Yang, Journal of Banking and Finance, Vol. 82, p. 191-202, September 2017.
31. “Economic Growth Potential Creating a Real Put and the Resulting Valuation of the Firm,” with Michael Long, Xiaoli Wang, and Jingfeng Zhang, Review of Quantitative Finance and Accounting, Vol. 47, No. 3, 2016 (lead article).
32. “A Liquidity Index,” with Wenlin Lin and He Wei, Journal of Fixed Income, Vol. 25, No. 4, p. 5-19, Spring 2016 (lead article)
33. “A Closed-form Solution to a Liquidity Discount Problem: with an Application to the Liquidity Crisis,” with Bo Li, Journal of Fixed Income, Vol. 25, No. 2, p. 7-24, Fall 2015 (lead article)
34. “The Valuation of Compound Options: a Correction and an Extension,” with Wei He, Journal of Derivatives, Vol. 22, No. 4, p. 92-104, Summer 2015.
35. “Evaluation of Conducting Capital Structure Arbitrage Using the Multi-Period Extended Geske-Johnson Model,” with Hann-Shing Ju and Shih-Kuo Yeh, Review of Quantitative Finance and Accounting, Vol. 44, No. 1, p. 89-111, January 2015.
36. “Liquidity Discount in the Opaque Market: the Evidence from Taiwan’s Emerging Stock Market,” with Chung-Ying Yeh and Shih-Kuo Yeh, Pacific Basin Finance Journal, Vol. 29, p. 297-309, 2014.
37. “Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis,” with N. K. Chidambaran, Michael Imerman, and Ben Sopranzetti, Journal of Banking and Finance, Vol. 45, p. 117-139, August 2014.
38. “The Impact of Credit Rating Announcements on Credit Default Swap Spreads,” with John Finnerty and Cameron Miller, Journal of Banking and Finance, Vol. 37, No. 6, p. 2011-2030, June 2013.
39. “Valuing Financial Assets with Liquidity Discount: An Implication to Basel III,” with William Filonuk, Dilip Patro, and An Yan, Journal of Fixed Income, Vol. 22, No. 3, p. 45-63, December 2013.
40. “Dynamic Interaction between Interest Rate and Credit Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads,” with Xiaolin Cheng and Liuren Wu, Review of Finance, Vol. 17, No. 1, p. 403-441, 2013 [published online: November 30, 2011].
41. “Valuing a Liquidity Discount,” Journal of Fixed Income, Vol. 21, No. 3, p. 59-73, Winter 2012.
42. “Analytical Bounds for Treasury Bond Futures Prices,” with S.K. Yeh, Review of Quantitative Finance and Accounting, Vol. 39, No. 2, p.209-239, 2012.
43. “Lower Bound of European Option Price,” with Hsuan-Chu Lin and Oded Palmon, Review of Quantitative Finance and Accounting, Vol. 38, No. 1, p.109-129, 2012.
44. “Risk-Adjusted Stock Information from Option Prices,” with Dongcheol Kim and Durg Panda, Review of Futures Markets, Vol. 19, No. 2, p. 107-144, 2010.
45. “Inflation, Fisher Equation, and The Term Structure of Inflation Risk Premia: Theory and Evidence from TIPS,” with Xiaolin Cheng and Bo Liu, Journal of Empirical Finance, Vol. 17, No. 5, p. 702-721, 2010.
46. “Corporate Credit Default Swap Liquidity and Its Implications for Corporate Bond Spreads,” with Frank Fabozzi and Ronald Sverdlove, Journal of Fixed Income, Vol. 20, No. 2: p. 31-57, Fall 2010,
47. “Default Prediction of Various Structural Models,” with Frank Fabozzi, Sing-yang Hu and Ging-ging Pan, Journal of Credit Risk, Vol. 6, No. 2, Summer 2010.
48. “A Risk-Based Evaluation of the Free-Trader Option,” with Frank Fabozzi, Quantitative Finance, Vol. 10, No. 3, p. 235-240, March 2010.
49. “Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence,” with Han-Hsing Lee and Cheng Few Lee, International Journal of Information Technology & Decision Making, Vol. 8, No. 4, p. 629-675, 2009.
50. “Empirical Performance of the Constant Elasticity Variance Option Pricing Model,” with Cheng-few Lee and Han-Hsing Lee, Review of Pacific Basin Financial Markets and Policies, Vol. 12, No. 2, pp. 1-41, 2009.
51. “Embedded Options in Treasury Bond Futures Prices: New Evidence,” with Hann-Shing Ju and Shih-Kuo Yeh, Journal of Fixed Income, Vol. 19, No. 1, pp. 82-95, Summer 2009.
52. “An Empirical Analysis Of The CDX Index And Its Tranches,” with Frank Fabozzi, Shih-Kuo Yeh, and Yi-Chen Wang, Applied Financial Economic Letters, Vol. 16, No. 14, pp. 1425-1431, 2009.
53. “Estimation and Valuation of the Term Structure of Credit Default Swaps: An Empirical Study,” with Xiaolin Cheng and Bo Liu, Insurance: Mathematics and Economics, Vol. 43, No. 3, pp. 339-349, 2008.
54. “An Explicit, Multi-factor Credit Default Swap Pricing Model with Correlated Factors,” with Xiaolin Cheng, Frank Fabozzi, and Bo Liu, Journal of Financial and Quantitative Analysis, Vol. 43, No. 1, pp. 123-60, March 2008.
55. “Optimal strike prices of stock options for effort-averse executives,” with Oded Palmon, Sasson Bar-Yosef, and Itzhak Venezia, Journal of Banking and Finance, Vol. 32, No. 2, pp. 229-239, February 2008.
56. “Market Risk of Mortgage-Backed Securities With Consistent Measures,” with H. Liao and Tyler Yang, Journal of Real Estate Finance and Economics, Vol. 36, No. 1, pp. 121-140, January 2008.
57. “Exploring the Components of Credit Risk in Credit Default Swaps,” with Xiaolin Cheng and Frank Fabozzi, Finance Research Letters, Vol. 4, No. 1, pp.10-18, 2007.
58. “Sources of Credit Risk: Evidence from Credit Default Swaps,” with Frank Fabozzi, Ging-ging Pan, and Ron Sverdlove, Journal of Fixed Income (lead article), Vol. 16, No. 3, pp. 7-21, December 2006.
59. “A Non-Parametric Option Pricing Model: Theory and Empirical Evidence,” with Oded Palmon, Review of Quantitative Finance and Accounting (lead article), Vol. 24, No. 2, pp. 115-134, 2005.
60. “Multi-Factor CIR Models of the Term Structure: Estimates and Tests from a State-Space Model Using a Kalman Filter,” with Louis O. Scott, Journal of Real Estate Finance and Economics (lead article), Vol. 27, No. 2, pp. 143-172, September 2003.
61. “The Valuation of Default-Triggered Credit Derivatives,” with Ben Sopranzetti, Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, pp. 359-, 382, June 2003.
62. “A Note on Forward Price, Forward Measure,” with Jay Huang, Vol. 19, pp. 257-271, Review of Quantitative Finance and Accounting, 2002.
63. “Option Pricing in a Multi-Asset, Complete Market Economy,” with Tyler Yang and S.L. Chung, Journal of Financial and Quantitative Analysis, Vol. 37, No. 4, pp. 649-666, December 2002.
64. “A Simple Multi-factor, Time-dependent-parameter Model for Term Structures of Interest Rates,” with Tyler Yang, Review of Quantitative Finance and Accounting (lead article), Vol. 19, No. 1, pp. 5-20, 2002.
65. “Analytical Upper Bound for American Option Prices,” with S.H. Yeh, Journal of Financial and Quantitative Analysis, Vol. 37, No. 1, pp. 117-135, March 2002.
66. “A Universal Lattice” with Tyler Yang, July, Review of Derivatives Research, Vol. 3, No. 2, pp. 115-134, 1999.
67. “Valuing Fixed-Income Options and Mortgage-Backed Securities with Alternative Term Structure Models,” with Tyler Yang and Brian Maris, Journal of Business, Finance, and Accounting, Vol. 26, No. 1&2, pp. 33-56, January/March 1999.
68. “Pricing the Quality Option in Japanese Government Bond Futures,” with Bin-Huei Lin and Jian-Hsin Chou, Applied Financial Economics, Vol. 9, No. 1, pp. 51-65, February 1999.
69. “The Relevance of Interest Rate Processes in Pricing Mortgage-backed Securities,” with Tyler Yang, Journal of Housing Research, Vol. 6, No. 2, pp. 315-32, 1995.
70. “Interest Rate Options in Multi-Factor CIR Models of the Term Structure,” with Louis O. Scott Journal of Derivatives, pp. 53-72, Winter 1995.
71. “A Two-Factor Preference-Free Model for Interest Rate Sensitive Claims,” Journal of Futures Markets, Vol. 15, No. 3, pp. 345-72, May, 1995.
72. “Valuing Contingent Value Rights and Firm's Extension Decision,” Co-authored with John Wei, Journal of Financial Studies, Vol. 2, No. 1, pp. 105-125, July 1994.
73. “Maximum Likelihood Estimation of a Multi-Factor Equilibrium Model of the Term Structure of Interest Rates,” Co-authored with Louis O. Scott, Journal of Fixed Income, pp. 14-31, December 1993.
74. “Pricing Interest Rate Futures Options with Futures Style Margining,” Journal of Futures Markets, Vol. 13, No. 1, pp. 15-22, February 1993.
75. “The Constant Elasticity of Variance Family of Stock Prices in Option Pricing: Review and Integration” Co-authored with C.F. Lee, Journal of Financial Studies, Vol. 1, No. 1, pp. 29-51, July 1993.
76. “Pricing Interest Rate Options in a Two-factor Cox-Ingersoll-Ross Model of the Term Structure,” Co-authored with Louis O. Scott, Review of Financial Studies, Vol. 5, No. 4, pp. 613-36, 1992.
77. “A New Look at Interest Rate Futures Contracts”, Journal of Futures Markets, Vol. 12, No. 5, pp. 539-48, October 1992.
78. “Exact Solutions for Futures and European Futures Options On Pure Discount Bonds,” Journal of Financial and Quantitative Analysis, Vol. 27, No. 1, pp. 97-107, March 1992.
79. “Pricing Stock and Bond Options When the Default-Free Rate is Stochastic: A Comment,” Journal of Financial and Quantitative Analysis, Vol. 26, No. 3, pp. 433-34, September 1991.
non-refereed
80. “Predicting Stock Moves: An Example from China,” Advances in Pacific Basin Business, Economics and Finance, edited by Min-Te Yu, 2025.
81. “How Well Do Banks Manage Their Credit Risk? A DEA Approach,” Advances in Pacific Basin Business, Economics and Finance, forthcoming, edited by Min-Te Yu, 2023.
82. “A Martingale Restriction Test of Option Prices,” Advances in Financial Planning and Forecasting, Vol. 9, p. 183-205, 2018.
83. “Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence,” with Han-Hsing Lee and Cheng Few Lee, Handbook of Financial Econometrics, Mathematics, Statistics, and Technology, p. 1649-1706, 2019.
84. “Empirical Performance of the Constant Elasticity Variance Option Pricing Model,” with Cheng-few Lee and Han-Hsing Lee, Handbook of Financial Econometrics, Mathematics, Statistics, and Technology, 2019.
85. “The Economic Cost of Myopic Going Concern Practice,” with Hsuan-Chu Lin and Mike Long, Advances in Pacific Basin Business, Economics and Finance, pp. 77-104, edited by Min-Te Yu, 2018.
86. “The Multi-period Agency Problem and Resulting Disappearance of Sinking Funds,” with Hsuan-Chu Lin and Mike Long, Advances in Financial Planning and Forecasting, edited by Bin-Hui Lin, 2018.
87. “A Generalized Framework of Credit Risk Modeling,” Encyclopedia of Finance, 2nd edition, edited by C.F. Lee, Springer, 2013.
88. “Fixed Income Total Return Swaps,” with Frank Fabozzi, Mark Anson, and Moorad Choudhry, Handbook of Finance, edited by Frank Fabozzi.
89. “Credit Risk Modeling using Structural Models,” with Frank Fabozzi, Mark Anson, and Moorad Choudhry, Handbook of Finance, edited by Frank Fabozzi.
90. “Pricing Interest Rate Derivatives using Factor Models,” with Louis Scott, Handbook in Quantitative Finance, edited by C.F. Lee.
91. “What is behind the Smile? Fat Tails or Transaction Costs,” with Oded Palmon and John Wald, Chapter 36, Handbook in Quantitative Finance, edited by C.F. Lee.
92. “Dividends vs. Reinvestments in Continuous Time: A More General Model,” with Larry Shepp, Ben Logan, and Oded Palmon, Handbook in Quantitative Finance, edited by C.F. Lee.
93. “Displaced Log Normal and Lognormal American Option Pricing: A Comparison” with C. F. Lee, Handbook in Quantitative Finance, edited by C.F. Lee.
94. “Credit Risk Modeling: A Review” with Jinzhi Huang, Encyclopedia of Finance, edited by C.F. Lee, Springer, 2005.
95. “On the CEV Option Pricing Models -- New Evidence from S&P 500 Index Options,” with C.F. Lee and Ta-Peng Wu, Advances in Quantitative Analysis of Finance and Accounting, Vol. 7, No. 2, p. 173-190, (June) 2004.
96. “Capital Budgeting in Continuous Time, Complete Market Economy,” with C.F. Lee, Advances in Quantitative Analysis of Finance and Accounting, Vol. 10, p.117-138, 2002.
97. “Credit Default Swaps: Market and Valuation” a chapter in Professional Perspectives on Fixed Income Portfolio Management, Vol. 4, John Wiley & Sons, 2003.
98. “Pricing and Hedging Interest Rate Risks with the Multi-Factor Cox-Ingersoll-Ross Model,” with Louis Scott, Advances in Fixed Income Valuation Modeling and Risk Control, Fabozzi Publishing, 1996.
99. “Pricing Bond Options through Factor Models,” Derivatives Week, January 31, 1994.
in Chinese
100.
「透過信用違約交換報價與公司債殖利率萃取流動性風險因子之探討」葉宗穎、葉仕國、陳仁遶，台大管理論叢，第卅二卷第一期，1-46, 2021 (lead
article).[1]
101. 「選擇權隱含風險中立機率密度函數之解釋能力與預測能力的檢驗：以外幣選擇權為例」黃昭景、陳仁遶、葉仕國，期貨與選擇權學刊，第十卷第二期，1-50, August, 2017 (lead article).[2]
102. 「臺灣股票上市櫃公司資產流動性折扣之研究」葉仕國、陳仁遶、葉宗穎、林丙輝，證券市場發展季刊，第二十七卷第一期，1-32, 2015 (lead article).[3]
103. 「房貸基礎證券評價與風險值－風險中立訂價法與均衡訂價法之比較」廖咸興、張森林、陳仁遶、楊太樂、廖堃宇，財務金融學刊，第十五卷第二期，1-42, June, 2007 (lead article).[4]
104. 「折現率變動下之收益還原法模型－台北市住宅性不動產估價之實證研究」陳益裕、廖咸興、陳仁遶，台灣土地金融季刊，第卅三卷第三期，47-66, September, 1994.[5]
105. 「抵押貸款訂價模型之效率性－數值分析模型與封閉型解模型之比較」陳仁遶、廖咸興、楊太樂，證券市場發展季刊，第七卷第二期，29-46, April, 1995.[6]
BOOKS
1. Financial Mathematics, Global Social Science Institute, 2009, 2013.
2. Credit Derivatives: Instruments, Applications, and Pricing, with Frank Fabozzi, Mark Anson, and Moorad Choudhry, John Wiley & Sons, 2003.
3. 雙率風險管理 (Managing Dual Rate Risks) with Mao-Wei Hung, Hua-Tai Publishing, 1997.
4. Understanding and Managing Interest Rate Risks, World Scientific, 1996.
completed
1.
“A Graphic Model for the Term Structure of Interest
Rates,” with Peilin Hsieh, Jeffrey Huang, and Alina Luo.
2.
“Using Graphics Processing Unit (GPU) for the
Longstaff-Schwatz Model,” with Leon Li.
3.
“A Graphic Model for the Term Structure of Interest
Rates,” with Pei-Lin Hsieh, Jeffrey Huang, and Alina Luo.
4.
“A
Hierarchical GRF Model for Liquidity Estimation,” with Tyler Yang.
5.
“Swarm
Intelligence for Corporate Choices,” with Cameron Miller and P.K. Loh.
6.
“Evaluation of
Swing Contracts with Multiple Facilities,” with Tapio Behrndt.
7.
“Learning the Residuals: A Machine Learning Approach,”
with Leon Li and Guillermo Alvarez.
8.
“A Model-free
Lattice,” with Pei-Lin Hsieh.
9.
“Constructing
the Implied Volatility Sufrace with the Correct Wings,” with Yuewu Xu and
Xiangkun Yao.
10.
“The multi-period Agency Problem,” with Hsuan-Chu Lin
and Michael Long, October 2007.
11. “The Structural Agency Problem and Going Concern Rules,” with Hsuan-Chu Lin and Michael Long, October, 2007.
12. “Credit Spread Bounds and Their Implications for Credit Risk Modeling,” July, 2001, under 2nd review at Management Science.
13. “Stochastic Volatility and Jumps in Interest Rates: An Empirical Analysis,” with Louis O. Scott, January, 2002, under 2nd review at Journal of Financial and Quantitative Analysis.
14. “Valuing Bond Futures with the Quality Option,” with Peter Carr, 1996.
15. “Can Stock Returns Reject Normality? A Fat Tail Puzzle”
in progress
16. “Pricing CDOs,” with Louis Scott.
17. “A Non-Parametric Model For Default Prediction,” with Hsuan-Chu Lin and Ging-ging Pan.
18. “Liquidity Quantification and Gamma Risk,” with Sanlin Chung.
19. “Pricing Synthetic CDOs with Fourier Inversion,” with Jun Zang.
20. “The Valuation of Credit Default Swaps and the Delivery Option” with Frank Fabozzi and Frank Zhang.
21. “Credit Ratings using Market Information,” with Jeffery Huang.
ACADEMIC
PRESENTATIONS
“A Graphic Model for the Term Structure of Interest Rates”
Presented at 2023 Financial Engineering Society, Taipei, Taiwan.
“A New Look at the Swing Contract: From Linear Programming to Particle Swarm Optimization”
Presented at 2022 11th International Conference of the Financial
Engineering and Banking Society, June 10 ~ 12, London, U.K.
“CDS-Implied Risk of U.S. Delinquency: Implications for the U.S. Debt Ceiling,”
Presented at 2021 57th Eastern Finance Association, April 7-10, online.
“Liquidity”
Chair, 2020 FMA, October 19-23, online.
“Cash Holdings and Liquidity Risk,”
Presented at 2020 27th Annual Conference of the Multinational Finance
Society, June 28 - July 1, Gdańsk, Poland.
“No Free
Lunch Episode Two: A Supply-side Model to Explain the Moment Risk Premia,”
Presented at 2019 IBEFA Summer meetings (June 28~ 30, 2019) in San
Francisco, California.
Presented at 2019 World Finance Conference (July 24~26)- Santiago de
Chile
“An
Examination of Ex Ante Risk and Return in the Cross Section Using
Option-Implied Information,”
Presented at 8th (October 18~19, 2019) International Conference on
Futures and Other Derivatives, Hangzhou, China.
Presented at 2019 New Zealand Finance Meeting, Auckland, New Zealand.
“Crash
Risk and Risk Neutral Densities,”
Presented at 25th (June 24-27, 2018) Annual Conference of the
Multinational Finance Society, Budapest, Hungary.
“An
Integrated Model for Swaptions and Caps”
Presented at the 2nd (November 3~5, 2017) Eastern Conference on
Mathematical Finance, New York.
“Information Contents of Risk Neutral Densities at the FX Market”
Presented at the 2017 FMA European Conference in Lisbon, Portugal.
“Strengthening the Efficiency and Capacity of Financial Institutions in the Age of Big Data and Sustainable Development”
Presented at the 2016 2nd International workshop on Big Data for Sustainable Development with IEEE Big Data in Washington D.C.
“A Liquidity Index”
Presented at the 2016 INFINITI Conference in Dublin, Ireland.
Presented at the 2014 Federal Reserve Bank of Cleveland and Office of
Financial Research, Washington D.C.
“The Liquidity Impact on Firm Values: The Evidence
of Taiwan's Banking Industry”
Presented at the 2014 Fordham-JBF Conference, Xiamen, China.
“Valuing Financial Assets with Liquidity Discount:
An Implication to Basel III”
Presented at the 2013 Institut Louis Bachelier 6th Financial Risks
International Forum in Paris, France.
Presented at the 2013 BIS 2nd International Conference on Credit
Analysis and Risk Management in Basel, Switzerland.
“The
Impact of Credit Rating Announcements on Credit Default Swap Spreads”
Presented at the 2011 European FMA Annual
Meetings at Porto, Portugal.
Presented at the 2011 FMA Annual Meetings at
Denver, Colorado.
“On the
Ex-Ante Cross-Sectional Relation Between Risk and Return Using Option-Implied
Information”
Presented at the 2010 FMA Annual Meetings at
New York, New York.
“Defining
and Measuring a Multi-period Agency Problem”
Presented at the 2010 AAA Annual Meetings at
San Francisco, California.
“Implied
Default Probability and Capital Requirements in a Financial Crisis: The Case of
Lehman Brothers”
Presented at the 2013 Fordham-JBF Conference on Risk Management and
Reform of Bank Regulation, Beijing, China.
Presented at the 2009 FMA Annual Meetings at
Reno, Nevada.
Presented at the 2009 Review of Quantitative Finance and Accounting
Meetings at Piscataway, New Jersey.
“Corporate Credit Default Swap
Liquidity and Its Implications for Corporate Bond Spreads”
Presented at the 2008 FMA Annual Meetings at
Dallas, Texas.
Accepted at the 2008 Mid-Atlantic Research Conference in Finance (MARC),
Villanova, Pennsylvania.
Presented at the 2008 FDIC Derivative Securities and Risk Management
Conference, Arlington, Virginia.
“Lower Bound of European Option Price”
Presented at the 2008 FMA Annual Meetings at
Dallas, Texas.
“The Structural Agency Problem and Going Concern
Rules”
Presented at the 2007 AAA Annual Meetings at
Chicago, Illinois.
Presented at the 2007 FMA Annual Meetings at
Orlando, Florida.
“The Extended Geske-Johnson Model and Its
Consistency with Reduced Form Models,” (top 10% paper)
Presented at the 2006 FMA Annual Meetings at
Salt Lake City, Utah.
“Explaining
the Volatility Smile: Reduced Form vs. Structural Option Models,”
Presented at the 2006 FMA Annual Meetings at
Salt Lake City, Utah.
“Sources
of Credit Risk: Evidence from Credit Default Swaps”
Presented at the 2006 FMA Annual Meetings at
Salt Lake City, Utah.
“Analytical
Bounds for Treasury Bond Futures Prices”
Presented at the 2005 8th Conference of the Swiss Society for Financial
Market Research at Zurich.
“An
Explicit, Multi-factor Credit Default Swap Pricing Model with Correlated
Factors”
Presented at the 2005 FMA Annual Meetings at
Chicago, Illinois.
“The
Valuation of TIPS with an Analytical Two-Factor Cox-Ingersoll-Ross Term
Structure Model with Correlated Factors”
Presented at the 2005 FMA Annual Meetings at
Chicago, Illinois.
“Optimal
Strike Prices of Stock Options for Effort Averse Executives”
Presented at the 2005 FMA Annual Meetings at
Chicago, Illinois.
Presented at the 2004 AAA annual meetings in Orlando, Florida.
Presented at the 2004 European Finance Association meetings in
“Bounds
for Treasury Bond Futures and the Delivery Options,”
Presented at the 2003 Annual ACME meetings
in Seattle, Washington.
“An
Equilibrium Model for MBS Pricing,”
Presented at the 2003 Annual Lecture Series of Home Hoyt Advanced Study
Institute, West Palm Beach, Florida.
“Credit
Risk Modeling: A General Framework,”
Presented at the Washington Federal Reserve
Bank, Washington D.C., 2003.
“Credit
Spread Bounds and Their Implications for Credit Risk Modeling,”
Presented at the 2002 the International Conference on Credit Risk in
Montreal, Canada.
Presented at the 2001 the 7-th Annual Derivatives Conference in New
York, New York.
Presented at the 2001 Review of Quantitative Finance and Accounting
Meetings in Piscataway, New Jersey.
“An
Empirical-Distribution-Based Option Pricing Model: Insights Into The Volatility
Smile Puzzle,”
Presented at the 2001 Review of Quantitative Finance and Accounting
Meetings in Piscataway, New Jersey.
“Pricing
Default Triggered Credit Derivatives,”
Presented at the 2000 Financial Management Association Meetings in New
Orleans, Louisiana.
Presented at the 2000 April
Eastern Finance Association Meetings in Myrtle Beach, South Carolina.
“Analytical Upper Bounds for American
Options,”
Presented at the 1999 Review of Quantitative Finance and Accounting
Meetings in Austin, Texas.
“An
Integrated Model for the Term and Volatility Structures of Interest Rates,”
Presented at the 1997 Financial Management
Association Meetings in Hawaii.
“A Universal
Lattice,”
Presented at the 1996 Financial Management Association Meetings in New
Orleans, Louisiana.
“Pricing
MBSs with a Multi-factor Term Structure Model: What Is Wrong with the
Single-factor Models?”
Presented at the 1995 Financial Management Association Meetings in New
York, New York.
“Multi-factor
Interest Rate Models for Mortgage-backed Securities,”
Presented at the 1995 AREURA Annual Meetings
in Washington D.C.
“Valuing
Bond Futures with the Quality Option,”
Presented at the 1994 American Finance Association Annual Meetings in
Boston, Massachusetts.
“Interest
Rate Processes in Mortgage Pricing: Relevancy and Irrelevancy,”
Presented at the 1994 AREURA Annual Meetings
in Boston, Massachusetts.
“Efficiency
of Mortgage Pricing Models: A Comparison between the Numerical Method and the
Closed Form Model,”
Presented at the 1993 AREURA Annual Meetings
in Anaheim, Califormia.
“Valuing
Contingent Value Rights and Firm's Extension Decision,”
Presented at the 1992 Financial Management Association Annual Meetings
in San Francisco, California.
“Implied
Stock Volatility and Market Efficiency,”
Presented at the 1992 Eastern Finance Association Annual Meetings in
Tampa, Florida.
“Distribution
Family of Stock Prices for Option Pricing: Review, Critique, and Empirical
Study,”
Presented at the 1991 Conference for Accounting and Quantitative Finance
in Buffalo, New York.
“Maximum
Likelihood Estimation of a Multi-Factor Equilibrium Model of the Term Structure
of Interest Rates,”
Presented at the 1990 American Finance Association Annual Meetings in
Washington D.C.
Presented at the 1990 Southern Finance Association Annual Meetings in
Savannah, Georgia.
“Closed
Form Solutions For Bond Futures And Options On Bond Futures,”
Presented at the 1990 Conference for Accounting and Quantitative Finance
in New Brunswick, New Jersey.
Presented at the Waterloo 1989 Bond Options
Conference in Waterloo, Canada.
INDUSTRY
PRESENTATIONS
“How Can
Academics and Practitioners Work in Better Collaboration?”
Presented at 2017 Global Derivatives
(November 1~3).
“Liquidity
and Systemic Risk”
Presented at 2014 the twelfth Quant Congress
(July 17).
“Credit Derivatives, Credit Risk Transfers, and Their Implications to the Crash of the Real Estate Bubble”
Presented at KDI 2012
the second annual conference in Seoul, Korea.
“Valuation
of Liquidity Discount”
Presented at S&P 2011 Advances in
Quantitative Credit Analysis.
Presented at 2011 GARP New York Charter.
HONORS
Excellence paper award, UMC Business Management Thesis Award, 2017.
Gladys Henry Crown Award for Faculty Excellence, 2014.
Frequent Recipient of Rutgers Business School FASIP Award (for excellent academic performances)
Finalist of 1993, 1992, 1991 School of Business Thomas Mott Teaching Award
Best paper in investments, Southeast Financial Association, 1993.
Finalist of 1991 FMA Dissertation Contest
GRANTS RECEIVED
Gabelli School Summer Grant 2012 – now
Faculty of Management 1999 – 2000, 2002 – 2009
University Research Council 1991, 1992
NSF Supercomputer Grant 1992/1 – 1993/2
Chicago Board of Trade 1991
Global Derivatives, Chicago, 2017
FED/JFSR, Washington D.C., 2014
Bachelier Conference, Paris, 2013
FERM, Taiwan, 2010
ACADEMIC SERVICES
Doctoral students advised
Chairman or Co-chairman of:
Te-Chien Lo (2012), Michael Imerman (2011)d, Durga Panda (2010), Ronald Sverdlove (2007)c, Mary Kay Scucci (2007)b, Xioalin Cheng (2006), Hsuan-Chu Lin (2006), Bo Liu (2006)a, Vadim Mezrin (2005), Da-Peng Wu (1996)a.
Committee member of:
Tzu Dai (current, Lee chairman), Keli Xiao (2013, Wu chairman), Hongyi Chen (2012, Lee chairman), Arnav Sheth (2007, Palmon chairman), Hang-Hsing Lee (2007, Lee chairman), Wei Wu (2007, Shafer chairman), Xiaoli Wang (2006, Long chairman), Paul Chiu (2004, Lee chairman), Helen (1996, Long chairman), Lili (1996, Lee chairman), Yurong Liu (1994, Lee chairman), Da-yeh Huang (1991, Lee chairman)
Committee member of (outside of finance):
Fang Chu (2009, NJIT, Nakayama chairman), Lakshminarasimhan (2005, stat, Singh chairman), Jun-ming Tsai (2004, econ, Lee chairman), Jun Liu (2004, stat, Shepp chairman)
Committee service
Executive committee, Midwest Financial
Association, 2008.
FFAC committee, Fordham, 2013.
Promotion
committee (Chair), Fordham, 2011 (Gautam Goswami), 2012 (Chiddi), 2013 (Steven
Raymar).
Journals serviced
Guest editor of:
Journal of Banking and Finance (Liquidity Risk, Reform of Bank Regulation, and Risk Management, 2013)
Journal of Banking and Finance (Financial Innovation and Bank Regulation, 2014)
Associate editor of:
Journal of Banking and Finance, Quarterly Journal of Finance and Accounting, Review of Derivatives Research, Taiwan Academy of Management Journal, Financial Analysis and Risk Management, Review of Pacific Basin Financial Markets and Policies.
Referee of:
Review of Economics and Statistics, Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Mathematical Finance, Journal of Economics and Dynamic Control, Management Science, Review of Quantitative Finance and Accounting, Journal of Banking and Finance, Journal of Futures Markets, Financial Management, Journal of Empirical Finance, Journal of Financial Markets, Review of Derivatives Research, Financial Analyst Journal, and others.
[1] “Extracting Liquidity Risk Factors by Credit Default Swap Quotation and Corporate Bond Yield,” with Seiko Yeh and Chung-Ying Yeh, NTU Management Review, Vol. 32, No. 1, 2021.
[2] “Explanatory and Predictive Powers of Option Implied Risk Neutral Density: Evidence from FX Options,” with Seiko Yeh and Jeffrey Huang, Journal of Futures and Options, Vol.10, No.2, August, 2017.
[3] “Investigate the Liquidity Discount on the Assets of Taiwan’s Listed Firms”, with Shih-Kuo Yeh, Chung-Yin Yeh, Bing-Huei Lin, in Journal of Securities Markets Development, Vol.27, No.1, 2015 (forthcoming).
[4] “Valuation of Mortgage backed Securities and Value at Risk,” with Hsien-Hsing Liao, Sanlin Chung, Tyler Yang, and Kun-Yu Liao, in Journal of Financial Studies, Vol.15, No.2, 1-42, June, 2007.
[5] “Net Present Value Method in Housing Price Estimation under Stochastic Interest Rates – an empirical study of Taipei,” with Yi-Yu Chen and Hsien-Hsing Liao, Journal of the Land Bank, Vol.33, No.3, 47-66, September, 1994.
[6] “Efficiency of Mortgage backed Securities Pricing Models – Closed Form versus Non Closed Form” with Hsien-Hsing Liao and Tyler Yang, in Journal of Securities Markets Development, Vol.7, No.2, 29-46, April, 1995.
d with Dr. Sopranzetti
c with Dr. Ravid
b with Dr. Hassan
a with Dr. Lee