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1

Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks

Lin, Shih-Kuei, Wang, Shin-Yun, Chen, Carl R., Xu, Lian-Wen

Journal:

The North American Journal of Economics and Finance

Année:

2017

Langue:

english

Fichier:

PDF, 684 KB

english, 2017

2

Risk management of deposit insurance corporations with risk-based premiums and credit default swaps

Wu, Yang-Che, Chen, Ting-Fu, Lin, Shih-Kuei

Journal:

Quantitative Finance

Année:

2020

Fichier:

PDF, 589 KB

2020

3

Stock Index Options Pricing under Jump Patterns Driven by Market States

Lin, Chao-Yang, Liu, Huimei, Lee, Jia-Ching, Lin, Shih-Kuei

Journal:

Emerging Markets Finance and Trade

Année:

2019

Langue:

english

Fichier:

PDF, 901 KB

english, 2019

4

Application of hidden Markov switching moving average model in the stock markets: Theory and empirical evidence

Shih-Kuei Lin, Shin-Yun Wang, Pei-Ling Tsai

Journal:

International Review of Economics & Finance

Année:

2009

Langue:

english

Fichier:

PDF, 426 KB

english, 2009

5

A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

Chang, Charles, Fuh, Cheng-Der, Lin, Shih-Kuei

Journal:

Journal of Banking & Finance

Année:

2013

Langue:

english

Fichier:

PDF, 910 KB

english, 2013

6

Pricing and Hedging European Energy Derivatives: A Case Study of WTI Oil Options

Hsu, Chih-Chen, Lin, Shih-Kuei, Chen, Ting-Fu

Journal:

Asia-Pacific Journal of Financial Studies

Année:

2014

Langue:

english

Fichier:

PDF, 873 KB

english, 2014

7

The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models

Lin, Shih-Kuei, Peng, Jin-Lung, Chao, Wei-Hsiung, Wu, An-Chi

Journal:

The North American Journal of Economics and Finance

Année:

2016

Langue:

english

Fichier:

PDF, 560 KB

english, 2016

8

Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

Shih-Kuei Lin, Ren-Her Wang, Cheng-Der Fuh

Journal:

Asia-Pacific Financial Markets

Année:

2006

Langue:

english

Fichier:

PDF, 395 KB

english, 2006

9

The valuation of contingent capital with catastrophe risks

Shih-Kuei Lin, Chia-Chien Chang, Michael R. Powers

Journal:

Insurance: Mathematics and Economics

Année:

2009

Langue:

english

Fichier:

PDF, 1.44 MB

english, 2009

10

Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes

Chia-Chien Chang, Shih-Kuei Lin, Min-Teh Yu

Journal:

Journal of Risk and Insurance

Année:

2011

Langue:

english

Fichier:

PDF, 318 KB

english, 2011

11

Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts

Ming-Chi Chen, Chia-Chien Chang, Shih-Kuei Lin and So-De Shyu

Journal:

Journal of Risk and Insurance

Année:

2010

Langue:

english

Fichier:

PDF, 1.54 MB

english, 2010

12

Fair valuation of mortgage insurance under stochastic default and interest rates

Wu, Yang-Che, Huang, Yi-Ting, Lin, Shih-Kuei, Chuang, Ming-Che

Journal:

The North American Journal of Economics and Finance

Année:

2017

Langue:

english

Fichier:

PDF, 913 KB

english, 2017

13

Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts

Ming-Chi Chen, Chia-Chien Chang, Shih-Kuei Lin, So-De Shyu

Journal:

Journal of Risk and Insurance

Année:

2010

Langue:

english

Fichier:

PDF, 410 KB

english, 2010

14

The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap

Shin-Yun Wang, Shih-Kuei Lin

Journal:

International Review of Economics & Finance

Année:

2010

Langue:

english

Fichier:

PDF, 449 KB

english, 2010

15

Foreign exchange option pricing in the currency cycle with jump risks

Lin, Chien-Hsiu, Lin, Shih-Kuei, Wu, An-Chi

Journal:

Review of Quantitative Finance and Accounting

Année:

2015

Langue:

english

Fichier:

PDF, 916 KB

english, 2015

16

A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices

Lin, Shih-Kuei, Lin, Chien-Hsiu, Chuang, Ming-Che, Chou, Chia-Yu

Journal:

Economic Modelling

Année:

2014

Langue:

english

Fichier:

PDF, 445 KB

english, 2014

17

Pricing gold options under Markov-modulated jump-diffusion processes

Lin, Shih-Kuei, Lian, Yu-Min, Liao, Szu-Lang

Journal:

Applied Financial Economics

Année:

2014

Langue:

english

Fichier:

PDF, 414 KB

english, 2014

18

An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risk

Wang, Ren-Her, Lin, Shih-Kuei, Fuh, Cheng-Der

Journal:

Asia-Pacific Journal of Financial Studies

Année:

2009

Langue:

english

Fichier:

PDF, 391 KB

english, 2009

19

[IEEE Second International Conference on Innovative Computing, Informatio and Control (ICICIC 2007) - Kumamoto, Japan (2007.09.5-2007.09.7)] Second International Conference on Innovative Computing, Informatio and Control (ICICIC 2007) - A Hybrid Importance Sampling Algorithm for Value-at-Risk

Dai, Tian-Shyr, Lin, Shih-Kuei, Liu, Li-Min

Année:

2007

Langue:

english

Fichier:

PDF, 207 KB

english, 2007

20

Empirical Performance and Asset Pricing in Hidden Markov Models

Fuh, Cheng-Der, Hu, Inchi, Lin, Shih-Kuei

Journal:

Communication in Statistics- Theory and Methods

Année:

2003

Langue:

english

Fichier:

PDF, 615 KB

english, 2003

21

[IEEE 2008 3rd International Conference on Innovative Computing Information and Control - Dalian, Liaoning, China (2008.06.18-2008.06.20)] 2008 3rd International Conference on Innovative Computing Information and Control - The Application of Levy Process with Stochastic Interest Rate in Structural Model

Lin, Shih-Kuei, Lin, Te-Cheng

Année:

2008

Langue:

english

Fichier:

PDF, 183 KB

english, 2008

22

Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes

Chia-Chien Chang, Shih-Kuei Lin and Min-Teh Yu

Journal:

Journal of Risk and Insurance

Année:

2011

Langue:

english

Fichier:

PDF, 1.77 MB

english, 2011

23

Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin, Lin, Shih-Kuei, Hung, Ming-Chin, Huang, Tzu-Hui

Journal:

Economic Modelling

Année:

2016

Langue:

english

Fichier:

PDF, 943 KB

english, 2016

24

Pricing derivatives with modeling CO 2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium

Li, Chang-Yi, Chen, Son-Nan, Lin, Shih-Kuei

Journal:

European Journal of Finance

Année:

2015

Langue:

english

Fichier:

PDF, 547 KB

english, 2015

25

The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices

Hsu, Chih-Chen, Chen, An-Sing, Lin, Shih-Kuei, Chen, Ting-Fu

Journal:

Review of Quantitative Finance and Accounting

Année:

2017

Langue:

english

Fichier:

PDF, 1.27 MB

english, 2017

26

Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market

Chuang, Ming-Che, Yang, Wan-Ru, Chen, Ming-Chi, Lin, Shih-Kuei

Journal:

European Journal of Finance

Année:

2017

Langue:

english

Fichier:

PDF, 1.23 MB

english, 2017

27

Valuation and empirical analysis of currency options

Chuang, Ming-Che, Wen, Chin-Hsiang, Lin, Shih-Kuei

Journal:

International Review of Economics & Finance

Année:

2020

Langue:

english

Fichier:

PDF, 897 KB

english, 2020

28

Valuation and empirical analysis of currency options

Chuang, Ming-Che, Wen, Chin-Hsiang, Lin, Shih-Kuei

Journal:

International Review of Economics & Finance

Année:

2020

Fichier:

PDF, 897 KB

2020

29

Excess volatility and market efficiency in government bond markets: the ASEAN-5 context

Tang, Kin-Boon, Wong, Shao-Jye, Lin, Shih-Kuei, Liao, Szu-Lang

Journal:

Journal of Asset Management

Année:

2020

Fichier:

PDF, 1.93 MB

2020

30

Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index

Wang, Shin-Yun, Chuang, Ming-Che, Lin, Shih-Kuei, Shyu, So-De

Journal:

Review of Quantitative Finance and Accounting

Année:

2020

Fichier:

PDF, 3.03 MB

2020