Orbit

 戴天时
专任师资
姓名 戴天时
电子邮件 cameldai@mail.nctu.edu.tw
联络电话 03-5712121 Ext. 57054
传真 03-5729915
办公室 管理一馆M-410室
个人网站 http://financelab.nctu.edu.tw/
授课领域 财务工程与金融计算
研究专长 资讯科学、财务工程、金融计算、金融科技
职称 教授兼管理学院副院长
学历 国立台湾大学资讯工程博士
实验室 财务工程实验室
年度 论文名称
2009 Tian-Shyr Dai, Yuh-Dauh Lyuu , Accurate and efficient lattice algorithms for American-style Asian options with range bounds , Applied Mathematics and Computation, 209, 2, pp238-253, (SCI)
2009 Tian-Shyr Dai, Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree , Quantitative Finance, 9, 7, pp827-838, (SSCI)
2009 Tian-Shyr Dai, Hui-Ming Chung, Chun-Ju Ho, Wei-Ting Wang, Using the LIBOR Market Model to Price the Interest Rate Derivatives:A Recombining Binomial Tree Methodology , NTU Management Review, 20, pp41-68, (TSSCI)
2008 Tian-Shyr Dai, Li-Min Liu, Yuh-Dauh Lyuu, Linear-Time Option Pricing Algorithms by Combinatorics, Computers and Mathematics with Applications, 55, 9, pp2142-2157, (SCI)
2008 Tian-Shyr Dai, Yuh-Dauh Lyuu, Accurate approximation formulas for stock options with discrete dividends , Applied Economics Letters , 16, 16, pp1657-1663, (SSCI)
2008 Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, Adaptive placement method on pricing arithmetic average options, Review of Derivatives Research, 11, pp83-118, (Others)
2007 Tian-Shyr Dai, Yuh-Dauh Lyuu, An exact subexponential-time lattice algorithm for Asian options, Acta Informatica, 44, pp23-39, (SCI)
2007 Li Min Liu, Ching Yu Huang, Tian-Shyr Dai, George Chang, Enhanced SEA algorithm and fingerprint classification , International Journal of Computer Applications in Technology , 30, 4, pp295-302, (EI)
2006 Limin Liu, Tian-Shyr Dai, Ridge Orientation Estimation and Verification Algorithm for Fingerprint Enhancement, Journal of Universal Computer Science, 12, 10, pp1426-1438, (SCI)
2005 Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu, An efficient convergent lattice algorithm for European Asian options , Applied Mathematics and Computation, 169, 2, pp1458-1471, (SCI)
2005 Tian-Shyr Dai, Yuh-Yuan Fang, Yuh-Dauh Lyuu, Analytics for geometric average trigger reset options , Applied Economics Letters , 12, 13, pp835-840, (SSCI)
年度 论文名称
2009 Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, Yen-Chun Liu, An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process , ACM SAC'09 Symposium on Applied Computing, 会议论文
2009 Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, Yen-Chun Liu, An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process , 2009 FMA European Conference, 会议论文
2009 Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, A Novel Tree Model for Evaluating Credit Risk Based on Enhanced Structural Model , 44th EWGFM Meeting 2009, 会议论文
2009 Rodrigo Hernandez, Wayne Y Lee, Pu Liu, Tian-Shyr Dai, Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance1 , 44th EWGFM Meeting 2009, 会议论文
2008 Tian-Shyr Dai, Y. D. Lyuu, T.C. Chen, A Simple, and Efficient Tree Model for Option Pricing , MFA 2008 USA, 会议论文
2008 Tian-Shyr Dai, Y. D. Lyuu, The Bino-Trinomial Tree: A Simple Model For Efficient and Accurate Option Pricing , 2008 FMA European Conference Prague, Czech Republic, 会议论文
2008 Tian-Shyr Dai, K.-L Wang, T. Tai, A Novel Tree Model for Evaluating Credit Risk based on Enhanced Structure Model , Quantitative Mathematical Finance Conference 2008, 会议论文
2008 Tian-Shyr Dai, K.-L Wang, T. Tai, Pricing Snowball Notes with Hull-White Model and Quadrature Methods , TFA 2008, 会议论文
2007 Tian-Shyr Dai, Y.-D. Lyuu , An Efficient, and Fast Convergent Algorithm for Barrier Options , Lecture Notes in Computer Science 4508 – Algorithmic Aspects in Imfprmation and Management(2007), 会议论文, 2007-06-01-2007-06-01
2007 Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options, Lecture Notes in Computer Science 4508 – Algorithmic Aspects in Imfprmation and Management(2007), 会议论文, 2007-06-01-2007-06-01
2007 Tian-Shyr Dai, Shi-Gra Lin, Limin Liu, A Hybrid Importance Sampling Algorithm for VaR , 2007 The Second International Conference Innovative, 会议论文
2006 Tian-Shyr Dai, Y. D. Lyuu, An Accurate Approximate Analytical Formula for Stock Options with Known Dividends , 2006 NTU International Conference on Finance, 会议论文, 2006-12-13-2006-12-14
2006 Tian-Shyr Dai, Y. D. Lyuu, Accurate and Efficient Algorithms for Barrier Options, The 3rd Symposium on Risk Management and Cyber-Informatics, 会议论文, 2006-07-01-2006-07-01
2006 Tian-Shyr Dai, Y. D. Lyuu , Jerry Shea, The Trino-binomial Tree Model: A Simple, and Efficient Tree Model , Asian FA/FMA 2006 Meeting, 会议论文, 2006-07-01-2006-07-01
2006 Tian-Shyr Dai, Y. D. Lyuu, and L. M. Liu, Developing Efficient Option Pricing Algorithms by Combinatorial Techniques , The 2006 International Conference on Scientific Computing, 会议论文, 2006-06-01-2006-06-01
2006 L. M. Liu, Tian-Shyr Dai, A Hybrid Fingerprint Enhancement Algorithm , The 2006 International Conference on Image Processing, Computer Vision, & Pattern Recognition, 会议论文, 2006-06-01-2006-06-01
2005 Tian-Shyr Dai, Y.-D. Lyuu, Pricing Double Barrier Options by Combinatorial Approaches , Advances in Soft Computing— Soft Computing as Transdisciplinary Science and Technology, Springer-Verlag, 会议论文
2005 Tian-Shyr Dai, G.-S. Huang, Y.-D. Lyuu, Pricing Asian Options with an Efficient Convergent Approximation Algorithm , Advances in Soft Computing— Soft Computing as Transdisciplinary Science and Technology, Springer-Verlag, 会议论文
2004 Tian-Shyr Dai, J.C. Liu, C. C. Yang, Life insurance liability valuation with stochastic interest rates and continuous regulatory boundaries, The 12th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Business, 会议论文, 2004-08-01-2004-08-01
2004 Tian-Shyr Dai, Y. D. Lyuu, Analytics and Algorithms for Option Pricing on Stocks with Path-Dependent Dividends , 2004 Midwest Finance Association Annual Conference, 会议论文, 2004-03-01-2004-03-01
2004 Tian-Shyr Dai, Y. D. Lyuu, An Exact Subexponential-Time Lattice Algorithm for Asian Options , In Proceedings of ACM-SIAM Symposium on Discrete Algorithms, 会议论文, 2004-01-11-2004-01-13
国家 学校名称 系所 学位
中华民国 国立台湾大学 资讯工程学系 博士
中华民国 国立台湾大学 资讯工程学系 硕士
服务机关名称 单位 职务
国立交通大学 资讯与财金管理学系 副教授
国立交通大学 资讯与财金管理学系和资讯管理研究所 助理教授
中原大学 应用数学系 助理教授