陳俊洪老師

教師簡介 著作 計畫 學術榮譽
陳俊洪老師 姓　　名： 陳俊洪　　老師
職　　稱： 副教授
授課領域： 財務管理、投資學、期貨與選擇權、證券市場與分析、財務軟體應用
研究領域： 財務(財務工程、衍生性金融商品、固定收益證券)
Ｅ - Mail ： Edychen@ncut.edu.tw
分　　機： ext.7772

一、期刊論文

  1. Lian, Y. M., & Chen, J. H. * (2024). Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics. International Review of Economics & Finance, 94, 103392.
  2. Lian, Y. M., Chen, J. H.*, & Liao, S. L. (2024). Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics. International Review of Economics & Finance,93,503-519
  3. Lian, Y.M, & Chen, J.H.* (2023). Valuation of chooser options with state dependent risks. Finance Research Letters, 50,103527.
  4. Chen, J. H., Lian, Y. M., & Liao, S. L. (2022). Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes. The North American Journal of Economics and Finance, 61, 101699.
  5. Lian, Y. M., & Chen, J. H.* (2022). Foreign exchange option pricing under regime switching with asymmetrical jumps. Finance Research Letters, 46, 102294.
  6. Lian, Y. M., Chen, J. H., & Liao, S. L. (2021). Cojump risks and their impacts on option pricing. Quarterly Review of Economics and Finance. (科技部財務學門A- 級期刊)
  7. Lian, Y. M., & Chen, J. H.* (2021). Pricing virtual currency-linked derivatives with time-inhomogeneity. International Review of Economics and Finance, 71,424-439.
  8. Lian, Y. M., & Chen, J. H. (2020). Joint dynamic modeling and option pricing in incomplete derivative-security market. The North American Journal of Economics and Finance, 51, 100845.(SSCI)
  9. Lian, Y. M., & Chen, J. H. (2019). Portfolio selection in a multi-asset, incomplete-market economy. Quarterly Review of Economics and Finance, 71, 228-238. (科技部財務學門A- 級期刊)
  10. Yang, J.T.,Liao, S. L., & Chen, J. H. (2018). Analyzing target redemption forward contract under Levy process. International Research Journal of Finance and Economic,165,6-10.(Econlit)
  11. Lian, Y. M., Chen, J. H., & Liao, S. L. (2016). Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy. Finance Research Letters, 16, 208-219. .(SSCI)
  12. Lian, Y. M., Liao, S. L., & Chen, J. H. (2015). State-dependent jump risks for American gold futures option pricing. The North American Journal of Economics and Finance, 33, 115-133. .(SSCI)
  13. Liao, S. L., Chen, J. H., &Lian, Y. M. (2014). Stylized empirical features of asset return and American option pricing under time-changed Lévy processes. Soochow Journal of Economics and Business, (84),
  14. Liao, S. L., Tsai, M. S., Chen, J. H., & Li, C. H. (2013). Valuation of Convertible Bond UnderLévy Process with Default Risk. Journal of the Chinese Statistical Association, 50(2), 48-70. (Econlit)

二、研討會

  1. Chen J.H., Lian Y.M., & Bonala G.R (2023, Jun). Liquidity impact on option pricing under Levy dynamics. 2023年臺灣財務工程學會年會暨國際學術研討會。
  2. 陳俊洪,施存恩,吳志暉,楊政哲,馮晉瑋（2023年05月）。ESG分數對企業經營績效之關連探究。保險金融管理學術暨產學合作研討會研討會。
  3. Chen,J.H.,& Lian,Y.M (2022, Dec). Pricing vulnerable options under cross-asset Markov-modulated jump-diffusion dynamics. 2022 TRIA-FeAT聯合年會暨國際學術研討會。
  4. 陳俊洪,施存恩,吳志暉,楊政哲,蕭昕卉,林姵妤 （2022年07月）。Investigation of the relation between ESG rating and corporate performance。International Joint Conference on Management, Economics and Finance.
  5. Chen, J.H & Bonala G.R (2022, Jul). The impact of liquidity of underlying asset on option pricing. 第三十一屆南區統計研討會 暨 2022 中華機率統計學會年會及學術研討會。
  6. Lian, Y. M., Chen, J. H., & Liao, S. L. (2022, Jun). Valuation of Euro-convertible bonds in a Markov-modulated CIR economy. International Conference of the Taiwan Finance Association.
  7. Chen, J.H & Bonala G.R (2021, Dec). Liquidity impact on option pricing.第十七屆台灣作業研究學會年會暨國際研討會及第十九屆管理學術研討會。
  8. 陳俊洪,陳隆淵,簡上傑（2020年11月）。基金風險評等衡量之實證分析。第十 八屆管理學術國際研討會暨2020台灣數位媒體設計研討會。
  9. Chen, J. H., & Permatasari, S. S. (2019). Evaluating the influence of current ratio(CR),debt equity ratio (DER)and price earning ratio (PER) on stock prices.( 第十七屆管理學術國際研討會及2019台灣精實企業系統學會年會)
  10. Lian, Y. M., Chen, J. H., & Liao, S. L. (2019). Pricing catastrophe equity puts with counterparty risks under Markov-modulated default intensity processes.(Financial Engineering Association of Taiwan 2019 Annual Conference)

三、歷屆指導專題

  1. 杜邦方程式三因子對於台灣股市填權息效果之影響之探究(2020).
  2. 基金風險評等衡量之實證分析(2020).
  3. 股利宣告效果對於股價報酬影響之實證研究(2020).
  4. 機器學習下之產業分類與企業評價(2020).
  5. 美中貿易戰對於台灣產業的外溢效果-以事件研究法分析(2020).