Jia-hau Guo
Name Jia-hau Guo
Title Associate Professor
Education Ph.D. in International Business, National Taiwan University
Research expertise Asset Pricing, Financial Management, Financial computing
Office Tel No. 03-5712121 Ext. 57078
Fax 03-5729915
Email
Office Room 411, Management Building 1
Country School Name Department Degree
Taiwan National Taiwan University Department of International Business Ph.D.
Taiwan National Taiwan University Department of Computer Science and Information Engineering Master
Taiwan National Taiwan University Department of Computer Science and Information Engineering Bachelor
Organization Title Department Job Title Duration
National Chiao Tung University Graduate Institute of Finance Associate Professor 2011.08 ~ Up to today
National Chiao Tung University Graduate Institute of Finance Assistant Professor 2008.08 ~ 2011.07
National Taiwan University Department of International Business Adjunct Assistant Professor 2007.08 ~ 2012.07
Soochow University Department of Business Mathematics(Department of Financial Engineering and Actuarial Mathematics) Assistant Professor 2007.08 ~ 2008.07
Year Paper Title
2020 Guo, J.-H., and L.-F. Chang, Repeated Richardson Extrapolation and Static Hedging of Barrier Options under the CEV Model, Journal of Futures Markets, vol. 40, 6, pp. 974-988, 2020
2020 Guo, J.-H., and T.-S. Liu, Could VPIN Predict Bitcoin’s Crash?, Journal of Futures and Options, vol. 13, 1, pp. 43-82, 2020
2020 Guo, J.-H., and L.-F. Chang, A Generalization of Option Pricing to Price-Limit Markets, Review of Derivatives Research, vol. 23, pp. 145-161, 2020
2017 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Informationally Related Stocks, Journal of Financial Markets, vol. 34, pp. 31-47, 2017
2016 Chang, L.-F., J.-H. Guo, and M.-W. Hung, A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options, Journal of Futures Markets, vol. 36, 9, pp. 887-901, 2016
2013 Wang, Y.-J., H.-M. Chung, and J.-H. Guo, A Value-at-Risk Analysis of Carry Trades Using Skew-GARCH Models, Studies in Nonlinear Dynamics & Econometrics, vol. 17, 4, pp. 439-459, 2013
2011 Jia-Hau Guo , Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates , Journal of Futures Markets, vol. 31, 4, pp. 340-370, 2011
2009 Jia-Hau Guo, Mao-Wei Hung, Leh-Chyan So , A Generalization of the Brone-Adesi and Whaley Approach for the Analytic Approximation of American Options , Journal of Futures Markets, vol. 29, 5, pp. 478-493, 2009
2008 Jia-Hau Guo, Mao-Wei Hung , A generalization of Rubinstein's “Pay now, choose later” , Journal of Futures Markets, vol. 28, 5, pp. 488-515, 2008
2007 Jia-Hau Guo, Mao-Wei Hung , A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model , Applied Mathematical Finance, vol. 14, 4, pp. 339-345, 2007
2007 Jia-Hau Guo, Mao-Wei Hung , Pricing American Options on Foreign Currency with Stochastic Volatility, Jumps, and Stochastic Interest Rates , Journal of Futures Markets, vol. 27, 9, pp. 867-891, 2007
Year Paper Title
2019 Guo, J.-H., and L.-F. Chang, Asymmetric Jumps, Sampling, and Variance Swap Rates, The 2019 FMA European Conference, Jun. 12-14, 2019, Glasgow, Scotland
2018 Guo, J.-H., L.-F. Chang, An Accelerated Approach to Static Hedging Barrier Options: Richardson Extrapolation Techniques, The 2018 EFMA conference, 會議論文, Jun. 26-30, 2018, Milan, Italy
2017 Guo, J.-H., L.-F. Chang, An Efficient Scheme of Static Hedging Barrier Options: Richardson Extrapolation Techniques, The 2017 Meeting of World Finance Conference , 會議論文, Jul. 26-28, 2017, Cagliari, Italy
2016 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Connected Stocks, The 2016 EFMA conference, 會議論文, Jun. 29-Jul. 02, 2016, Basel, Switzerland
2015 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Informationally Related Stocks, The 2015 EFMA conference, 會議論文, 2015, Amsterdam, Netherland
2015 Chang, L.-F., J.-H. Guo, and M.-W. Hung, A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options, The 22th Annual Meeting of the Multinational Finance Society, 會議論文, 2015, Halkidiki, Greece
2014 會議論文, 2014
2013 會議論文, 2013
2013 會議論文, 2013
2012 Guo, J.-H., A Model of Stochastic Volatility with Asymmetric Jumps for Variance Swap Pricing, The 2012 FMA European Conference, Istanbul, Turkey, 會議論文, 2012
2011 Guo, J.-H., Y.-Y. Chou, M.-W. Hung, and W.-L. Huang, Equity Volatility, Default Probability, and Daily Price Limits: A New Hybrid Approach, 中部財金學術聯盟暨第八屆金融市場發展研討會, 會議論文, 2011
2011 Chou, Y.-Y, Jia-Hau Guo, M.-W. Hung, A New Approach to Market Data Calibration for Inflation-Indexed Securities, The 4th NCTU International Finance Conference, 會議論文, 2011
2011 Guo, J.-H., L.-F. Chang and Hsuan Rern, A Reexamination of Jump Effect on Credit Spreads with Noisy Information, The 18th Annual Meeting of the Multinational Finance Society, 會議論文, 2011
2011 Guo, J.-H., and W.-L. Huang, A Closed-form Solution for Options with Daily Price Limits, The 18th Annual Meeting of the Multinational Finance Society, 會議論文, 2011
2010 Guo, J.-H., and W.-L. Huang, A Closed-Form Solution for Options with Daily Price Limits , 2010台灣財務金融學會年會暨中部財金學術聯盟研討會, 會議論文, 2010
Year Book Title
2011 Handbook of Quantitative Finance and Risk Management, Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type, Springer, 978-0387771168, 2011
Year Participator Project Category Project Title Job Title Unit
2019 Research Projects
2018 郭家豪(Jia-Hau Guo) Research Projects 不連續現金股利、價格限制及提早履約溢酬：選擇權定價理論及實證之研究 計畫主持人 科技部
2017 Research Projects
2017 Research Projects
2016 郭家豪(Jia-Hau Guo) Research Projects Richardson插補法於新奇選擇權靜態避險及其定價之新創研究 計畫主持人 科技部
2015 Research Projects
2014 Research Projects 障礙選擇權之靜態複製避險法一般化之進階研究 計畫主持人 科技部
2011 郭家豪(Jia-Hau Guo) Research Projects 價格限制市場之選擇權定價模型與避險策略分析 計畫主持人 國科會
2012 Research Projects
2013 Research Projects
2010 Research Projects
2008 Research Projects
2007 Research Projects
2007 Research Projects
2017 Research Projects
2009 Research Projects 通貨膨脹預期與抗通膨債.評價模型：理論與實證研究 計畫主持人 國科會
Year Honor Category
2017 School Honor
2014 School Honor