Tian-Shyr Dai
Name Tian-Shyr Dai
Title Professor
Education PhD, National Taiwan University
Research expertise Pricing Path-Dependent Derivatives, Pricing Asian Options With Lattices, Financial Engineering and Computation, Risk Management, Derivative Pricing, Credit Risk
Discipline Financial Engineering and Computation Stochastic Calculus for Finance
Office Tel No. 03-5712121 Ext. 57054
Fax 03-5729915
Email
Email xyz@rulingcom.com
Office Room 410, Management Building 1
Personal Website https://finance.lab.nycu.edu.tw/
Personal site https://finance.lab.nycu.edu.tw/
Country School Name Department Degree
Taiwan National Taiwan University Department of Computer Science and Information Engineering Ph.D.
Taiwan National Taiwan University Department of Computer Science and Information Engineering M.S.
Organization Title Department Job Title Duration
National Chiao Tung University Department of Information and Finance Management Associate Professor 2009.01 ~ Up to today
National Chiao Tung University Department of Information and Financial Management and Institute of Information Management Assistant Professor 2006.01 ~ 2009.01
Chung Yuan Christian University Department of Applied Mathematics Assistant Professor 2004.01 ~ 2006.01
Year Paper Title
2018 Chuan-Ju Wang , and Tian-Shyr Dai, An Accurate Lattice Model for Pricing Catastrophe Equity Put Under the Jump-Diffusion Process, IEEE Computational Intelligence Magazine, 13, 2018
2017 Jr-Yan Wang and Tian-Shyr Dai, A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds, Journal of Derivatives, 24, 2017
2016 Liang-Chiu Liu, Tian-Shyr Dai and, Chuan-Ju Wang, Evaluating Corporate Bonds and Analyzing Claim Holders' Decisions with Complex Debt Structure, Journal of Banking and Finance, 72, 2016
2015 Tian-Shyr Dai, Sharon Yang, and Liang-Chiu Liu, Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks, Insurance: Mathematics and Economics, 64, 2015
2015 Chun-Yuan Chiu ,Tian-Shyr Dai, and Yuh-Dauh Lyuu, Pricing Asian Option by the FFT with Higher-Order Error Convergence Rate under Levy Processes, Applied Mathematics and Computation, 252, 2015
2014 Chuan-Ju Wang ,Tian-Shyr Dai, and Yuh-Dauh Lyuu, Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions, European Journal of Operational Research, 237, 2014
2014 Tian-Shyr Dai and Chun-Yuan Chiu, Pricing barrier stock options with discrete dividends by approximating analytical formulae, Quantitative Finance, 14, 2014
2013 Tian-Shyr Dai and Chuan-Ju Wang, Realized Tax Benefits and Capital Structure, Int. J. of Bonds and Currency Derivatives, 1, 2013
2013 Sharon Yang and Tian-Shyr Dai, A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions, Mathematics and Economics, 52, 2013
2013 Tian-Shyr Dai, Chuan-Ju Wang, and Yuh-Dauh Lyuu, A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables, Journal of Futures Markets, vol. 33, 9, 2013
2013 Rodrigo Hernandez,Wayne Lee, Pu Liu, and Tian-Shyr Dai, Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance, Review of Quantitative Finance and Accounting, vol. 40, 4, 2013
2011 Limin Liu, and Tian-Shyr Dai, A Reliable Fingerprint Orientation Estimation Algorithm, JOURNAL OF INFORMATION SCIENCE AND ENGINEERING, 27, 2011
2010 Tian-Shyr Dai, Yuh-Dauh Lyuu, Chuan-Ju Wang, and Yen-Chun Liu, An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-diffusion Process, Applied Mathematics and Computation, 217, 2010
2010 Tian-Shyr Dai and Yuh-Dauh Lyuu, The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing, Journal of Derivatives, 17, 2010
2009 Tian-Shyr Dai, Yuh-Dauh Lyuu , Accurate and efficient lattice algorithms for American-style Asian options with range bounds , Applied Mathematics and Computation, vol. 209, 2, pp. 238-253, Mar. 2009
2009 Tian-Shyr Dai and Limin Liu, A Hybrid Importance Sampling Algorithm for Estimating VaR Under the Jump Diffusion Model, Journal of Software Engineering and Applications, 2, 2009
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, vol. 20, pp. 41-68, 2009
2009 Tian-Shyr Dai, Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree , Quantitative Finance, vol. 9, 7, pp. 827-838, 2009
2008 Tian-Shyr Dai, Li-Min Liu, Yuh-Dauh Lyuu, Linear-Time Option Pricing Algorithms by Combinatorics, Computers and Mathematics with Applications, vol. 55, 9, pp. 2142-2157, May. 2008
2008 Tian-Shyr Dai, Yuh-Dauh Lyuu, Accurate approximation formulas for stock options with discrete dividends , Applied Economics Letters , vol. 16, 16, pp. 1657-1663, Apr. 2008
2008 Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, Adaptive placement method on pricing arithmetic average options, Review of Derivatives Research, vol. 11, pp. 83-118, 2008
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 , vol. 30, 4, pp. 295-302, 2007
2007 Tian-Shyr Dai, Yuh-Dauh Lyuu, An exact subexponential-time lattice algorithm for Asian options, Acta Informatica, vol. 44, pp. 23-39, 2007
2006 Limin Liu, Tian-Shyr Dai, Ridge Orientation Estimation and Verification Algorithm for Fingerprint Enhancement, Journal of Universal Computer Science, vol. 12, 10, pp. 1426-1438, 2006
2005 Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu, An efficient convergent lattice algorithm for European Asian options , Applied Mathematics and Computation, vol. 169, 2, pp. 1458-1471, Oct. 2005
2005 Tian-Shyr Dai, Yuh-Yuan Fang, Yuh-Dauh Lyuu, Analytics for geometric average trigger reset options , Applied Economics Letters , vol. 12, 13, pp. 835-840, 2005
Year Paper Title
2021 , 2021
2020 Detecting money transfer frauds with bank account features and boosted decision trees, 2020
2020 , 2020
2020 , 2020
2020 , 2020
2019 , 2019
2019 , 2019
2017 , 2017
2017 , 2017
2016 , 2016
2009 Rodrigo Hernandez, Wayne Y Lee, Pu Liu, Tian-Shyr Dai, Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance1 , 44th EWGFM Meeting 2009, 會議論文, 2009
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, 會議論文, 2009
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, 會議論文, 2009
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, 會議論文, 2009
2008 Tian-Shyr Dai, K.-L Wang, T. Tai, Pricing Snowball Notes with Hull-White Model and Quadrature Methods , TFA 2008, 會議論文, 2008
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, 會議論文, 2008
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, 會議論文, 2008
2008 Tian-Shyr Dai, Y. D. Lyuu, T.C. Chen, A Simple, and Efficient Tree Model for Option Pricing , MFA 2008 USA, 會議論文, 2008
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), 會議論文, Jun. 01, 2007
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), 會議論文, Jun. 01, 2007
2007 Tian-Shyr Dai, Shi-Gra Lin, Limin Liu, A Hybrid Importance Sampling Algorithm for VaR , 2007 The Second International Conference Innovative, 會議論文, 2007
2006 Tian-Shyr Dai, Y. D. Lyuu, An Accurate Approximate Analytical Formula for Stock Options with Known Dividends , 2006 NTU International Conference on Finance, 會議論文, Dec. 13-14, 2006
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, 會議論文, Jul. 01, 2006
2006 Tian-Shyr Dai, Y. D. Lyuu, Accurate and Efficient Algorithms for Barrier Options, The 3rd Symposium on Risk Management and Cyber-Informatics, 會議論文, Jul. 01, 2006
2006 L. M. Liu, Tian-Shyr Dai, A Hybrid Fingerprint Enhancement Algorithm , The 2006 International Conference on Image Processing, Computer Vision, & Pattern Recognition, 會議論文, Jun. 01, 2006
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, 會議論文, Jun. 01, 2006
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, 會議論文, 2005
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, 會議論文, 2005
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, 會議論文, Aug. 01, 2004
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, 會議論文, Mar. 01, 2004
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, 會議論文, Jan. 11-13, 2004
Year Book Title
2020 2020
2005 C++ and Quantitative Finance, Taiwan: Securities and Future Institute, 986-7737512, Jan. 1970
Year Participator Project Category Project Title Job Title Unit
2019 Industrial Collaboration
2018 Industrial Collaboration
2005 Research Projects
2007 Research Projects
2009 Research Projects
2009 Research Projects
2010 Research Projects
2011 Research Projects
2012 Research Projects
2014 Research Projects
2015 Industrial Collaboration
2016 Research Projects
2017 Industrial Collaboration
2017 Research Projects
2018 Research Projects
2018 Industrial Collaboration
2019 Research Projects
2020 Research Projects
2020 Research Projects
2020 Industrial Collaboration
2020 Research Projects
2020 Industrial Collaboration
2021 Industrial Collaboration
2021 Research Projects