戴天时
姓名 戴天时
职称 教授
学历 国立台湾大学资讯工程博士
专长 资讯科学、财务工程、金融计算、金融科技
课程 财务工程与金融计算
联络电话 03-5712121 Ext. 57054
传真 03-5729915
电子邮件
办公室 管理一馆M-410室
个人网站 https://finance.lab.nycu.edu.tw/
个人网站 https://finance.lab.nycu.edu.tw/
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 期间
国立交通大学 资讯与财金管理学系 副教授 2009.01 ~ 迄今
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 2006.01 ~ 2009.01
中原大学 应用数学系 助理教授 2004.01 ~ 2006.01
年度 论文名称
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
年度 论文名称
2021 Liu, Liang-Chih * Dai, Tian-Shyr „ Chang, Hao-Han, Slicing a Block into Pieces: A Novel Tree Structure to Capture Sequential Exercise Policy, 2021
2020 戴天时/辛宥言, Detecting money transfer frauds with bank account features and boosted decision trees, 2020
2020 Yuyen Hsin (National Chiao Tung University); Tian Shyr Dai (National Chiao Tung University)*; Jun-Zhe Wang (National Chiao Tung University); Jiun-Long Huang (National Chiao Tung University), Fraud Detection in bank transaction using Long Short-Term Memory, 2020
2020 Hao-Han Chang (National Chiao Tung University); Tian Shyr Dai (National Chiao Tung University)*; Kuan-Lun Wang (National Taiwan University); Chao-Hsien Chu (National Chiao Tung University); Jun-Zhe Wang (National Chiao Tung University), Improving pair trading performance with structural changes detection and revised trading strategies, 2020
2020 戴天时/曹光志, The Optimal Allocation between Employee Stock Option and Wage, 2020
2019 Liu, Liang-Chih. Dai Tian-Shyr, Analyzing Interactive Exercising Policies of embedded Call, Default, Conversion, and Put Decisions, 2019
2019 刘亮志、周蕾、戴天时, Non-Financial Firms’ Issuance Strategies of Contingent Capitals, their Pops and Cons, and Solutions to Asset Substitutions, 2019
2017 陈敬生 戴天时, 利用时间序列模型建构市场中性交易策略, 2017
2017 陈郁文, 陈颖平 戴天时, 以 CUDA 架构实作在线套利交易机制平台, 2017
2016 Dai, Tian-Shyr, Jr-Yang Wang, C.J. Wang, Pricing Convertible Bonds under the First-Passage Credit Risk Model, 2016
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, 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, 会议论文, 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, 会议论文, 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, 会议论文, 2009
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, 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, 会议论文, 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, 会议论文, 2008
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
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, 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), 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, 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, 会议论文, Jan. 11-13, 2004
年度 书名
2020 zu Tai, Cheng Few Lee, Tian-Shyr Dai, Keh Luh Wang and Hong-Yi, Pricing Fair Deposit Insurance: Structural Model Approach, Chen Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, 2020
2005 C++财务程式设计, 证期会, 986-7737512, Jan. 1970
年度 参与人 计画类别 计画名称 职称/担任之工作 补助/委讬或合作机构
2019 产学合作计划 资讯管理 金融科技创新产学联盟(3/3) 共同主持人 科技部
2018 产学合作计划 资讯管理 金融科技创新产学联盟(2/3) 共同主持人 科技部
2005 研究计画 系统模式化及模拟 使用阶梯格子点模型评价支付股息的股票选择权 计画主持人 科技部
2007 研究计画 Generalized CRR 树：一个容易建构、评价效率高且精确的树状结构 计画主持人 科技部
2009 研究计画 用改良式结构模型处理信用风险评价的数值方法研究 计画主持人 科技部
2009 研究计画 使用树状结构处理包含价格随机跳跃风险和随机利率的首次通过模型评价 计画主持人 科技部
2010 研究计画 评价可转换公司债之信用风险模型研究 计画主持人 科技部
2011 研究计画 使用数值方法分析债券条款，最适股利政策及最适资本结构的关联 计画主持人 科技部
2012 研究计画 或有资本,信用风险,及最适资本结构 计画主持人 科技部
2014 研究计画 析债务结构，信用风险，及市场投资人行为之关联性的理论量化模型 计画主持人 科技部
2015 产学合作计划 运用GPU平行计算到高频程式交易 计画主持人 科技部
2016 研究计画 分析债务结构，信用风险，及市场投资人行为之关联性的理论量化模型 计画主持人 科技部
2017 产学合作计划 资讯管理 金融科技创新产学联盟(1/3) 共同主持人 科技部
2017 研究计画 内含选择权之债券的履约行为及评价之理论和实证研究 计画主持人 科技部
2018 研究计画 金融科技与区块链 以多模式大数据分析与分布式区块链运算开发智慧型店头市场交易与机器人理财系统--以多模式大数据分析与分布式区块链运算开发智慧型店头市场交易与机器人理财系统(2/3) 计画主持人 科技部
2018 产学合作计划 资讯管理 金融科技创新产学联盟 共同主持人 科技部
2019 研究计画 数据库与资料探勘 以多模式大数据分析与分布式区块链运算开发智慧型店头市场交易与机器人理财系统 计画主持人 科技部
2020 研究计画 以多模式大数据分析与分布式区块链运算开发智慧型店头市场交易与机器人理财系统(IV) 计画主持人 科技部
2020 研究计画 分析具备资本流入/出及资本结构改变的条款对评价巨灾衍生性商品和员工认股选择权的影响 计画主持人 科技部
2020 产学合作计划 因应证交所逐笔撮合开发深度强化学习交易及风管机制 计画主持人 科技部
2020 研究计画 金融科技与区块链 以多模式大数据分析与分布式区块链运算开发智慧型店头市场交易与机器人理财系统(IV) 计画主持人 科技部
2020 产学合作计划 产学技术联盟合作计画 金融科技创新产学联盟(1/3) 共同主持人 科技部
2021 产学合作计划 产学技术联盟合作计画 金融科技创新产学联盟(2/3) 共同主持人 科技部
2021 研究计画 建构趋势定态交易策略并用盘中新闻判断调整策略 计画主持人 科技部