戴天時
姓名 戴天時
職稱 教授
學歷 國立台灣大學資訊工程博士
專長 資訊科學、財務工程、金融計算、金融科技
課程 財務工程與金融計算
聯絡電話 03-5712121 Ext. 57054
傳真 03-5729915
電子郵件
辦公室 管理一館M-410室
個人網站 https://finance.lab.nycu.edu.tw/
個人網站 https://finance.lab.nycu.edu.tw/
國家 學校名稱 系所 學位
中華民國 國立台灣大學 資訊工程學系 博士
中華民國 國立台灣大學 資訊工程學系 碩士
服務機關名稱 單位 職務 期間
國立交通大學 資訊與財金管理學系 副教授 2009.01 ~ 迄今
國立交通大學 資訊與財金管理學系和資訊管理研究所 助理教授 2006.01 ~ 2009.01
中原大學 應用數學系 助理教授 2004.01 ~ 2006.01
年度 論文名稱
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 論文名稱
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 戴天時/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 戴天時/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 劉亮志、周蕾、戴天時, Non-Financial Firms’ Issuance Strategies of Contingent Capitals, their Pops and Cons, and Solutions to Asset Substitutions, 2019
2017 陳敬生 戴天時, 利用時間序列模型建構市場中性交易策略, 2017
2017 陳郁文, 陳穎平 戴天時, 以 CUDA 架構實作在線套利交易機制平台, 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, 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
年度 書名
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++財務程式設計, 證期會, 986-7737512, Jan. 1970
年度 參與人 計畫類別 計畫名稱 職稱/擔任之工作 補助/委託或合作機構
2019 產學合作計劃 資訊管理 金融科技創新產學聯盟(3/3) 共同主持人 科技部
2018 產學合作計劃 資訊管理 金融科技創新產學聯盟(2/3) 共同主持人 科技部
2005 研究計畫 系統模式化及模擬 使用階梯格子點模型評價支付股息的股票選擇權 計畫主持人 科技部
2007 研究計畫 Generalized CRR 樹：一個容易建構、評價效率高且精確的樹狀結構 計畫主持人 科技部
2009 研究計畫 用改良式結構模型處理信用風險評價的數值方法研究 計畫主持人 科技部
2009 研究計畫 使用樹狀結構處理包含價格隨機跳躍風險和隨機利率的首次通過模型評價 計畫主持人 科技部
2010 研究計畫 評價可轉換公司債之信用風險模型研究 計畫主持人 科技部
2011 研究計畫 使用數值方法分析債券條款，最適股利政策及最適資本結構的關聯 計畫主持人 科技部
2012 研究計畫 或有資本,信用風險,及最適資本結構 計畫主持人 科技部
2014 研究計畫 析債務結構，信用風險，及市場投資人行為之關聯性的理論量化模型 計畫主持人 科技部
2015 產學合作計劃 運用GPU平行計算到高頻程式交易 計畫主持人 科技部
2016 研究計畫 分析債務結構，信用風險，及市場投資人行為之關聯性的理論量化模型 計畫主持人 科技部
2017 產學合作計劃 資訊管理 金融科技創新產學聯盟(1/3) 共同主持人 科技部
2017 研究計畫 內含選擇權之債券的履約行為及評價之理論和實證研究 計畫主持人 科技部
2018 研究計畫 金融科技與區塊鏈 以多模式大數據分析與分散式區塊鏈運算開發智慧型店頭市場交易與機器人理財系統--以多模式大數據分析與分散式區塊鏈運算開發智慧型店頭市場交易與機器人理財系統(2/3) 計畫主持人 科技部
2018 產學合作計劃 資訊管理 金融科技創新產學聯盟 共同主持人 科技部
2019 研究計畫 資料庫與資料探勘 以多模式大數據分析與分散式區塊鏈運算開發智慧型店頭市場交易與機器人理財系統 計畫主持人 科技部
2020 研究計畫 以多模式大數據分析與分散式區塊鏈運算開發智慧型店頭市場交易與機器人理財系統(IV) 計畫主持人 科技部
2020 研究計畫 分析具備資本流入/出及資本結構改變的條款對評價巨災衍生性商品和員工認股選擇權的影響 計畫主持人 科技部
2020 產學合作計劃 因應證交所逐筆撮合開發深度強化學習交易及風管機制 計畫主持人 科技部
2020 研究計畫 金融科技與區塊鏈 以多模式大數據分析與分散式區塊鏈運算開發智慧型店頭市場交易與機器人理財系統(IV) 計畫主持人 科技部
2020 產學合作計劃 產學技術聯盟合作計畫 金融科技創新產學聯盟(1/3) 共同主持人 科技部
2021 產學合作計劃 產學技術聯盟合作計畫 金融科技創新產學聯盟(2/3) 共同主持人 科技部
2021 研究計畫 建構趨勢定態交易策略並用盤中新聞判斷調整策略 計畫主持人 科技部