戴天時 (Dai, Tian-Shyr)

Honors and Awards

• Pricing Path-Dependent Derivatives. 第十三屆龍騰論文獎經營管理類金質獎。
• “Efficient Algorithms for Average-Rate Options pricing”. 1999年全國計算機會議最佳論文獎
• “Efficient Algorithms for Average-Rate Options pricing”. 2000年中華民國電腦學會論文獎資訊科學類優等獎.
• “使用多層解析格子樹模型評價亞式選擇權的精確演算法”2003年富邦金融研究勤工獎。
• Dai, T.-S., Y. D. Lyuu ,and Jerry Shea. “The Trino-binomial Tree Model: A Simple, and Efficient Tree Model”. Asian FA/FMA 2006 Meeting, Auckland, New Zealand, Jul. 2006. (Winner of the University of Rhode Island best paper awards)
• 95學年度績優導師
• Dai, T.-S. C. J. Wang, and , Y. D. Lyuu "A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables." the Best paper award, the IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), New York City, March 29–30, 2012.
• 臺大管理論叢之論文＿以LMM利率模型評價利率衍生性商品：結合節點二項樹方法聯電經營管理論文獎＿優等獎
• CLOUD ASSET PRICING TREE (CAPT) - ELASTIC ECONOMIC MODEL FOR CLOUD SERVICE PROVIDERS Soheil Qanbari, Fei Li, Schahram Dustdar and Tian-Shyr Dai The 5th International Conference on Cloud Computing and Services Science. BEST STUDENT PAPER AWARD
• Evaluating Corporate Bonds and Analyzing Market Participants Behaviors with Complex Debt Structure Tian-Shyr Dai, Chuan-Ju Wang, and Liang-Chih Liu 2015 FMA Annual Meeting. Best Paper Award in Derivatives
• Evaluating Corporate Bonds and Analyzing Market Participants Behaviors with Complex Debt Structure 戴天時、王釧茹、劉亮志 第十屆證券暨期貨金椽獎-研究發展論文甄選學術組優等獎
• Non-Financial Firms’ Issuance Strategies of Contingent Capitals, their Pops and Cons, and Solutions to Asset Substitutions 劉亮志、周蕾、戴天時 【2019TFA 研討會】 Best paper award
• Solving Unconverged Learning of Pairs Trading Strategies with Representation Labeling Mechanism Wei-Lun Kuo, Tian-Shyr Dai and Wei-Che Chang MUFin21 workshop at CIKM2021 (Best Paper award)
• Call Protection, Financial Flexibility, and Debt Maturity Decision 劉亮志、周蕾、戴天時、曾俊凱 【2024TFA 研討會】 (Best Paper award)

Research

• Published Works
• 配對交易研究網站
• 編輯委員期貨與選擇權學刊
• 金融科技領域主編科技管理學刊
• Editorial Board Member of Theoretical Economics Letters

Seminar

• Financial Mathematics and Statistics Seminar
• Stochastic Calculus for Finance
• Pairs Trading Quantitative Methods and Analysis
• 企業金融的12堂課
• Matlab for Finance
• Interest Rate Models An Introduction

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Course Information

• Economics (undergraduate level)
• Data Structure (undergraduate level)
• Introduction to Computer Science (undergraduate level)
• Financial Engineering and Computation, (graduate level, for Institute of Information Management)
• C++ and Quantiative Finance (graduate level, for Institute of Finance)
• Introduction to Financial Engineering (undergraduate level)
• Bond Markets (graduate level)
• 財金理論與實務 (provided by 黃冠齊) (graduate level)

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Students and Their Dissertations (or Independence Study)

1. 游竣瑜 Performance Analysis Comparison of Pair Trading Models and Discussion of Option Pricing Using Neural Networks
2. 游仲斐 The Impact of FAS 123R and Employee Stock Option Maturity Date on Stock-Based Compensation Issuance Using the RDEU Model
3. 汪文豪 Optimization Methods for Zero-Shot Retrieval-Augmented Generation in Large Language Models
4. 邢子謙 Day Trading of Single Stock Using AR Model and Option Pricing Using Neural Networks
5. 何維 Comparison of Profits and Risks of Equity Release Products
6. 梁嘉程 Analyzing Trigger Type for CatBonds
7. 吳茂嘉 Continuous Sigmoid Transform for Rule Threshold Optimization in Anti-Money Laundering
8. 劉佩佳 Comparing Reverse Mortgage and Home Reversion with and without Embedding Long-Term Care
9. 陳品勳 Evaluation of Restricted Stock mixed Employee Stock Option Compensation using the Probability-Weighted Expected Utility model (RDEU)
10. 許修銘 Practical Adjustments for Pairs Trading Strategy
11. 游昀健 Analyzing Proper Provision Designs for CatBonds
12. 鄭亦彣 Evaluating a Co-insured Reverse Mortgage with Termination Option and Long-Term Care

more...

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Medias

• 櫃買中心：美元零息可贖回國際債券評價系統
• 玉山銀聯手交大，打造AI金融科技研發中心
• 科技部數位經濟計畫: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:子計畫一投資組合、風險管理及災變偵測結案報告
• 專訪:人工智慧的發展與應用
• 總論篇數據科學的特性及其不同金融場景之應用、限制與挑戰
• AI普適計畫成果報告:金融服務場景應用
• 2024NYCU創新創業競賽初選:奧斯創科技
• 2024 AI普適計畫成果報告:金融服務場景應用
• 2024 國家科學及技術委員會人文社會科學研究中心:金融科技與財務創新：AI時代的衝擊與策略，第二場：機器學習與財務研究應用
• 2024 國家科學及技術委員會人文社會科學研究中心:【9/9金融科技與財務創新】跨領域論壇的活動紀實
• 解鎖AI投資的無限可能　「科技領航，AI點燃投資新世代」金融與科技巔峰對話3/8重磅登場
• 人文與社會科學簡訊 發燒專題─金融科技與財務創新：AI時代的衝擊與策略】機器學習在財務研究與應用─以交易策略與金融詐欺偵測為例／戴天時、黃子騏

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Other Docs

• 隨身碟病毒防毒技巧
• 信貸危機和利率曲線
• 應用QuantLib 函式庫撰寫財務程式

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Photos

• 合歡山
• 畢業
• 97年聚餐
• 美國東岸

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Electronically Yours,

Tian-Shyr Dai (cameldai @ mail.nctu.edu.tw or cameldai @ nycu.edu.tw)
Dept. Information and Financial Management
National Yang Ming Chiao Tung University
No. 1001, Ta Hsueh Road,
Hsinchu, Taiwan 300, ROC.
Office: 管一 422室
886-3-571-2121 ext. 57054 (office)