張顥瀚 (Chang,Hao Han)

Journal Publications

• Liang-Chih Liu, Chun-Yuan Chiu, Chuan-Ju Wang, Tian-Shyr Dai, and Hao-Han Chang. '' Analytical pricing formulae for vulnerable vanilla and barrier options.'' Review of Quantitative Finance and Accounting

• Jing-You Lu, Hsu-Chao Lai, Wen-Yueh Shih, Yi-Feng Chen, Shen-Hang Huang, Hao-Han Chang, Jun-Zhe Wang, Jiun-Long Huang and Tian-Shyr Dai. '' Structural break-aware pairs trading strategy using deep reinforcement learning.'' The Journal of Supercomputing

Conference Publications

• "Slicing a Block into Pieces: A Novel Tree Structure to Capture Sequential Exercise Policy." Tian-Shyr Dai, Liang-Chih Liu and Hao-Han Chang. European Financial Management Association 2021 Annual Meeting

• "Improving Pair Trading Performances with Structural Change Detections and Revised Trading Strategies" Hao Han Chang, Tian Shyr Dai, Kuan Lun Wang, Chao Hsien Chu, Jun Zhe Wang International Conference on Pervasive Artificial Intelligence 2020

Talks and Presentations

• A Tree Model for Pricing Convertible Bonds
• Structural Change Detection Improve Pairs Trading
• Valuation of Warrant by Multiple Tree Model