Liu, Yen-Chun

劉彥君 Liu, Yen-Chun

Higher Education

Master , Institute of Information Management, National Chiao Tung University,
- Thesis: Pricing Vulnerable Barrier Option under the First Passage Model
- Adviser: Prof. Tian-Shyr, Dai

Publications

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 in Hawaii 2009.

Talks and Presentations

Shreve: Stochastic Calculus for Finance II - Contunuous-Time Models : 1.6 Change of Measure
Shreve: Stochastic Calculus for Finance II - Contunuous-Time Models : 3.5 Markov Property
Shreve: Stochastic Calculus for Finance II - Contunuous-Time Models : 3.6 First Passage Time Distribution
Shreve: Stochastic Calculus for Finance II - Contunuous-Time Models : 4.4 Ito-Doeblin Formula
Shreve: Stochastic Calculus for Finance II - Contunuous-Time Models : 4.7 Brownian Bridge
Shreve: Stochastic Calculus for Finance II - Contunuous-Time Models : 10.2 Affine-Yield Models
Pricing vulnerable European options when the option's payoff can increase the risk of financial distress, Peter Klein, Michael Inglis (2001) - with reference
Pricing Barrier Vulnerable Option

Procedures (C Language)