Published Works of Prof. Tian-Shyr Dai

Published Works of Prof. Tian-Shyr Dai

Journal Publications

  1. Tian-Shyr Dai, B. J. Chen1, Y. J. Sun, D. Y. Yang, M. E. Wu ``Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model'' Computational Economics Forthcoming
  2. Yen-Wu Ti, Tian-Shyr Dai, Kuan-Lun Wang, Hao-Han Chang, You-Jia Sun ``Improving cointegration-based pairs trading strategy with asymptotic analyses and convergence rate filters'' Computational Economics Forthcoming
  3. Liang-Chih Liu, Tian-Shyr, Dai, Lei Zhou ``On the Design of Bail-in-able Bonds from the Perspective of Non-Financial Firms '' International Review of Economics and Finance 89 (2024): 1136-1155.
  4. Tian-Shyr Dai, Sharon Yang,Liang-Chih Liu, ``Pricing Tenure Payment Reverse Mortgages with Optimal Exercised Prepayment Options under House Price, Interest Rate, and Mortality Risk'' Quantitative Finance 23.9 (2023): 1325-1339.
  5. YEN-WU TI, YU-YEN HSIN, TIAN-SHYR DAI, MING-CHUAN HUANG, AND LIANG-CHIH LIU ``Feature Generation and Contribution Comparison for Electronic Fraud Detection'' Scientific Reports 12, Article number: 18042 (2022) .
  6. Wei-Lun Kuo, Wei-Che Chang, TIAN-SHYR DAI, Ying-Ping Chen, AND Hao-Han Chang ``Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance'' IEEE Access vol. 10, pp. 97030-97046, 2022, doi: 10.1109/ACCESS.2022.3204056..
  7. Liang-Chih Liu, Tian-Shyr Dai, Hao-Han Chang, Lei Zhou ``A Novel State-Transition Forest: Pricing Corporate Securities with Intertemporal Exercise Policies and Corresponding Capital Structure Changes'' Quantitative Finance Vol. 22, No. 11, 2021-2045 (2022).
  8. YU-YEN HSIN, TIAN-SHYR DAI, YEN-WU TI, MING-CHUAN HUANG, TING-HUI CHIANG, AND LIANG-CHIH LIU ``Feature Engineering and Resampling Strategies for Fund Transfer Fraud with Limited Transaction Data and a Time-inhomogeneous Modi Operandi'' IEEE Access 10 86101-86116 (2022).
  9. Tian-Shyr Dai, Chen-Chiang Fan, Liang-Chih Liu, Chuan-Ju Wang, and Jr-Yan Wang ``A Stochastic-Volatility Equity Price Tree for Pricing Convertible Bonds with Endogenous Firm Values and Default Risks Determined by the First-Passage Default Model'' Journal of Futures Markets Vol. 42. No 12. 2103--2134 (2022).
  10. Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu, Liang-Chih Liu, Yu-Ting Chen ``Option Pricing with the Control Variate Technique beyond Monte Carlo Simulation'' North American Journal of Economics and Finance Volume 62, November 2022, 101772.
  11. Liang-Chih Liu, Tian-Shyr Dai, Lei Zhou, and Hao-Han Chang ``Analyzing Interactive Call, Default, and Conversion Policies for Corporate Bonds'' Journal of Futures Markets 42 (8). (2022), 1597-1638.
  12. Jr-Yan Wang, Chuan-Ju Wang, Tian-Shyr Dai, Tzu-Chun Chen, Liang-Chih Liu, and Lei Zhou ``Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options'' Mathematical Problems in Engineering vol. 2022, Article ID 5843491, 20 pages, 2022. https://doi.org/10.1155/2022/5843491.
  13. Jing-You Lu, Hsu-Chao Lai, Wen-Yueh Shih, Yi-Feng Chen, Shen-Hang Huang, Hao-Han Chang, Jun-Zhe Wang, Jiun-Long Huang & Tian-Shyr Dai ``Structural break-aware pairs trading strategy using deep reinforcement learning'' The Journal of Supercomputing 78, 3843-3882 (2022). https://doi.org/10.1007/s11227-021-04013-x.
  14. Liang-Chih Liu, Chun-Yuan Chiu, Chuan-Ju Wang, Tian-Shyr Dai, Hao-Han Chang ``Analytical Pricing Formulae for Vulnerable Vanilla and Barrier Options'' Review of Quantitative Finance and Accounting,. 58, pages137-170 (2022)
  15. Chuan-Ju Wang; Tian-Shyr Dai `` An Accurate Lattice Model for Pricing Catastrophe Equity Put Under the Jump-Diffusion Process.''. IEEE Computational Intelligence Magazine 13 (2018), 35--45.
  16. 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) 52-79"
  17. 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) 151-174.
  18. 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 Economics64 (2015) 364-375.
  19. 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) 418--437.
  20. 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),749-757.
  21. Tian-Shyr Dai and Chun-Yuan Chiu. `` Pricing barrier stock options with discrete dividends by approximating analytical formulae.'' Quantitative Finance 14 (2014) 1367-1382.
  22. Tian-Shyr Dai and Chuan-Ju Wang. `` Realized Tax Benefits and Capital Structure.'' Int. J. of Bonds and Currency Derivatives 1 (2013) 88-109.
  23. Sharon Yang and Tian-Shyr Dai. `` A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions.'' Insurance: Mathematics and Economics 52 (2013) 231ˇV242.
  24. 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, (2013) Volume 33, Issue 9, pp 795-826.
  25. Rodrigo Hernandez,Wayne Lee, Pu Liu, and Tian-Shyr Dai. `` Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance..'' Review of Quantitative Finance and Accounting, 2013,Volume 40, Issue 4, pp 691-713.
  26. 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), 3174-3189 .
  27. Limin Liu, and Tian-Shyr Dai. ``A Reliable Fingerprint Orientation Estimation Algorithm.'' JOURNAL OF INFORMATION SCIENCE AND ENGINEERING. 2011,27:353:368.
  28. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing .'' Journal of Derivatives, (2010) 17:7--24.
  29. Tian-Shyr Dai, Hui-Ming Chung, and Chun-Ju Ho ``Using the LIBOR Market Model to Price the Interest Rate DerivativesˇG A Recombining Binomial Tree Methodology.'' NTU Management Review. 2009,20:41-68
  30. 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, 2009, 2: 301-307.
  31. Tian-Shyr Dai. ``Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree.'' Quantitative Finance, Volume 9, Issue 7 October 2009 , pages 827 - 838 .
  32. Tian-Shyr Dai, and Yuh-Dauh Lyuu. ``Accurate and Efficient Lattice Algorithms for American-Style Asian Options with Range Bounds.'' Applied Mathematics and Computation, (2009) 209:238--253.
  33. Dai, . T.-S., Wang, K.-L, and Tai, T. ``Pricing Snowball Notes with Hull-White Model and Quadrature Methods. Journal of Futures and Options, (2008) Vol.1 pp 73--108.
  34. Tian-Shyr Dai , Jr-Yan Wang, Hui-Shan Wei. `` Adaptive Placement Method on Pricing Arithmetic Average Options .'' Review of Derivatives Research, (2008) 11:83-118.
  35. Tian-Shyr Dai , Liu, L.-M., and Yuh-Dauh Lyuu. `` Linear-Time Option Pricing Algorithms by Combinatorics .'' Computers and Mathematics with Applications, (2008) 55, pp 2142-2157,
  36. Tian-Shyr Dai and Yuh-Dauh Lyuu. `` Accurate Approximation Formulas for Stock Options with Discrete Dividends .'' Applied Economics Letters, Volume 16, Issue 16 November 2009 , pages 1657 - 1663.
  37. Liu, L.-M., C. Huang, T.-S., Dai., and G. Chen. ``Enhanced SEA Algorithm and Fingerprint Classification Directional Image.'' International Journal of Computer Applications in Technology Volume 30 , Issue 4 (November 2007) Pages 295-302
  38. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``An Exact Subexponential-Time Lattice Algorithm for Asian Options.'' Acta Informatica, 44, No. 1 (March 2007), 23--39.
  39. Liu, L.-M., and T.-S., Dai. `` Ridge Orientation Estimation and Verification Algorithm for Fingerprint Enhancement .'' Journal of Universal Computer Science, 2006, 12, pp. 1426--1438
  40. Tian-Shyr Dai , Yuh-Yuan Fang, and Yuh-Dauh Lyuu. `` Analytics for Geometric Average Trigger Reset Options.'' Applied Economics Letters, 12 (2005), 835--840.
  41. Tian-Shyr Dai, Guan-Shieng Huang, and Yuh-Dauh Lyuu. ``An Efficient Convergent Lattice Algorithm for European Asian Options.'' Applied Mathematics and Computation, 169, Issue 2 (October 2005), 1458--1471.
  42. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices.'' Review of Derivatives Research, 5 (2002), 181--203.

Selected Conference Publications

Books