| Status | Appointed |
|---|---|
| Name | WEI-KUANG CHEN |
| Office Tel No. | 81220 |
| Job Title | Professor |
| Research Expertise | Financial Derivatives, Risk Management |
| Teaching Field | 衍生性商品、風險管理 |
- Journal Paper
- Conference Paper
- Book / Book Chapter
- Project
- Research Project
- Degrees
- Experience
- Honor
| Year | Paper Title |
|---|---|
| 2020 | 呂朋怡*;黃立新;江彌修;陳威光, 2020.05, '基於媒體情緒的企業違約預警: 公開資訊語意分析, ' 期貨與選擇權學刊,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 428237, May. 2020 |
| 2018 | 陳威光;林靖庭*;張清發, 2018.08, '券商推薦股票評等報告之績效分析, ' 風險管理學報,.(*為通訊作者)(本論著未刊登但已被接受), vol. 419658, Aug. 2018 |
| 2018 | Wei‑Kuang Chen;Ching‑Ting Lin*;Cheng‑Yi Shiu, 2018.08, 'Price discovery and price leadership of various investor types: evidence from Taiwan futures market, ' Review of Quantitative Finance and Accounting,.(*為通訊作者)(本論著未刊登但已被接受), vol. 419657, Aug. 2018 |
| 2016 | Ching-Ting Lin**;Wei‑Kuang Chen, 2016.12, 'Asymmetric responses to stock index reconstitutions : Evidence from the CSI 300 index additions and deletions., ' Pacific-Basin Finance Journal, Vol.40, pp.36-48.(SSCI)(*為通訊作者), vol. 419599, Dec. 2016 |
| 2013 | 陳威光*;郭維裕;王朝生;黃暐能, 2013.06, '波動度選擇權的隱含波動度, ' 風管學報, Vol.15, No.01, pp.57-80.(, 其它)(*為通訊作者), vol. 401156, Jun. 2013 |
| 2013 | 郭維裕*;陳鴻隆;陳威光, 2013, 'Testing Options Market Efficiency with Applications to Implied Volatility Pair Trading Test, ' 管理與系統, Vol.2013, No.20, pp.425-458.(TSSCI)(*為通訊作者), vol. 401106, 2013 |
| 2012 | 邱于紛;謝明華;蔡政憲*;陳威光, 2012.12, 'Valuation of Rarchet Equit-Indexed Annuities, ' 財務金融學刊, Vol.20, No.4, pp.89-107.(TSSCI)(*為通訊作者), vol. 322935, Dec. 2012 |
| 2009 | 郭維裕*;陳威光;陳鴻隆;林信助, 2009.11, '動態隱含波動度模型：以台指選擇權為例, ' 期貨與選擇權學刊, Vol.2, No.2, pp.47-89.(*為通訊作者), vol. 307401, Nov. 2009 |
| 2008 | 陳威光;江彌修*;鄭啟宏, 2008.04, 'Option Pricing in Ornstein-Uhlenbeck Position Process: The Application in the Impact of Price Limits, ' 風險管理學報, Vol.9, No.2.(*為通訊作者), vol. 307404, Apr. 2008 |
| 2003 | 蔡政憲;郭維裕;陳威光, 2003.08, 'An empirical study on early surrender: the cointegration approach, ' Journal of risk and insurance, Vol.70, No.0, pp.489-508.(SSCI), vol. 148575, Aug. 2003 |
| 2003 | 蔡政憲;詹志清;陳威光, 2003.07, 'On the distribution of life insurance reserves in a stochastic mortality, interest rate, and surrender rate enviroment, ' 證券市場發展季刊, Vol.0, No.0, pp.0.(TSSCI), vol. 148577, Jul. 2003 |
| 2002 | 林家帆;陳威光;郭維裕, 2002.07, '以實質選擇權法評估高科技產業股價, ' 管理評論, Vol.21, No.3, pp.97-113.(TSSCI), vol. 145119, Jul. 2002 |
| 2002 | 郭維裕;蔡政憲;陳威光, 2002, 'Early Surrender and the Distribution of Policy Reserves, ' Insurance,Mathematics, and Economics, Vol.0, No.31, pp.429-445.(SCIE), vol. 145118, 2002 |
| 2000 | 曾令寧;陳威光, 2000.06, '信用風險管理之評估原則及外匯清算風險, ' 存款保險季刊, Vol.13, No.2, pp.63-92., vol. 148579, Jun. 2000 |
| 1999 | 曾令寧;陳威光, 1999.12, '信用風險模型簡介─信用計量法及信用風險加成法, ' 存款保險資訊季刊, Vol.13, No.2, pp.63-92., vol. 148581, Dec. 1999 |
| 1998 | 蔡瑞煌;陳威光, 1998.05, 'Applications of Neural Networks to Financial Swaps, ' Journal of Computational Intelligence in Finance,., vol. 135492, May. 1998 |
| 1998 | 陳威光, 1998.01, '認購權價格之探討, ' 元大期貨, No.5, pp.57-64., vol. 135493, Jan. 1998 |
| 1997 | 陳威光, 1997.04, '認股權證之評價, ' 元大期貨, No.4, pp.40-46., vol. 132809, Apr. 1997 |
| 1996 | 張士傑;陳威光, 1996, '不同利率模型下之債券評價分析, ' 保險季刊, Vol.46, pp.139-150., vol. 134921, 1996 |
| 1994 | 陳威光, 1994.11, 'An Empirical Test of The Relative Price of Stock Index Call And Put Option, ' 成功大學學報, No.29., vol. 119929, Nov. 1994 |
| Year | Paper Title |
|---|---|
| 2014 | Wei-Yu Kuo; Ching-Ting Lin*;Wei-Kuang Chen, 2014.09, 'Cancellation of Limit Orders in the Futures Markets, ' Academy of Behavioral Finance & Economics Sixth Annual Meeting 2014, Academy of Behavioral Finance & Economics.(*為通訊作者), Sep. 2014 |
| 2014 | Wei-Yu Kuo;Ching-Ting Lin*;Wei-Kuang Chen., 2014.04, 'Fleeting Orders Under the Microscope, ' 26th International Business Research Conference 2014, WBI London, UK and World Business Institute.(*為通訊作者), Apr. 2014 |
| 2002 | 陳威光;郭維裕;林家帆, 2002.05, '以實質選擇權法評估高科技產業股價, ' 台灣財務學會年會論文研討會, 台灣財務學會., May. 2002 |
| 2001 | 陳威光;洪瑞鴻, 2001.06, '以Adaptive Mesh Model評價重設選擇權, ' 2001年財務金融學術暨實務研討會, 台灣財務學會., Jun. 2001 |
| 2001 | 陳威光;張龍福;王志原, 2001.03, '以分解結合法加速重設型選擇權之評價效率, ' 21世紀全球投資策略研討會, X., Mar. 2001 |
| 2000 | 陳威光, 2000.06, 'Further investigation of stock index futrues and stock prices movement during the Octorber 1987 market crash, ' The 8th Pacific Basin Finance, Economics and Accounting, X., Jun. 2000 |
| 1999 | 陳威光, 1999.04, 'The market risk of warrant positions: Value-at -risk Approach, ' 第一屆財務金融研討會--遽變環境中之雙率風險管理, X., Apr. 1999 |
| 1999 | 陳威光, 1999.04, 'The valuation and Hedging of reset option, ' 中國財務學會年會論文研討會, X., Apr. 1999 |
| 1999 | 陳威光;Shen, 1999, 'The valuation of option when the underlying asset prices under price limits., ' Rutger university and National Taiwan university, The seventh conference on Pacific Basin Finance, Economics and Accounting., 1999 |
| 1998 | 陳威光, 1998, 'Option Pricing When Stock Price Under Price Limits, ' 1998 National Taiwan University International Conference on Finance, National Taiwan University., 1998 |
| 1997 | 陳威光, 1997.12, 'Application of Neural Networks to Financial Swaps, ' Conference on the Theories and Practices of Securities and Financial Markets., Dec. 1997 |
| 1997 | 陳威光, 1997.10, 'An Analysis of Capital Guarantted Trust and Its Innovation Value- A Monte Carlo Approach for Pricing Average Rate Option, ' Financial Management Association Annual Meeting, FMA., Oct. 1997 |
| 1997 | 陳威光, 1997, 'An Analysis of Capital Guaranteed Trust, ' 中國財務學會年會., 1997 |
| 1997 | 陳威光, 1997, 'A Study of the value of early cxercise in America Option Prices, ' 亞太及中國財務學會聯合會議., 1997 |
| 1996 | 陳威光, 1996, 'Option Pricing When Underlying Asset Subject to Price Limits, ' 第五屆證券暨金融市場之理論與實務研討會., 1996 |
| 1996 | 陳威光, 1996, 'Capital Requirements and Market Risks of Currency Options- A VAR Approach, ' Eastern Economic Association Conference., 1996 |
| 1995 | 陳威光, 1995.04, '歐式與美式外幣選擇權價格差異之實證研究, ' 中國財務學會年會., Apr. 1995 |
| 1994 | 陳威光, 1994.12, '1987年股票大崩盤期間股價指數期貨基差與股價變動之研究, ' 第三屆證券金融市場之理論與實務研討會., Dec. 1994 |
| 1994 | 陳威光, 1994.12, '不完全市場下選擇權與期貨價格關係之實證研究, ' 中國經濟學會年會., Dec. 1994 |
| 1994 | 陳威光, 1994.11, '股票指數選擇權之資訊內涵-1987年股票大崩盤前後之實證研究, ' 第六屆會計理論與實務研討會., Nov. 1994 |
| 1994 | 陳威光, 1994.09, 'Information Technology,Market Efficiency and System Regulation :An Emprical Study of The Taiwan Stock Market Surveillance System, ' Sino-South Africa Bilateral Symposium., Sep. 1994 |
| 1994 | 陳威光, 1994.04, 'An Empirical Test of Put-Call-Futures-Parity--A Relationship between Index Option and Futures Prices, ' 中國財務學會八十三年論文研討會., Apr. 1994 |
| 1993 | 陳威光, 1993.12, 'An Investigation of Stock Index Option Prices during the 1987 Stock Crash, ' 第二屆證券暨金融市場之理論與實務研討會., Dec. 1993 |
| 1993 | 陳威光, 1993.05, 'An Alternative Test of the Black-Scholes Option Pricing Models, ' 中國財務學會年會., May. 1993 |
| 1992 | 陳威光, 1992.03, 'The Valuation and Efficiency Test of Stock Index Option Markets:A Evidence from the 1987 Stock Crash, ' Eastern Economics Association Conference Meeting., Mar. 1992 |
| Year | Book Title |
|---|---|
| 2019 | 陳威光*, 2019.07, '金融創新與商品個案, ' 新陸書局.(*為通訊作者), 428236, Jul. 2019 |
| 2018 | 陳威光*, 2018.09, '期貨與選擇權-金融創新個案, ' 新陸書局.(*為通訊作者), 419601, Sep. 2018 |
| 2015 | 陳威光*, 2015.08, '期貨與選擇權原理, '.(*為通訊作者), 408012, Aug. 2015 |
| 2013 | 陳威光*, 2013, '衍生金融工具(簡體版), '.(*為通訊作者), 404268, 2013 |
| 2010 | 陳威光*, 2010.09, '選擇權-理論、實務與風險管理, ' 智勝文化.(*為通訊作者), 401124, Sep. 2010 |
| 2010 | 陳威光*, 2010.03, '衍生性商品-選擇權、期貨、交換與風險管理, ' 智勝公司, pp.1-509.(*為通訊作者), 307408, Mar. 2010 |
| 2003 | 陳威光, 2003.01, '新金融商品個案集 I, ' 智勝文化事業有限公司., 174413, Jan. 2003 |
| 2001 | 陳威光, 2001.06, '衍生性金融商品─選擇權、期貨與交換, ' 智勝文化事業有限公司., 174412, Jun. 2001 |
| 2000 | 陳威光, 2000.10, '選擇權 - 理論、實務與應用, ' 智勝文化事業有限公司., 174411, Oct. 2000 |
| 1997 | 陳威光, 1997.05, '怡富日本美元還本收益基金的設計與行銷之個案研究, ' 服務管理個案系列, 政大商學院., 135496, May. 1997 |
| Project Category | Year | Project Title | Participator | Job Title | Period | Unit |
|---|---|---|---|---|---|---|
| MOST Projects | 103 | 波動度選擇權的資訊內涵 | CHEN WEI-KUANG | Principal Investigator | 2014.08 ~ 2015.07 | Ministry of Science and Technology |
| Other Projects | 103 | 計算與運用經濟資本 | TSAI CHENG-HSIEN,KUO WEIYU,KUO WEIYU,CHEN WEI-KUANG,CHEN WEI-KUANG | 2014.04 ~ 2014.10 | ||
| Other Projects | 102 | 提升投資風險之策略性風險管理 | TSAI CHENG-HSIEN,KUO WEIYU,KUO WEIYU,CHEN WEI-KUANG,CHEN WEI-KUANG | 2013.06 ~ 2013.10 | ||
| MOST Projects | 100 | 波動度選擇權的隱含波動度 | CHEN WEI-KUANG | Principal Investigator | 2011.08 ~ 2012.07 | Ministry of Science and Technology |
| MOST Projects | 93 | 選擇權之評價：Ornstein-Uhlenbeck 股價變動過程下 | CHEN WEI-KUANG,CHIANG MI-HSIU | Principal Investigator | 2004.08 ~ 2005.07 | Ministry of Science and Technology |
| Other Projects | 92 | 期貨市場交割結算基金總額計算方式之研究 | CHEN WEI-KUANG,TSAI CHENG-HSIEN,KUO WEIYU | Principal Investigator | 2003.09 ~ 2004.02 | |
| MOST Projects | 92 | 美式蒙地卡羅模擬法之研究與延伸 | CHEN WEI-KUANG | Principal Investigator | 2003.08 ~ 2004.07 | |
| Other Projects | 92 | 期貨商台指期貨與選擇權營運成本之研究分析 | CHEN WEI-KUANG,KUO WEIYU | Principal Investigator | 2003.01 ~ 2003.04 | |
| MOST Projects | 90 | 以分解結合法加速界限選擇權評價之效率 | CHEN WEI-KUANG,CHOW HSING-YI | Principal Investigator | 2001.08 ~ 2002.07 | |
| MOST Projects | 89 | 界限選擇權之評價與避險－以ADAPTIVE MESH MODEL來增加三元樹評價的效率 | CHEN WEI-KUANG,CHOW HSING-YI | Principal Investigator | 2000.08 ~ 2001.07 | |
| MOST Projects | 89 | 交易成本及漲跌幅限制下認購權證之最適避險策略 | CHEN WEI-KUANG,CHOW HSING-YI | Principal Investigator | 1999.08 ~ 2000.07 | Ministry of Science and Technology |
| MOST Projects | 88 | 神經網路在選擇權定價上之應用 | CHEN WEI-KUANG,TSAIH RUA-HUAN | Principal Investigator | 1998.08 ~ 1999.07 | Ministry of Science and Technology |
| MOST Projects | 87 | 漲跌幅限制下認股權之評價 | CHEN WEI-KUANG | Principal Investigator | 1997.08 ~ 1998.07 | Ministry of Science and Technology |
| MOST Projects | 86 | 衍生性產品之市場風險衡量---Value-At-Risk(VAR)模型應用之探討 | CHEN WEI-KUANG | Principal Investigator | 1996.08 ~ 1997.07 | Ministry of Science and Technology |
| Year | Research Title | Publish Date | Authors |
|---|---|---|---|
| 2002 | 陳威光, 2002, '以分解結合法加速界限選擇權評價之效率, ' 國科會. | ||
| 2001 | 陳威光, 2001, '界限選擇權之評價與避險─以adaptive mesh model來增加三元樹評價之效率, ' 國科會. | ||
| 2000 | 陳威光, 2000, '神經網路在選擇權定價上之應用, ' 國科會. | ||
| 2000 | 陳威光, 2000, '交易成本及漲跌幅限制下認購權証之最適避險策略, ' 國科會. | ||
| 1999 | 陳威光, 1999, '漲跌幅限制下認股權之評價, ' 國科會. | ||
| 1997 | 陳威光, 1997.05, '股價指數期貨與股票報酬互動關係之研究, ' 國科會. | 1997-05-01 | |
| 1996 | 陳威光, 1996.01, '台灣地區未來設立現貨選擇權契約種類之研究, ' 國科會. | 1996-01-01 | |
| 1996 | 陳威光, 1996.01, '外匯選擇有關買權賣權之實證研究, ' 國科會. | 1996-01-01 | |
| 1994 | 陳威光, 1994.05, '選擇權訂價模型中有關無風險投資組合的研究, ' 國科會. | 1994-05-01 | |
| 陳威光, '美式蒙地卡羅模擬法之研究與延伸, ' 行政院國科會. | 2024-07-01 |
| Country | School Name | Department | Degree | Duration |
|---|---|---|---|---|
| UNITED STATES | State University of New York | Economics | 博士 | 1987.09 ~ 1992.06 |
| TAIWAN, REPUBLIC OF CHINA | 國立臺灣大學 | 經濟學系 | 學士 | 1978.09 ~ 1981.06 |
| Experience Category | Organization Title | Department | Job Title | Duration |
|---|---|---|---|---|
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2023.08 ~ 2023.08 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2021.02 ~ 2023.02 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2019.08 ~ 2020.08 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2016.08 ~ 2019.02 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2013.01 ~ 2016.02 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2007.08 ~ 2013.01 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 2006.02 ~ 2007.02 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 教授 | 1999.08 ~ 2005.08 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Money and Banking | 副教授 | 1995.08 ~ 1999.08 |
