廖四郎
状态 名誉,兼任
姓名 廖四郎
电子邮件
联络电话 87141(系办)
职称 教授
研究专长 数码金融、国际金融、金融机构风险管理、财务工程
授课领域 财务经济学、金融科技、投资与交易策略、结构型债券
年度 论文名称
2020 廖四郎*, 2020.07, 'Cojump risks and their impacts on option pricing, '.(*为通讯作者), vol. 438567, Jul. 2020
2020 Kin-Boon Tang, 2020.02, 'Excess Volatility and Market Efficiency in Government Bond Markets: The ASEAN-5 Contex, ' Journal of Asset Management, Vol.21, No.February, pp.154-165., vol. 438566, Feb. 2020
2019 廖四郎*, 2019.12, '卷积神经网络预测时间序列能力分析, '.(*为通讯作者), vol. 438565, Dec. 2019
2018 Chung-Hsiang Tung*;Szu-Lang Liao;Mian-Mian Tsai, 2018.07, 'Applying Crisis Warning Conditions of Technical Analysis to Predict Stock Market Bubbles in China, Hong Kong and Taiwan, ' International Research Journal of Finance and Economics (EconLit), Vol.July, 2018, No.Issue 168, pp.68-75.(*为通讯作者), vol. 438564, Jul. 2018
2018 Jerry T. Yang;Szu-Lang Liao;Jung-Home Chen*, 2018.01, 'Analyzing Target Redemption Forward Contracts under Levy Process, ' International Research Journal of Finance and Economics (EconLit), Vol.165, No.2018, pp.6-10.(*为通讯作者), vol. 438563, Jan. 2018
2018 Szu-Lang Liao;Chien-Hsiu Lin*;Chia-Wei Lai;Jung-Hsuan Lin, 2018.01, 'Influences of Quantitative Easing Policy on Volatility and Correlation among Asian Financial Markets, ' International Research Journal of Finance and Economics (EconLit), Vol.165, No.2018, pp.1-5.(*为通讯作者), vol. 438562, Jan. 2018
2017 Hsiao-Fen Hsiao;Szu-Lang Liao*;Chi-Wei Su;Hao-Chang Sung, 2017.08, 'Product Market Competition, R&D Investment Choice, and Real Earnings Management, ' International Journal of Accounting & Information Management, Vol.25, No.3, pp.296-312.(*为通讯作者), vol. 438559, Aug. 2017
2017 廖四郎;林士贵;廖志伟*, 2017.06, 'Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Markets, ' International Research Journal of Finance and Economics, No.Issue 162, pp.7-23.(EconLit)(*为通讯作者), vol. 438561, Jun. 2017
2015 Yu-Min Lian*;Jun-Home Chen;Szu-Lang Liao, 2015.12, 'Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy, ' Finance Research Letters, Vol.16, pp.208-219.(SSCI)(*为通讯作者), vol. 438558, Dec. 2015
2015 Yu-Min Lian*;Szu-Lang Liao;Jun-Home Chen, 2015.07, 'State-dependent Jump Risks for American Gold Futures Option Pricing, ' North American Journal of Economics and Finance, Vol.33, pp.115-133.(SSCI)(*为通讯作者), vol. 438551, Jul. 2015
2015 涂登才;廖志伟*;廖四郎, 2015.06, 'Volume Trading Based Volatility Forecasting in Taiwanese Equity Market, ' International Research Journal of Finance and Economics, No.Issue 135, pp.66-85.(EconLit)(*为通讯作者), vol. 438560, Jun. 2015
2015 Tsung-Ying Tsai;Yu-Min Lian*;Szu-Lang Liao, 2015.01, 'Information Transmission of International Stock Market and Domestic Futures Market: Evidence from Taiwan Stock Market, ' International Research Journal of Finance and Economics, No.129, pp.20-31.(EconLit)(*为通讯作者), vol. 438553, Jan. 2015
2015 Yu-Min Lian*;Szu-Lang Liao, 2015, 'The Volatility Structure of Oil Futures Market Returns: An Empirical Investigation, ' Investment Management and Financial Innovations, Vol.12, No.2, pp.16-25.(EconLit)(*为通讯作者), vol. 438552, 2015
2014 Yu-Min Lian*;Szu-Lang Liao, 2014.10, 'Risk Determinants of Gold Betas, ' The Empirical Economics Letters, Vol.13, pp.1099-1104.(EconLit)(*为通讯作者), vol. 438554, Oct. 2014
2014 廖四郎;蔡宗颖*, 2014.09, 'The Information Transmission Effect and Asset Prices: Evidence from the China B-Share Discount, ' Emerging Markets Finance and Trade,.(SSCI)(*为通讯作者)(本论着未刊登但已被接受), vol. 438549, Sep. 2014
2014 张惠龙*;吴寿山;廖四郎, 2014.09, 'Investment of Foreign Financial Institutions in China Banking Sector: A Survival Model Analysis, ' Journal of Financial Studies, Vol.22, No.3, pp.1-24.(TSSCI)(*为通讯作者), vol. 438547, Sep. 2014
2014 卢淑惠*;张惠龙;廖四郎, 2014.06, 'Currency Hedging Strategy and Analysis of Taiwan Export-Oriented Firms, ' International Research Journal of Finance and Economics, Vol.121.(EconLit)(*为通讯作者)(本论着未刊登但已被接受), vol. 438548, Jun. 2014
2014 林士贵;连育民*;廖四郎, 2014.04, 'Pricing gold options under Markov-modulated jump-diffusion processes, ' Applied Financial Economics, Vol.24, No.12, pp.825-836.(EconLit)(*为通讯作者), vol. 438550, Apr. 2014
2014 Szu-Lang Liao;Jun-Home Chen;Yu-Min Lian*, 2014.03, 'Stylized Empirical Features of Asset Return andAmerican Option pricing under time-changed, ' Soochow Journal of Economics and BusinessNo, No.84, pp.1-24.(其他)(*为通讯作者), vol. 438555, Mar. 2014
2013 廖四郎;连育民*;林斯郁, 2013.12, '两岸动态利率期限结构—马可夫状态转换跳跃扩散模型之实证研究及其货币政策意涵, ' 两岸金融季刊, Vol.1, No.2, pp.37 - 59.(其他)(*为通讯作者), vol. 438556, Dec. 2013
2013 Szu-Lang Liao;Yu-Min Lian*, 2013.09, 'The Valuation of Currency Options with Markov-Modulated Jump Risks, ' International Research Journal of Finance and Economics, No.114, pp.93-101.(EconLit)(*为通讯作者), vol. 438557, Sep. 2013
2013 Wu, Ming-Cheng;Liao Szu-Lang;Huang Yi-Ting*, 2013.09, 'Determinants of the Adoption of Executive Stock Options in China, ' Chinese Economy, Vol.46, No.3, pp.63-84.(EconLit)(*为通讯作者), vol. 438538, Sep. 2013
2013 Szu-Lang Liao;Jing -Yi Chen*, 2013.08, 'Spatial and Temporal Effects of High-Speed Rail on House Prices – A Case of Kaohsiung City, ' Journal of Housing Studies, Vol.22, No.1, pp.25-54.(TSSCI)(*为通讯作者), vol. 438540, Aug. 2013
2013 Wu, Ming-Cheng*;Liao, Szu-Lang;Huang, Yi-Ting, 2013.08, 'The Relation between Equity-based Compensation and Managerial Risk-taking: Evidence from China, ' Emerging Markets Finance and Trade, Vol.49, No.2, pp.107-125.(SSCI)(*为通讯作者), vol. 438543, Aug. 2013
2013 Hui-Lung Chang*;Szu-Lang Liao;Sou-Shan Wu, 2013.07, 'An Analysis of Strategic Equity Stakes Acquisition of Chinese Bank by Foreign Financial Institutions, ' Emerging Markets Finance & Trade, Vol.49, No.3, pp.98-109.(SSCI, EconLit)(*为通讯作者), vol. 438544, Jul. 2013
2012 Liao Szu-Lang;Tsai Ming_shann;Chen Jun-Home;Li Chia-huang*, 2012.06, 'Valuation of Convertible Bond Under Levy Process with Default Risk, ' Journal of the Chinese Statistical Association, Vol.50, No.2, pp.48-70.(EconLit)(*为通讯作者), vol. 438541, Jun. 2012
2012 Wang Ming-Chieh;Huang Li-Jhang*;Liao Szu-Lang, 2012.05, 'Option Pricing Using the Martingale Approach with Polynomial Interpolation, ' Journal of Futures Markets, Vol.33, No.5, pp.469-491.(SSCI)(*为通讯作者), vol. 438542, May. 2012
2012 Chang Hui-Lung*;Wu Sou-Shan;Liao Szu-Lang, 2012.05, 'The Analysis of Entry Time and Model in China Banking Sector for Following Financial Institutes-Real Option Approach, ' International Research Journal of Finance and Economics, Vol.0, No.90, pp.136-145.(EconLit)(*为通讯作者), vol. 438539, May. 2012
2012 Pao-Peng Hsu;Szu-Lang Liao, 2012.04, 'The Portfolio Strategy and Hedging: a Spectrum Perspective on Mean-Variance Theory, ' International Review of Economics and Finance, Vol.22, No.1, pp.129-140.(SSCI), vol. 438535, Apr. 2012
2011 Liao Szu-Lang;Sung Hao-Chang, 2011.12, 'Not-for-Profit Service that Leads Profit: Delegation and Competition between Not-for-Profit and For-Profit Organizations, ' International Research Journal of Finance and Economics, Vol.0, No.80, pp.40-48.(FLI), vol. 438536, Dec. 2011
2011 Liao Szu-Lang;Yang Hsiu-Pi;Tsai Hung-Pin, 2011.06, 'A Valuation of Quanto Constant Maturity Swap Products under the Three-Factor BGM Model, ' Journal of the Chinese Statistical Association, Vol.49, No.2, pp.60-81.(EconLit), vol. 438537, Jun. 2011
2010 Liao Szu-Lang;Tasi Hung-Ping;Lin Shih-Kuei, 2010.09, 'An Efficient Valuation and Hedging of Constant Maturity Swap Products under BGM Model, ' Journal of the Chinese Statistical Association, Vol.48, No.3, pp.161-189.(EconLit), vol. 438534, Sep. 2010
2010 Shih-Kuei Lin*;Szu-Lang Liao;Te-Cheng Lin, 2010.08, 'Credit Risks with Levy Processes under a Stochastic Interest Rate: A Structural Form Model, ' Review of Securities and Futures Markets, Vol.21, No.4, pp.139-149.(TSSCI)(*为通讯作者), vol. 438529, Aug. 2010
2010 Chen Zeng-Hui*;Liao Szu-Lang, 2010.06, 'Elucidating Asymmetrical Volatility in Asset Returns and Optimizing Portfolio Choice Using Time-Changed Levy Processes, ' Journal of Financial Studies, Vol.18, No.2, pp.135-166.(TSSCI)(*为通讯作者), vol. 438532, Jun. 2010
2010 Jui-Jane Chang*;Szu-Lang Liao, 2010.04, 'Warrant Introduction Effects on Stock Return Processes, ' Applied Financial Economics, Vol.20, No.17, pp.1377-1395.(FLI)(*为通讯作者), vol. 438533, Apr. 2010
2010 Liao Szu-Lang;Chang Jui-Jane*, 2010.02, 'Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing, ' Journal of Futures Markets, Vol.30, No.11, pp.1007-1105.(SSCI)(*为通讯作者), vol. 438528, Feb. 2010
2009 廖四郎*;P. P. Hsu, 2009.10, 'Pricing and Hedging of Quanto Range Accrual Notes under Gaussian HJM with Cross-Currency Levy Processes/ Journal of Futures Markets, ' Journal of Futures Markets, Vol.29, No.10, pp.973-998.(SSCI)(*为通讯作者), vol. 438523, Oct. 2009
2009 廖四郎;M. L. Chang;H. P. Lin, 2009.08, 'The Relationship between Book-Tax Difference and Earnings Management (财税差异与盈馀管理之关联性研究), ' 管理学报, Vol.26, No.4.(TSSCI), vol. 438527, Aug. 2009
2009 江明珠*;李政峰;廖四郎;徐守德, 2009.07, '短期利率条件分配之尾部差异性检定与风险值/ 中山管理评论, ' 中山管理评论, Vol.17, No.2, pp.517.(TSSCI)(*为通讯作者), vol. 438530, Jul. 2009
2009 吴仰哲*;廖四郎;林士贵, 2009.07, 'Levy与GARCH-Levy过程之选择权评价与实证分析：台湾加权股价指数选择权为例/ 管理与系统, ' 管理与系统,.(TSSCI)(*为通讯作者)(本论着未刊登但已被接受), vol. 438520, Jul. 2009
2009 吴仰哲*;廖四郎;徐守德, 2009.02, 'Closed-form Valuations of Basket Options Using a Multivariate Normal Inverse Gaussian Model, ' Insurance: Mathematics and Economics, Vol.44, No.1, pp.95-102.(SSCI)(*为通讯作者), vol. 438525, Feb. 2009
2009 廖四郎*;M. S. Chen; F. C. Li, 2009.02, 'A Factor-Copula Based Valuation of Synthetic CDO-Squared under Stochastic Intensity/ International Journal of Information and Management Sciences, ' International Journal of Information and Management Sciences, Vol.44, No.1, pp.95-102.(EI)(*为通讯作者), vol. 438524, Feb. 2009
2009 Y. C. Wu*;廖四郎;S. D. Shyu, 2009.02, 'Closed-form Valuations of Basket Options Using a Multivariate Normal Inverse Gaussian Model/ Insurance: Mathematics and Economics, ' Insurance: Mathematics and Economics, Vol.44, No.1, pp.95-102.(SSCI)(*为通讯作者), vol. 438522, Feb. 2009
2009 廖四郎*;M. S. Chen;李福庆, 2009.02, 'A Factor-Copula Based Valuation of Synthetic CDO-Squared under Stochastic Intensity, ' International Journal of Information and Management Sciences, Vol.29, No.1, pp.103-120.(EI)(*为通讯作者), vol. 438512, Feb. 2009
2009 廖四郎;徐保鹏, 2009, 'Princing and Hedging of Quanto Range Accrual Notes under Guassian HJM with Cross-Currency Levy Processes, ' Journal of Futures Markets, Vol.29, No.40, pp.973-998.(SSCI), vol. 438526, 2009
2009 陈芬英*;廖四郎, 2009, 'Modelling VaR for Foreign-asset Portfolios in Continuous Time/ Economic Modelling, ' Economic Modelling, Vol.26, pp.234-240.(SSCI)(*为通讯作者), vol. 438531, 2009
2009 陈芬英*;廖四郎, 2009, 'Modelling VaR for Foreign-asset Portfolios in Continuous Time, ' Economic Modelling, Vol.26, No.1, pp.234-240.(SSCI)(*为通讯作者), vol. 438515, 2009
2009 张嘉倩*;王昭文;廖四郎, 2009, 'The Valuation of Special Purpose Vehicles by Issuing Structured Credit Linked Notes, ' Applied Financial Economics, Vol.19, No.3, pp.227-256.(*为通讯作者), vol. 438511, 2009
2008 廖四郎;张智凯;林士贵, 2008.09, '可解约分红保单之递回评价公式, ' 财务金融学刊, Vol.16, No.3, pp.107-147.(TSSCI), vol. 438518, Sep. 2008
2008 廖四郎*;蔡明宪;江淑玲, 2008.07, 'Closed-Form Mortgage Valuation Using Reduced-Form Model/Real Estate Economics, ' Real Estate Economics, Vol.36, No.2, pp.313-347.(SSCI)(*为通讯作者), vol. 438500, Jul. 2008
2008 Szu-Lang Liao;Yang-Che Wu;So-De Shyu, 2008.07, 'Pricing Catastrophe Insurance Derivatives with Stochastic Interest Rates and Regime-Switching Jump Diffusion Losses, ' Icfai Journal of Risk and Insurnace,.(EconLit)(本论着未刊登但已被接受), vol. 438517, Jul. 2008
2008 廖四郎;吴仰哲;林士贵, 2008.07, 'Levy与Garch-Levy过程之选择权评价与实证分析：台湾加权股价指数选择权为例, ' 管理与系统,.(TSSCI)(本论着未刊登但已被接受), vol. 438516, Jul. 2008
2008 Y. C. Wu*;S. L. Liao;S. D. Shyu, 2008.07, 'Pricing Catastrophe Insurance Derivatives with Stochastic Interest Rates and Regime-Switching Jump Diffusion Losses/ Icfai Journal of Risk and Insurance, ' Icfai Journal of Risk and Insurance, Vol.5, No.4, pp.7-28.(*为通讯作者), vol. 438521, Jul. 2008
2008 廖四郎;F. Y. Chen*, 2008.07, 'Modelling VaR for Foreign-asset Portfolios in Continuous Time/Economic Modelling, ' Economic Modelling,.(SSCI)(*为通讯作者)(本论着未刊登但已被接受), vol. 438519, Jul. 2008
2008 廖四郎*;王昭文;T. Y. Wu, 2008.07, 'Pricing Generalized Capped Exchange Options, ' Applied Financial Economics, Vol.18, No.9, pp.765-776.(*为通讯作者), vol. 438510, Jul. 2008
2008 连春红;廖四郎*;徐守德, 2008.07, '台湾短期利率模型样本外预测之实证研究, ' 证券市场发展季刊, Vol.21, No.2, pp.151-181.(TSSCI)(*为通讯作者), vol. 438507, Jul. 2008
2008 廖四郎;江明珠;李政峰;徐守德, 2008.03, '短期利率条件分配之尾部差异性检定与风险值, ' 中山管理评论,.(TSSCI)(本论着未刊登但已被接受), vol. 438514, Mar. 2008
2008 廖四郎, 2008, 'Closed-Form Mortgage Valuation Using, ' Real Estate Economics, Vol.V36, No.2, pp.313-347.(SSCI), vol. 438495, 2008
2008 蔡明宪;廖四郎;江淑玲, 2008, 'Analyzing Yield, Duration and Convexity of Mortgage Loans under Prepayment and Default Risks, ' Journal of Housing Economics,.(SSCI), vol. 438513, 2008
2008 廖四郎*;张智凯;林士贵, 2008, '可解约参与型保单之递回评价公式, ' 财务金融学刊,.(TSSCI)(*为通讯作者), vol. 438509, 2008
2008 廖四郎*;李福庆, 2008, 'Valuation of Synthetic Collateralized Debt Obligations: Application of Factor Copula and SSRD stochastic Intensity Model, ' Collaborative Research in Financial Services: Risk Management and Actuary,.(*为通讯作者), vol. 438508, 2008
2007 廖四郎*, 2007.06, 'Real Estate Economics, ' Real Estate Economics,.(SSCI)(*为通讯作者)(本论着未刊登但已被接受), vol. 438493, Jun. 2007
2007 廖四郎, 2007, 'pricing Generalized Capped Exchange option, ' Financial Economics,.(EI)(本论着未刊登但已被接受), vol. 438494, 2007
2006 廖四郎;黄星华, 2006.12, 'Effects of Macroeconomic Conditions and Firm-Level Productivity on Optimal Capital Structure: Theory and Evidence, ' Journal of Financial Studies, Vol.14, No.4, pp.1-27.(TSSCI), vol. 438492, Dec. 2006
2006 廖四郎*;黄星华, 2006.09, 'Valuation and Optimal Strategies of Convertible Bonds, ' Journal of Futures Markets, Vol.26, No.9, pp.895-922.(SSCI)(*为通讯作者), vol. 438490, Sep. 2006
2006 李国荣*;廖四郎;徐守德, 2006.08, '不确定下之最适购并决策分析, ' 财务金融学刊, Vol.14, No.3, pp.111-140.(TSSCI)(*为通讯作者), vol. 438491, Aug. 2006
2006 廖四郎*;陈昭君, 2006.01, 'The Valuation of European Options When Asset Returns Are Autocorrelated, ' Journal of Futures Markets, Vol.26, No.1, pp.85-102.(SSCI)(*为通讯作者), vol. 438482, Jan. 2006
2005 廖四郎*;黄星华, 2005.10, 'Pricing Black-Scholes Options with Correlated Interest Rate Risk and Credit Risk: An Extension, ' Quantitative Finance, Vol.5, No.5, pp.443-457.(SSCI)(*为通讯作者), vol. 438488, Oct. 2005
2005 廖四郎;陈芬英, 2005.10, '上限型股权连结保本票券之设计、评价和比较, ' 管理学报, Vol.22, No.5, pp.653-670.(TSSCI), vol. 438487, Oct. 2005
2005 王昭文*;廖四郎, 2005.08, '利率、汇率及价格风险下远期价格树状模型, ' 财务金融学刊, Vol.13, No.2, pp.29-70.(TSSCI)(*为通讯作者), vol. 438486, Aug. 2005
2005 廖四郎;李福庆, 2005.06, '担保债权凭证之评价─Copula分析法, ' 台湾金融财务季刊, Vol.6, No.2, pp.53-84., vol. 438484, Jun. 2005
2005 连春红;廖四郎;李政峰, 2005.01, '估计与比较连续时间利率模型--多国实証分析, ' 管理评论, Vol.24, No.1, pp.29-54.(TSSCI), vol. 438478, Jan. 2005
2005 廖四郎;王昭文;吴锦文, 2005, '随机利率与信用风险下股权联动结构型票券之订价及避险策略, ' 证券市场发展季刊, Vol.17, No.4, pp.191-220.(TSSCI), vol. 438489, 2005
2005 廖四郎*;黄星华;吕桔诚, 2005, 'Financial Synergies and Optimal Stock Exchange Ratio in a Cross-Border M&A—Real Option Approach, ' Collaborative Research in Econometrics, Quantitative Finance, Operations Research and Risk Management,.(*为通讯作者), vol. 438506, 2005
2003 廖四郎;吕桔诚;王昭文, 2003, '组合型选择权之评价及其在投资组合避险策略上之应用, ' 亚太经济管理评论, Vol.6, No.3., vol. 438460, 2003
2003 廖四郎;康荣宝;张嘉倩, 2003, '保本型票券之定价及避险策略, ' 证券暨期货管理杂志, Vol.21, No.7, pp.52-68., vol. 438459, 2003
2003 廖四郎;陈坤铭;郑宗松, 2003, '最适投资决策与产品生命周期─实质选择权分析法, ' 中山管理评论,.(TSSCI), vol. 438434, 2003
2003 Liao, S. L.;C.W Wang, 2003, 'The Valuation and Hedging Strategies of High Yield Notes, ' Academia Sinica Paper, Vol.31, No.3.(TSSCI), vol. 438449, 2003
2003 Liao, S. L., 2003, 'Pricing Models of Equity Swaps, ' Journal of Futures Markets, Vol.23, pp.751-772.(SSCI), vol. 438448, 2003
2003 廖四郎*;陈坤铭;郑宗松, 2003, '最适投资决策与产品生命周期─实质选择权分析法, ' 中山管理评论,.(TSSCI)(*为通讯作者), vol. 438505, 2003
2002 廖四郎;吕桔诚;廖政芳, 2002.10, '信用风险下的股酬交换评价, ' 货币市场, Vol.6, No.5, pp.21-44., vol. 438437, Oct. 2002
2002 Liao, S. L.;Y. T. Tsay;M. L. Chang, 2002, 'The Impact of Share Holding and Ability of Managers on The Firm Value of State-Owned Enterprises in China - An Application of Financial Agency Theory, ' NSYSU Management Review, No.10, pp.3-39.(TSSCI), vol. 438436, 2002
2002 Liao, S. L.;C. W. Wang, 2002, 'Pricing Arithmetic Average Reset Options with Control Variates, ' Journal of Derivatives, Vol.0, No.10, pp.59-74.(SSCI), vol. 438435, 2002
2002 Liao, S. L.;C. W. Wang, 2002, 'The Valuation of Reset Options with Multipla Strike Resets and Reset Dates, ' Journal of Futures Markets, Vol.23, pp.87-107.(SSCI), vol. 438446, 2002
2001 廖四郎;黄瑞静;徐守德, 2001.04, '两税合一对公司价值，股利政策与资本结构之影响─动态资本结构模型之应用与台湾产业之实証研究, ' 管理评论, Vol.20, No.2, pp.55-86.(TSSCI), vol. 438453, Apr. 2001
2000 廖四郎;王铭杰;徐守德, 2000.09, '股酬交换的一般化评价模型, ' 亚太经济管理评论, Vol.4, No.1, pp.73-95., vol. 438452, Sep. 2000
2000 廖四郎;王凤生, 2000.06, '金融市场套利模型与投资性攻击分析─兼论1998年香港政府干预金融市场事件, ' 东吴经济商学学报, No.29, pp.47-63., vol. 438454, Jun. 2000
2000 廖四郎;蔡明宪;徐守德;许溪南, 2000.04, '美式选择权的定价─隐含相信模型及美国S&P 100指数选择权的应用, ' 中国财务学刊, Vol.8, No.1, pp.33-66.(TSSCI), vol. 438451, Apr. 2000
2000 廖四郎;杨淑媛;黄瑞静, 2000.03, '从动态资本结构模型探讨台湾产业最适资本结构, ' 亚太经济管理评论, Vol.3, No.2, pp.41-64., vol. 438458, Mar. 2000
2000 廖四郎;徐守德;王毓敏, 2000.03, '亚洲股市间的关系─动态过程的检定, ' 亚太管理评论, Vol.5, No.1, pp.15-27., vol. 438456, Mar. 2000
2000 廖四郎;蔡明宪;徐守德, 2000, '人寿保险费率的分析─从选择权理论观点, ' 风险管理学报, Vol.2, No.1, pp.1-24., vol. 438455, 2000
2000 Liao, S. L.;Y.C Chang;L. K Hu, 2000, 'Valuation of Cross-Currency Two-way Equity SWAPS without Currency Risks, ' Pacific Basin Business, Economics, and Finance, Vol.4, pp.251-275., vol. 438447, 2000
1999 廖四郎;林信惠;许婉琳;王铭杰, 1999.09, '台股指数期货套利分析与类神经网络之应用, ' 亚太经济管理评论, Vol.3, No.1, pp.41-63., vol. 438450, Sep. 1999
1999 廖四郎;徐守德;王毓敏;叶正干, 1999.03, '台湾地区商业银行的技术性效率研究, ' 亚太经济管理评论, Vol.2, No.2, pp.23-48., vol. 438457, Mar. 1999
1998 廖四郎*, 1998.10, '从Black-Scholes模型分析论数理财务模型之发展, ' 亚太经济管理评论,.(*为通讯作者), vol. 438504, Oct. 1998
1997 廖四郎*;徐守德;王铭杰, 1997.10, '台湾远期美元外汇市场风险溢酬之研究, ' 中国财务学刊, Vol.5, No.2.(TSSCI)(*为通讯作者), vol. 438503, Oct. 1997
1997 廖四郎*, 1997, '评两种资本主义之战争与国家竞争力, ' 中山管理评论,.(TSSCI)(*为通讯作者), vol. 438502, 1997
年度 论文名称
2007 廖四郎, 2007, 'Analyzing Yield, Duration, ' Fifteenth annual Conference on Pacific Basin Finance, Economics, Accounting., 2007
2005 廖四郎, 2005, 'Financial Synergies and Optimal Stock, ' 管理新思维学术研讨会., 2005
2005 廖四郎, 2005, 'Yield and Duration Analysis of Mortgage, ' The International Conference on Contemporary Issues in Financial., 2005
2004 Liao, S. L.;H. H. Huang, 2004, 'Analyzing Convertible Bonds: Valuation, Optimal Strategies and Asset, ' Quantitative Methods in Finance 2004 Conference, Austrial Sydney., 2004
2003 Liao, S. L., 2003, 'An Efficient Tree Method of Option Pricing under Stochastic Interest Rates, ' The Conference on Financial Engineering, NCTU., 2003
2003 Liao, S. L.;C. W. Wang, 2003, 'The Valuation of Convertible Bond with Credit Risk, ' The 7th Conference on Empirical Economics, Taiwan., 2003
2003 Liao, S. L., 2003, 'The Valuation of Generalized Capped Exchange Options, ' The Annual Conference of Chinese Probability and Statistics Association, Taiwan., 2003
2002 Liao, S. L.;C. W. Wang, 2002, 'Forward-Price and The Implied Spot-Price Tree Method of Option Pricing-with An Application to Extended Vasicek Model, ' CIFER, CIFER., 2002
2002 Liao, S. L.;G. C. Lyu;H. H. Huang, 2002, 'Bonds Valuation and Agency Problems-A Contingent Claims Approach under Optimal Capital Structure, ' the 11th Annual Conference on the Theories and Practices of Securities and Financial Markets, Taiwan., 2002
2002 Liao, S. L.;M. C. Wang, 2002, 'The Pricing Models of Cross-Currency Equity Swaps and Swaptions, ' Conference on Finance and Industry, Taiwan., 2002
2002 Liao, S. L., 2002, 'On the Implementation of Continuous-Time Interest Rate Models, ' Workshop on Probability with Applications to Finance and Insurance, Hong Kong University,., 2002
2002 Liao, S. L., 2002, 'Pricing Convertible Bonds with Credit Risk under Gaussian HJMFramework, ' Taipei International Statistical Symposium and BernoulliSociety EAPR Conference., EAPR., 2002
2002 Liao, S. L.;C. W. Wang, 2002, 'The Valuation of Generalized Capped Options, ' Academic Conference of Finance, Taiwan Finance Association,., 2002
2001 Liao, S. L.;C. W. Wang, 2001, 'The Forward-Pricing Tree Methods of Option Pricing under Gaussian HJM framwork of Stochastic Interest Rates, ' The 10th Annual Conference on The Theories and Practices of Security and Financial Markets, Taiwan., 2001
2001 Liao, S. L., 2001, 'An Efficient Multinimial-Based Method of Option Pricing., ' The 11th Annual Conference of The Chinese Statistical Association, R.O.C., 2001
2001 Liao, S. L.;C. W. Wang, 2001, 'Valuation of general reset options, ' International Conference of Quantitative Finance, Academic Sinica., 2001
2001 Liao, S. L.;C. S. Cheng;L. K. Hu, 2001, 'Real Option and Product Life Cycle, ' The 2001 Annual Conference of CFA, Taiwan., 2001
2001 Liao, S. L.;C. W. Wang, 2001, 'The Valuation of Generalized Time-Varing Discrete Capped Exchange Options with Related Asset as Trigger and A Stochastic Barrier under Stochastic Interest Rate., ' The 2001 Annual Conference of CFA, Taiwan., 2001
2001 Liao, S. L., 2001, 'The Valuation of Basket Options and Portfolio Insurance, ' The 2nd Conference on Empirical Economics, Taiwan., 2001
2000 Liao, S. L.;Ming-Lei Wang, 2000, 'Capital Budgeting and Optimal Financing under Uncertainty, ' The 9th Annual Conference on The Theories and Practices of Security and Financial Markets, Taiwan., 2000
1999 Liao, S. L.;M. C. Wang;D. S. Hsyu, 1999, 'Pricing Cross-Currency Equity Swaps, ' The 8th Annual Conference on The Theories and Practices of Security and Financial Markets., Taiwan., 1999
1997 廖四郎, 1997, '海运转运中心的比较经济利益分析, ' 后九七台湾与香港的未来展望学术研讨会., 1997
1997 廖四郎, 1997, '有交易成本的均衡与套利资产定价, ' 中国统计学会年会., 1997
1997 Liao, S. L., 1997, 'Testing the Efficiency of Taiwan Forward US Dollar Market, ' 第五届证券暨金融市场理论与实务研讨会., 1997
年度 书名
2012 廖四郎*;陈惟龙;程国荣;高子钧;董梦云, 2012.12, '财务工程理论与实务, ' 证券暨期货市场发展基金会.(*为通讯作者), 438545, Dec. 2012
计画类别 年度 计画名称 参与人 职称/担任之工作 计画期间 补助/委讬或合作机构
非科技部 109 金融科技产学合作培育博士级研发人才计画 林士贵,廖四郎 协同主持人 2020.02 ~ 2020.07 教育部
科技部 107 卷积神经网络之预测能力分析：以台指期为例 廖四郎 计画主持人 2018.08 ~ 2019.07 科技部
非科技部 107 量化宽松货币(QE)退场对金融市场的影响 林建秀,廖四郎 共同主持人 2018.07 ~ 2019.06 财团法人台北外汇市场发展基金会
科技部 106 在Levy-GARCH模型下目标可赎回远期契约评价与契约探讨 廖四郎,廖四郎 计画主持人 2017.08 ~ 2018.07 科技部
非科技部 106 美国历次QE对亚洲各国股汇市波动性研究 廖四郎,林建秀 计画主持人 2017.06 ~ 2017.11 财团法人台北外汇市场发展基金会
科技部 104 马可夫调控共同跳跃扩散过程下跨货币选择权之评价及马可夫调控CIR经济下海外可转债评价之实证分析(2/2) 廖四郎 计画主持人 2016.08 ~ 2017.07 科技部
科技部 104 马可夫调控共同跳跃扩散过程下跨货币选择权之评价及马可夫调控CIR经济下海外可转债评价之实证分析(1/2) 廖四郎 计画主持人 2015.08 ~ 2016.07 科技部
非科技部 104 因应金融进口替代新种商品发展之研究 廖四郎,林士贵,江弥修 计画主持人 2015.08 ~ 2016.01 台湾证券交易所股份有限公司
科技部 103 多变量复合卜瓦松跳跃扩散模型与高频资料下之选择权评价与投资组合策略之研究(延揽) 廖四郎 计画主持人 2014.08 ~ 2015.01 科技部
科技部 102 多变量复合卜瓦松跳跃扩散模型与高频资料下之选择权评价与投资组合策略之研究(2/2) 廖四郎 计画主持人 2014.08 ~ 2015.10 科技部
科技部 102 多变量复合卜瓦松跳跃扩散模型与高频资料下之选择权评价与投资组合策略之研究(1/2) 廖四郎 计画主持人 2013.08 ~ 2014.07 科技部
非科技部 102 境外结构型商品发行现况与监理机制之研究-台湾与美国、欧盟、英国、香港、新加坡、日本、韩国及中国大陆之比较 廖四郎,江弥修,朱德芳,林士贵,叶斯伟 计画主持人 2013.07 ~ 2013.09 欧洲在台商务协会
科技部 101 马可夫跳跃过程下美式选择权之评价：黄金之实证分析 廖四郎 计画主持人 2012.08 ~ 2013.08 科技部
科技部 100 可转债资产交换与一般资产交换评价与风险控管分析 廖四郎 计画主持人 2011.08 ~ 2012.07 科技部
科技部 98 违约风险的经济因素与Levy 过程下之动态违约评价模型及预警系统(2/2) 廖四郎 计画主持人 2010.08 ~ 2011.07 科技部
非科技部 99 两岸财富管理市场发展之研究 廖四郎,林景春,龚天益 计画主持人 2010.06 ~ 2010.12 社团法人台湾金融服务业联合总会
科技部 98 违约风险的经济因素与Levy 过程下之动态违约评价模型及预警系统(1/2) 廖四郎 计画主持人 2009.08 ~ 2010.07 科技部
非科技部 98 台湾银行业前进中国的机会与挑战 廖四郎,朱浩民 计画主持人 2009.08 ~ 2009.10 台湾国际商业机器股份有限公司
科技部 97 发行认股权证对股价影响之探讨 廖四郎 计画主持人 2008.08 ~ 2009.07 科技部
科技部 95 住宅抵押贷款提前清偿风险与违约风险之分析与评价：理论与实证（2/2) 廖四郎 计画主持人 2007.08 ~ 2008.07 科技部
科技部 95 住宅抵押贷款提前清偿风险与违约风险之分析与评价：理论与实证(1/2) 廖四郎 计画主持人 2006.08 ~ 2007.07 科技部
科技部 94 产业需求与公司技术水准对公司债评价及资本结构之影响 廖四郎 计画主持人 2005.08 ~ 2006.07 科技部
科技部 93 跨国合并与购并财务综效之衡量－或有求偿权评价法 廖四郎 计画主持人 2004.08 ~ 2005.07 科技部
科技部 92 策略性债务融资与可转换公司债之评价—最适资本结构模型 廖四郎 计画主持人 2003.08 ~ 2004.07
科技部 91 多层重设型选择权之订价及避险策略 廖四郎 计画主持人 2002.08 ~ 2003.07 科技部
科技部 90 随机利率下组合型选择权的定价与投资组合风险管理 廖四郎 计画主持人 2001.08 ~ 2002.07
科技部 89 跨通货股酬交换之评价－远期平赌测度法 廖四郎 计画主持人 2000.08 ~ 2001.07
科技部 89 股汇市的国际投机性攻击策略与金融危机之分析 廖四郎 计画主持人 1999.08 ~ 2000.07 科技部
科技部 88 金融市场的非线性动态及财务管理上的应用 廖四郎 计画主持人 1998.08 ~ 1999.07 科技部
年度 名称 发表日期 全部作者
2007 廖四郎*, 2007.08, '住宅抵押提前清偿风险与违约风险之分析与评价-理论与实证II, ' 国科会.(*为通讯作者) 2007-08-01
2006 廖四郎, 2006, '住宅抵押提前清偿风险与违约风险之分析与评价- 理论与实证I, ' 国科会.
2005 廖四郎, 2005, '跨国合并与购并财务综效之衡量－或有求偿权评价法, ' 国科会.
2004 廖四郎, 2004, '国外证券商从事外汇衍生性商品的法律规范与作业情况之研究与国内制度建议, ' 柜台买卖中心.
2004 廖四郎, 2004, '扩大开发证券商从事策略性交易及其配套措施之研究, ' 中华民国证券商业同业公会.
2004 廖四郎, 2004, '策略性债务融资与可转换公司债之评价─最适资本结构模型, ' 国科会.
2003 廖四郎, 2003, '策略性债务融资与可转换公司债之评价－最适资本结构模型, ' 国科会.
2002 廖四郎, 2002, '多层重设型选择权之订价及避险策略, ' 国科会.
2002 廖四郎, 2002, '开放国内证券商发展OTC 金融衍生性商品及保本型商品业务之可行性研究, ' 中华民国证券商业同业公会.
2002 廖四郎, 2002, '随机利率下组合型选择权之定价与投资组合风险管理, ' 国科会.
2001 廖四郎, 2001, '跨通货股酬交换之评价─远期平赌测度法, ' 国科会.
2000 廖四郎, 2000, '股汇式的国际投机性攻击策略与金融危机之分析, ' 国科会.
1999 廖四郎, 1999, '新加坡与香港的金融危机因应措施对我国金融中心之启示, ' 行政院经建会.
1999 廖四郎, 1999, '金融市场的非线性动态及财务管理上的应用, ' 国科会.
国家 学校名称 系所 学位 期间
美国 美国芝加哥大学 Economics 博士 1984.10 ~ 1994.08
台湾，中华民国 国立台湾大学 经济学系 硕士 1978.09 ~ 1982.06
台湾，中华民国 国立台湾大学 农业经济学系 学士 1974.09 ~ 1978.06
经历类别 服务机关名称 单位 职务 期间
校内本职 政治大学 金融学系 教授 2022.02 ~ 迄今
类别 年度 奖项名称 颁奖单位
校内 95 学术研究成果国际化优等研究奖 政治大学
校内 93 资深优良教师 (10年) 国立政治大学