廖四郎
狀態 名譽,兼任
姓名 廖四郎
電子郵件
聯絡電話 87141(系辦)
職稱 教授
研究專長 數位金融、國際金融、金融機構風險管理、財務工程
授課領域 財務經濟學、金融科技、投資與交易策略、結構型債券
年度 論文名稱
2020 廖四郎*, 2020.07, 'Cojump risks and their impacts on option pricing, '.(*為通訊作者), 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, '卷積神經網路預測時間序列能力分析, '.(*為通訊作者), 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.(*為通訊作者), 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.(*為通訊作者), 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.(*為通訊作者), 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.(*為通訊作者), vol. 438559, Aug. 2017
2017 廖四郎;林士貴;廖志偉*, 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), vol. 438551, Jul. 2015
2015 涂登才;廖志偉*;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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), vol. 438554, Oct. 2014
2014 廖四郎;蔡宗穎*, 2014.09, 'The Information Transmission Effect and Asset Prices: Evidence from the China B-Share Discount, ' Emerging Markets Finance and Trade,.(SSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 438549, Sep. 2014
2014 張惠龍*;吳壽山;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)(*為通訊作者), vol. 438547, Sep. 2014
2014 盧淑惠*;張惠龍;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)(*為通訊作者)(本論著未刊登但已被接受), vol. 438548, Jun. 2014
2014 林士貴;連育民*;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)(*為通訊作者), 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)(*為通訊作者), vol. 438555, Mar. 2014
2013 廖四郎;連育民*;林斯郁, 2013.12, '兩岸動態利率期限結構—馬可夫狀態轉換跳躍擴散模型之實證研究及其貨幣政策意涵, ' 兩岸金融季刊, Vol.1, No.2, pp.37 - 59.(其他)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), 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 (財稅差異與盈餘管理之關聯性研究), ' 管理學報, Vol.26, No.4.(TSSCI), vol. 438527, Aug. 2009
2009 江明珠*;李政峰;廖四郎;徐守德, 2009.07, '短期利率條件分配之尾部差異性檢定與風險值/ 中山管理評論, ' 中山管理評論, Vol.17, No.2, pp.517.(TSSCI)(*為通訊作者), vol. 438530, Jul. 2009
2009 吳仰哲*;廖四郎;林士貴, 2009.07, 'Levy與GARCH-Levy過程之選擇權評價與實證分析：台灣加權股價指數選擇權為例/ 管理與系統, ' 管理與系統,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 438520, Jul. 2009
2009 吳仰哲*;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)(*為通訊作者), 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)(*為通訊作者), 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)(*為通訊作者), vol. 438522, Feb. 2009
2009 廖四郎*;M. S. Chen;李福慶, 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)(*為通訊作者), vol. 438512, Feb. 2009
2009 廖四郎;徐保鵬, 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 陳芬英*;廖四郎, 2009, 'Modelling VaR for Foreign-asset Portfolios in Continuous Time/ Economic Modelling, ' Economic Modelling, Vol.26, pp.234-240.(SSCI)(*為通訊作者), vol. 438531, 2009
2009 陳芬英*;廖四郎, 2009, 'Modelling VaR for Foreign-asset Portfolios in Continuous Time, ' Economic Modelling, Vol.26, No.1, pp.234-240.(SSCI)(*為通訊作者), vol. 438515, 2009
2009 張嘉倩*;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.(*為通訊作者), vol. 438511, 2009
2008 廖四郎;張智凱;林士貴, 2008.09, '可解約分紅保單之遞迴評價公式, ' 財務金融學刊, Vol.16, No.3, pp.107-147.(TSSCI), vol. 438518, Sep. 2008
2008 廖四郎*;蔡明憲;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)(*為通訊作者), 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)(本論著未刊登但已被接受), vol. 438517, Jul. 2008
2008 廖四郎;吳仰哲;林士貴, 2008.07, 'Levy與Garch-Levy過程之選擇權評價與實證分析：台灣加權股價指數選擇權為例, ' 管理與系統,.(TSSCI)(本論著未刊登但已被接受), 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.(*為通訊作者), 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)(*為通訊作者)(本論著未刊登但已被接受), 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.(*為通訊作者), vol. 438510, Jul. 2008
2008 連春紅;廖四郎*;徐守德, 2008.07, '台灣短期利率模型樣本外預測之實證研究, ' 證券市場發展季刊, Vol.21, No.2, pp.151-181.(TSSCI)(*為通訊作者), vol. 438507, Jul. 2008
2008 廖四郎;江明珠;李政峰;徐守德, 2008.03, '短期利率條件分配之尾部差異性檢定與風險值, ' 中山管理評論,.(TSSCI)(本論著未刊登但已被接受), 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 蔡明憲;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*;張智凱;林士貴, 2008, '可解約參與型保單之遞迴評價公式, ' 財務金融學刊,.(TSSCI)(*為通訊作者), vol. 438509, 2008
2008 廖四郎*;李福慶, 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,.(*為通訊作者), vol. 438508, 2008
2007 廖四郎*, 2007.06, 'Real Estate Economics, ' Real Estate Economics,.(SSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 438493, Jun. 2007
2007 廖四郎, 2007, 'pricing Generalized Capped Exchange option, ' Financial Economics,.(EI)(本論著未刊登但已被接受), vol. 438494, 2007
2006 廖四郎;黃星華, 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*;黃星華, 2006.09, 'Valuation and Optimal Strategies of Convertible Bonds, ' Journal of Futures Markets, Vol.26, No.9, pp.895-922.(SSCI)(*為通訊作者), vol. 438490, Sep. 2006
2006 李國榮*;廖四郎;徐守德, 2006.08, '不確定下之最適購併決策分析, ' 財務金融學刊, Vol.14, No.3, pp.111-140.(TSSCI)(*為通訊作者), vol. 438491, Aug. 2006
2006 廖四郎*;陳昭君, 2006.01, 'The Valuation of European Options When Asset Returns Are Autocorrelated, ' Journal of Futures Markets, Vol.26, No.1, pp.85-102.(SSCI)(*為通訊作者), vol. 438482, Jan. 2006
2005 廖四郎*;黃星華, 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)(*為通訊作者), vol. 438488, Oct. 2005
2005 廖四郎;陳芬英, 2005.10, '上限型股權連結保本票券之設計、評價和比較, ' 管理學報, Vol.22, No.5, pp.653-670.(TSSCI), vol. 438487, Oct. 2005
2005 王昭文*;廖四郎, 2005.08, '利率、匯率及價格風險下遠期價格樹狀模型, ' 財務金融學刊, Vol.13, No.2, pp.29-70.(TSSCI)(*為通訊作者), vol. 438486, Aug. 2005
2005 廖四郎;李福慶, 2005.06, '擔保債權憑證之評價─Copula分析法, ' 台灣金融財務季刊, Vol.6, No.2, pp.53-84., vol. 438484, Jun. 2005
2005 連春紅;廖四郎;李政峰, 2005.01, '估計與比較連續時間利率模型--多國實証分析, ' 管理評論, Vol.24, No.1, pp.29-54.(TSSCI), vol. 438478, Jan. 2005
2005 廖四郎;王昭文;吳錦文, 2005, '隨機利率與信用風險下股權聯動結構型票券之訂價及避險策略, ' 證券市場發展季刊, Vol.17, No.4, pp.191-220.(TSSCI), vol. 438489, 2005
2005 廖四郎*;黃星華;呂桔誠, 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,.(*為通訊作者), vol. 438506, 2005
2003 廖四郎;呂桔誠;王昭文, 2003, '組合型選擇權之評價及其在投資組合避險策略上之應用, ' 亞太經濟管理評論, Vol.6, No.3., vol. 438460, 2003
2003 廖四郎;康榮寶;張嘉倩, 2003, '保本型票券之定價及避險策略, ' 證券暨期貨管理雜誌, Vol.21, No.7, pp.52-68., vol. 438459, 2003
2003 廖四郎;陳坤銘;鄭宗松, 2003, '最適投資決策與產品生命週期─實質選擇權分析法, ' 中山管理評論,.(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*;陳坤銘;鄭宗松, 2003, '最適投資決策與產品生命週期─實質選擇權分析法, ' 中山管理評論,.(TSSCI)(*為通訊作者), vol. 438505, 2003
2002 廖四郎;呂桔誠;廖政芳, 2002.10, '信用風險下的股酬交換評價, ' 貨幣市場, 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;黃瑞靜;徐守德, 2001.04, '兩稅合一對公司價值，股利政策與資本結構之影響─動態資本結構模型之應用與台灣產業之實証研究, ' 管理評論, Vol.20, No.2, pp.55-86.(TSSCI), vol. 438453, Apr. 2001
2000 廖四郎;王銘杰;徐守德, 2000.09, '股酬交換的一般化評價模型, ' 亞太經濟管理評論, Vol.4, No.1, pp.73-95., vol. 438452, Sep. 2000
2000 廖四郎;王鳳生, 2000.06, '金融市場套利模型與投資性攻擊分析─兼論1998年香港政府干預金融市場事件, ' 東吳經濟商學學報, No.29, pp.47-63., vol. 438454, Jun. 2000
2000 廖四郎;蔡明憲;徐守德;許溪南, 2000.04, '美式選擇權的定價─隱含相信模型及美國S&P 100指數選擇權的應用, ' 中國財務學刊, Vol.8, No.1, pp.33-66.(TSSCI), vol. 438451, Apr. 2000
2000 廖四郎;楊淑媛;黃瑞靜, 2000.03, '從動態資本結構模型探討台灣產業最適資本結構, ' 亞太經濟管理評論, Vol.3, No.2, pp.41-64., vol. 438458, Mar. 2000
2000 廖四郎;徐守德;王毓敏, 2000.03, '亞洲股市間的關係─動態過程的檢定, ' 亞太管理評論, Vol.5, No.1, pp.15-27., vol. 438456, Mar. 2000
2000 廖四郎;蔡明憲;徐守德, 2000, '人壽保險費率的分析─從選擇權理論觀點, ' 風險管理學報, 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;許婉琳;王銘杰, 1999.09, '台股指數期貨套利分析與類神經網路之應用, ' 亞太經濟管理評論, Vol.3, No.1, pp.41-63., vol. 438450, Sep. 1999
1999 廖四郎;徐守德;王毓敏;葉正乾, 1999.03, '台灣地區商業銀行的技術性效率研究, ' 亞太經濟管理評論, Vol.2, No.2, pp.23-48., vol. 438457, Mar. 1999
1998 廖四郎*, 1998.10, '從Black-Scholes模型分析論數理財務模型之發展, ' 亞太經濟管理評論,.(*為通訊作者), vol. 438504, Oct. 1998
1997 廖四郎*;徐守德;王銘杰, 1997.10, '臺灣遠期美元外匯市場風險溢酬之研究, ' 中國財務學刊, Vol.5, No.2.(TSSCI)(*為通訊作者), vol. 438503, Oct. 1997
1997 廖四郎*, 1997, '評兩種資本主義之戰爭與國家競爭力, ' 中山管理評論,.(TSSCI)(*為通訊作者), vol. 438502, 1997
年度 論文名稱
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, ' 管理新思維學術研討會., 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, '海運轉運中心的比較經濟利益分析, ' 後九七台灣與香港的未來展望學術研討會., 1997
1997 廖四郎, 1997, '有交易成本的均衡與套利資產定價, ' 中國統計學會年會., 1997
1997 Liao, S. L., 1997, 'Testing the Efficiency of Taiwan Forward US Dollar Market, ' 第五屆證券暨金融市場理論與實務研討會., 1997
年度 書名
2012 廖四郎*;陳惟龍;程國榮;高子鈞;董夢雲, 2012.12, '財務工程理論與實務, ' 證券暨期貨市場發展基金會.(*為通訊作者), 438545, Dec. 2012
計畫類別 年度 計畫名稱 參與人 職稱/擔任之工作 計畫期間 補助/委託或合作機構
非科技部 109 金融科技產學合作培育博士級研發人才計畫 林士貴,廖四郎 協同主持人 2020.02 ~ 2020.07 教育部
科技部 107 卷積神經網路之預測能力分析：以台指期為例 廖四郎 計畫主持人 2018.08 ~ 2019.07 科技部
非科技部 107 量化寬鬆貨幣(QE)退場對金融市場的影響 林建秀,廖四郎 共同主持人 2018.07 ~ 2019.06 財團法人臺北外匯市場發展基金會
科技部 106 在Levy-GARCH模型下目標可贖回遠期契約評價與契約探討 廖四郎,廖四郎 計畫主持人 2017.08 ~ 2018.07 科技部
非科技部 106 美國歷次QE對亞洲各國股匯市波動性研究 廖四郎,林建秀 計畫主持人 2017.06 ~ 2017.11 財團法人台北外匯市場發展基金會
科技部 104 馬可夫調控共同跳躍擴散過程下跨貨幣選擇權之評價及馬可夫調控CIR經濟下海外可轉債評價之實證分析(2/2) 廖四郎 計畫主持人 2016.08 ~ 2017.07 科技部
科技部 104 馬可夫調控共同跳躍擴散過程下跨貨幣選擇權之評價及馬可夫調控CIR經濟下海外可轉債評價之實證分析(1/2) 廖四郎 計畫主持人 2015.08 ~ 2016.07 科技部
非科技部 104 因應金融進口替代新種商品發展之研究 廖四郎,林士貴,江彌修 計畫主持人 2015.08 ~ 2016.01 臺灣證券交易所股份有限公司
科技部 103 多變量複合卜瓦松跳躍擴散模型與高頻資料下之選擇權評價與投資組合策略之研究(延攬) 廖四郎 計畫主持人 2014.08 ~ 2015.01 科技部
科技部 102 多變量複合卜瓦松跳躍擴散模型與高頻資料下之選擇權評價與投資組合策略之研究(2/2) 廖四郎 計畫主持人 2014.08 ~ 2015.10 科技部
科技部 102 多變量複合卜瓦松跳躍擴散模型與高頻資料下之選擇權評價與投資組合策略之研究(1/2) 廖四郎 計畫主持人 2013.08 ~ 2014.07 科技部
非科技部 102 境外結構型商品發行現況與監理機制之研究-台灣與美國、歐盟、英國、香港、新加坡、日本、韓國及中國大陸之比較 廖四郎,江彌修,朱德芳,林士貴,葉斯偉 計畫主持人 2013.07 ~ 2013.09 歐洲在台商務協會
科技部 101 馬可夫跳躍過程下美式選擇權之評價：黃金之實證分析 廖四郎 計畫主持人 2012.08 ~ 2013.08 科技部
科技部 100 可轉債資產交換與一般資產交換評價與風險控管分析 廖四郎 計畫主持人 2011.08 ~ 2012.07 科技部
科技部 98 違約風險的經濟因素與Levy 過程下之動態違約評價模型及預警系統(2/2) 廖四郎 計畫主持人 2010.08 ~ 2011.07 科技部
非科技部 99 兩岸財富管理市場發展之研究 廖四郎,林景春,龔天益 計畫主持人 2010.06 ~ 2010.12 社團法人台灣金融服務業聯合總會
科技部 98 違約風險的經濟因素與Levy 過程下之動態違約評價模型及預警系統(1/2) 廖四郎 計畫主持人 2009.08 ~ 2010.07 科技部
非科技部 98 台灣銀行業前進中國的機會與挑戰 廖四郎,朱浩民 計畫主持人 2009.08 ~ 2009.10 台灣國際商業機器股份有限公司
科技部 97 發行認股權證對股價影響之探討 廖四郎 計畫主持人 2008.08 ~ 2009.07 科技部
科技部 95 住宅抵押貸款提前清償風險與違約風險之分析與評價：理論與實證（2/2) 廖四郎 計畫主持人 2007.08 ~ 2008.07 科技部
科技部 95 住宅抵押貸款提前清償風險與違約風險之分析與評價：理論與實證(1/2) 廖四郎 計畫主持人 2006.08 ~ 2007.07 科技部
科技部 94 產業需求與公司技術水準對公司債評價及資本結構之影響 廖四郎 計畫主持人 2005.08 ~ 2006.07 科技部
科技部 93 跨國合併與購併財務綜效之衡量－或有求償權評價法 廖四郎 計畫主持人 2004.08 ~ 2005.07 科技部
科技部 92 策略性債務融資與可轉換公司債之評價—最適資本結構模型 廖四郎 計畫主持人 2003.08 ~ 2004.07
科技部 91 多層重設型選擇權之訂價及避險策略 廖四郎 計畫主持人 2002.08 ~ 2003.07 科技部
科技部 90 隨機利率下組合型選擇權的定價與投資組合風險管理 廖四郎 計畫主持人 2001.08 ~ 2002.07
科技部 89 跨通貨股酬交換之評價－遠期平賭測度法 廖四郎 計畫主持人 2000.08 ~ 2001.07
科技部 89 股匯市的國際投機性攻擊策略與金融危機之分析 廖四郎 計畫主持人 1999.08 ~ 2000.07 科技部
科技部 88 金融市場的非線性動態及財務管理上的應用 廖四郎 計畫主持人 1998.08 ~ 1999.07 科技部
年度 名稱 發表日期 全部作者
2007 廖四郎*, 2007.08, '住宅抵押提前清償風險與違約風險之分析與評價-理論與實證II, ' 國科會.(*為通訊作者) 2007-08-01
2006 廖四郎, 2006, '住宅抵押提前清償風險與違約風險之分析與評價- 理論與實證I, ' 國科會.
2005 廖四郎, 2005, '跨國合併與購併財務綜效之衡量－或有求償權評價法, ' 國科會.
2004 廖四郎, 2004, '國外證券商從事外匯衍生性商品的法律規範與作業情況之研究與國內制度建議, ' 櫃檯買賣中心.
2004 廖四郎, 2004, '擴大開發證券商從事策略性交易及其配套措施之研究, ' 中華民國證券商業同業公會.
2004 廖四郎, 2004, '策略性債務融資與可轉換公司債之評價─最適資本結構模型, ' 國科會.
2003 廖四郎, 2003, '策略性債務融資與可轉換公司債之評價－最適資本結構模型, ' 國科會.
2002 廖四郎, 2002, '多層重設型選擇權之訂價及避險策略, ' 國科會.
2002 廖四郎, 2002, '開放國內證券商發展OTC 金融衍生性商品及保本型商品業務之可行性研究, ' 中華民國證券商業同業公會.
2002 廖四郎, 2002, '隨機利率下組合型選擇權之定價與投資組合風險管理, ' 國科會.
2001 廖四郎, 2001, '跨通貨股酬交換之評價─遠期平賭測度法, ' 國科會.
2000 廖四郎, 2000, '股匯式的國際投機性攻擊策略與金融危機之分析, ' 國科會.
1999 廖四郎, 1999, '新加坡與香港的金融危機因應措施對我國金融中心之啟示, ' 行政院經建會.
1999 廖四郎, 1999, '金融市場的非線性動態及財務管理上的應用, ' 國科會.
國家 學校名稱 系所 學位 期間
美國 美國芝加哥大學 Economics 博士 1984.10 ~ 1994.08
台灣，中華民國 國立臺灣大學 經濟學系 碩士 1978.09 ~ 1982.06
台灣，中華民國 國立臺灣大學 農業經濟學系 學士 1974.09 ~ 1978.06
經歷類別 服務機關名稱 單位 職務 期間
校內本職 政治大學 金融學系 教授 2022.02 ~ 迄今
類別 年度 獎項名稱 頒獎單位
校內 95 學術研究成果國際化優等研究獎 政治大學
校內 93 資深優良教師 (10年) 國立政治大學