Development of Development of Quantitative Finance and Quantitative Finance and

Risk Management:Risk Management:

Past, Present, and FuturePast, Present, and Future 李正福 教授李正福 教授

羅格斯大學財務金融講座教授羅格斯大學財務金融講座教授交通大學財務金融兼任講座教授交通大學財務金融兼任講座教授數量財務及會計評論主編數量財務及會計評論主編

亞太金融市場及政策評論主編亞太金融市場及政策評論主編2008/01/11 Conference on Quantitative Finance and Risk

Management

OutlineOutlinePart I – IntroductionPart I – Introduction

Part II – EssaysPart II – EssaysChapter 1 Theoretical Framework of FinanceChapter 1 Theoretical Framework of Finance 1) Classical Theory1) Classical Theory 2) New classical theory 2) New classical theory 3) CAPM and APT3) CAPM and APT 4) Options and Futures Theory4) Options and Futures TheoryChapter 2 Policy Framework of Finance Chapter 2 Policy Framework of Finance 1) Investment Policy 1) Investment Policy 2) Financial Policy 2) Financial Policy           3) Dividend Policy3) Dividend Policy 4) Production Policy4) Production PolicyChapter 3 Research Methods of Quantitative Finance and Risk Chapter 3 Research Methods of Quantitative Finance and Risk

ManagementManagement 1) Statistics 1) Statistics 2) Econometrics2) Econometrics 3) Mathematics 4) Operation research3) Mathematics 4) Operation research 5) Stochastic process 6) Computer science and technology5) Stochastic process 6) Computer science and technology 7) Entropy 8) Fuzzy set Theory7) Entropy 8) Fuzzy set Theory 9) Other Methods9) Other MethodsChapter 4 Overview of Chapter 4 Overview of Quantitative Finance and Risk ManagementQuantitative Finance and Risk Management

ResearchResearch

OutlineOutline

Part III –Portfolio AnalysisPart III –Portfolio AnalysisChapter 1 Basic Concepts of Portfolio AnalysisChapter 1 Basic Concepts of Portfolio AnalysisChapter 2 Markowitz Portfolio-Selection ModelChapter 2 Markowitz Portfolio-Selection ModelChapter 3 Capital Asset Pricing Model and Beta ForecastingChapter 3 Capital Asset Pricing Model and Beta ForecastingChapter 4 Index Model for Portfolio SelectionChapter 4 Index Model for Portfolio SelectionChapter 5 Performance-Measure Approaches for Selecting Optimum Chapter 5 Performance-Measure Approaches for Selecting Optimum

Portfolios PortfoliosPart IV – Options and FuturesPart IV – Options and FuturesA. Basic Concepts and StrategiesA. Basic Concepts and StrategiesChapter 1 IntroductionChapter 1 IntroductionChapter 2 Options and Option StrategyChapter 2 Options and Option Strategy

B. Statistical Analysis ApproachesB. Statistical Analysis ApproachesChapter 3 Binomial Option Pricing ModelsChapter 3 Binomial Option Pricing ModelsChapter 4 Multinomial Option Pricing ModelChapter 4 Multinomial Option Pricing ModelChapter 5 The Lognormal Option Pricing ModelChapter 5 The Lognormal Option Pricing ModelChapter 6 Bivariate Normal Option Pricing ModelsChapter 6 Bivariate Normal Option Pricing Models

OutlineOutlinePart IV – Options and Futures Part IV – Options and Futures C. Stochastic Calculus ApproachesC. Stochastic Calculus ApproachesChapter 7 Ito Calculus and The Black and Scholes Option Pricing ModelChapter 7 Ito Calculus and The Black and Scholes Option Pricing ModelChapter 8 Constant Elasticity of Variance (CEV) Option Pricing ModelChapter 8 Constant Elasticity of Variance (CEV) Option Pricing ModelChapter 9 Stochastic Volatility Option Pricing ModelChapter 9 Stochastic Volatility Option Pricing ModelChapter 10 A General Option Pricing ModelChapter 10 A General Option Pricing Model

D.D. ApplicationsApplicationsChapter 11 Option Valuation and HedgingChapter 11 Option Valuation and HedgingChapter 12 Foreign Exchange Option Pricing ModelsChapter 12 Foreign Exchange Option Pricing ModelsChapter 13 Index Option Pricing ModelsChapter 13 Index Option Pricing ModelsChapter 14 Real OptionsChapter 14 Real OptionsChapter 15 Option Pricing Model and Risk ManagementChapter 15 Option Pricing Model and Risk ManagementChapter 16 Summary and Concluding RemarksChapter 16 Summary and Concluding Remarks

Part V – Contributed Papers (See Appendix A)Part V – Contributed Papers (See Appendix A)

Part VI – Summary and Concluding RemarksPart VI – Summary and Concluding Remarks1. Theory1. Theory2. Methods2. Methods3. Application3. Application a. New Products b. Trading Strategy a. New Products b. Trading Strategy c. Hedging Strategy d. Wealth Managementc. Hedging Strategy d. Wealth Management e. Risk Management f. CDO and Subprime Marketse. Risk Management f. CDO and Subprime Markets g. Othersg. Others

Part I – Part I – IntroductionIntroduction

Part II – Part II – EssaysEssays

Part II – EssaysPart II – Essays

Chapter 1 Theoretical Framework of FinanceChapter 1 Theoretical Framework of Finance 1) Classical Theory1) Classical Theory 2) New classical theory 2) New classical theory 3) CAPM and APT3) CAPM and APT 4) Options and Futures Theory4) Options and Futures TheoryChapter 2 Policy Framework of Finance Chapter 2 Policy Framework of Finance 1) Investment Policy 1) Investment Policy 2) Financial Policy 2) Financial Policy           3) Dividend Policy3) Dividend Policy 4) Production Policy4) Production PolicyChapter 3 Research Methods of Quantitative Finance and Risk Chapter 3 Research Methods of Quantitative Finance and Risk

Management Management 1) Statistics 1) Statistics 2) Econometrics2) Econometrics 3) Mathematics 4) Operation research3) Mathematics 4) Operation research 5) Stochastic process 6) Computer science and technology5) Stochastic process 6) Computer science and technology 7) Entropy 8) Fuzzy set Theory7) Entropy 8) Fuzzy set Theory 9) Other Methods9) Other MethodsChapter 4 Overview of Quantitative Finance and Risk Management Chapter 4 Overview of Quantitative Finance and Risk Management

ResearchResearch

Part III – Part III – Portfolio AnalysisPortfolio Analysis

Part III – Portfolio AnalysisPart III – Portfolio Analysis

Chapter 1 Basic Concepts of Portfolio AnalysisChapter 1 Basic Concepts of Portfolio AnalysisChapter 2 Markowitz Portfolio-Selection ModelChapter 2 Markowitz Portfolio-Selection ModelChapter 3 Capital Asset Pricing Model and Beta Chapter 3 Capital Asset Pricing Model and Beta Forecasting ForecastingChapter 4 Index Model for Portfolio SelectionChapter 4 Index Model for Portfolio SelectionChapter 5 Performance-Measure Approaches for Chapter 5 Performance-Measure Approaches for Selecting Selecting Optimum Portfolios Optimum Portfolios

Part IV – Part IV – Options and Options and

FuturesFutures

Part IV – Options and FuturesPart IV – Options and Futures

A. Basic Concepts and StrategiesA. Basic Concepts and StrategiesChapter 1 IntroductionChapter 1 IntroductionChapter 2 Options and Option StrategyChapter 2 Options and Option Strategy

B. Statistical Analysis ApproachesB. Statistical Analysis ApproachesChapter 3 Binomial Option Pricing ModelsChapter 3 Binomial Option Pricing ModelsChapter 4 Multinomial Option Pricing ModelChapter 4 Multinomial Option Pricing ModelChapter 5 The Lognormal Option Pricing ModelChapter 5 The Lognormal Option Pricing ModelChapter 6 Bivariate Normal Option Pricing ModelsChapter 6 Bivariate Normal Option Pricing Models

Part IV – Options and FuturesPart IV – Options and Futures

C. Stochastic Calculus ApproachesC. Stochastic Calculus ApproachesChapter 7 Ito Calculus and The Black and Scholes Option Chapter 7 Ito Calculus and The Black and Scholes Option Pricing ModelPricing ModelChapter 8 Constant Elasticity of Variance (CEV) Option Pricing Chapter 8 Constant Elasticity of Variance (CEV) Option Pricing ModelModelChapter 9 Stochastic Volatility Option Pricing ModelChapter 9 Stochastic Volatility Option Pricing ModelChapter 10 A General Option Pricing ModelChapter 10 A General Option Pricing Model

D. ApplicationsD. ApplicationsChapter 11 Option Valuation and HedgingChapter 11 Option Valuation and HedgingChapter 12 Foreign Exchange Option Pricing ModelsChapter 12 Foreign Exchange Option Pricing ModelsChapter 13 Index Option Pricing ModelsChapter 13 Index Option Pricing ModelsChapter 14 Real OptionsChapter 14 Real OptionsChapter 15 Option Pricing Model and Risk ManagementChapter 15 Option Pricing Model and Risk ManagementChapter 16 Summary and Concluding RemarksChapter 16 Summary and Concluding Remarks

Part V – Part V – Contributed Contributed

Papers Papers

(See Appendix A)(See Appendix A)

Part VI – Part VI – Summary and Summary and

Concluding Concluding RemarksRemarks

Part VI – Summary and Part VI – Summary and Concluding Remarks Concluding Remarks

1.1. TheoryTheory2.2. MethodsMethods3.3. ApplicationApplication a. New Productsa. New Products b. Trading Strategy b. Trading Strategy c. Hedging Strategyc. Hedging Strategy d. Wealth Managementd. Wealth Management e. Risk Managemente. Risk Management f. CDO and Subprime Marketsf. CDO and Subprime Markets g. Othersg. Others

Appendix AAppendix A

Chapter 1: The Creation and Control of Speculative Bubbles in a Laboratory SettingChapter 1: The Creation and Control of Speculative Bubbles in a Laboratory SettingJames S. Ang, Florida State University, USAJames S. Ang, Florida State University, USADean Diavatopoulous, Florida State University, USADean Diavatopoulous, Florida State University, USAThomas V. Schwarz, Grand Valley State University, USAThomas V. Schwarz, Grand Valley State University, USA

Chapter 2: Business Models: Applications to Capital Budgeting, Equity Value and Return AttributionChapter 2: Business Models: Applications to Capital Budgeting, Equity Value and Return AttributionThomas S. Y. HoThomas S. Y. HoSang Bin Lee, Hanyang University, KoreaSang Bin Lee, Hanyang University, Korea

Chapter 3: Risk and Valuation Under an Intertemporal Capital Asset Pricing ModelsChapter 3: Risk and Valuation Under an Intertemporal Capital Asset Pricing ModelsMichael J. Brennan, Anderson School, USAMichael J. Brennan, Anderson School, USAYihong Xia, Pennsylvania University, USAYihong Xia, Pennsylvania University, USA

Chapter 4: Portfolio Optimization Models and Mean-Variance Spanning TestsChapter 4: Portfolio Optimization Models and Mean-Variance Spanning TestsWei-Peng Chen, Shih Hsin University, TaiwanWei-Peng Chen, Shih Hsin University, TaiwanHuimin Chung, National Chiao Tung University, TaiwanHuimin Chung, National Chiao Tung University, TaiwanKeng-Yu Ho, National Central University, Taiwan Keng-Yu Ho, National Central University, Taiwan Tsui-Ling Hseu, National Chiao Tung University, Taiwan Tsui-Ling Hseu, National Chiao Tung University, Taiwan

Chapter 5: A Further Analysis of Convergence Rate and Pattern of the Binomial ModelsChapter 5: A Further Analysis of Convergence Rate and Pattern of the Binomial ModelsSan-Lin Chung, National Taiwan University, TaiwanSan-Lin Chung, National Taiwan University, TaiwanPai-Ta Shih, National Dong Hwa University, TaiwanPai-Ta Shih, National Dong Hwa University, Taiwan

Appendix AAppendix A

Chapter 6: Combining Fundamental Measures for Stock Selection: Some ThoughtsChapter 6: Combining Fundamental Measures for Stock Selection: Some ThoughtsKenton K. Yee, Columbia Business School, USAKenton K. Yee, Columbia Business School, USA

Chapter 7: Dividends vs. Reinvestments in Continuous Time: A More General ModelChapter 7: Dividends vs. Reinvestments in Continuous Time: A More General ModelRen-Raw Chen, Rutgers University, USARen-Raw Chen, Rutgers University, USABen LoganBen LoganOded Palmon, Rutgers University, USAOded Palmon, Rutgers University, USALarry Shepp, Rutgers University, USALarry Shepp, Rutgers University, USA

Chapter 8: Time Series Modeling of Asset Returns VolatilitiesChapter 8: Time Series Modeling of Asset Returns VolatilitiesTze Leung Lai, Stanford University, USATze Leung Lai, Stanford University, USAHaipeng Xing, Columbia University, USAHaipeng Xing, Columbia University, USA

Chapter 9: On Estimation Risk and Power Utility Portfolio SelectionChapter 9: On Estimation Risk and Power Utility Portfolio SelectionRobert R. Grauer, Simon Fraser University, USARobert R. Grauer, Simon Fraser University, USAFrederick C. ShenFrederick C. Shen

Chapter 10: Segmenting financial services market: An Empirical Study of Statistical and Non-parametrChapter 10: Segmenting financial services market: An Empirical Study of Statistical and Non-parametric Methodsic Methods

Kenneth Lawrence, New Jersey Institute of Technology, USAKenneth Lawrence, New Jersey Institute of Technology, USADinesh Pai, Rutgers University, USADinesh Pai, Rutgers University, USARonald Klimberg, St. Joseph’s University, USARonald Klimberg, St. Joseph’s University, USAStephen Kudbya, New Jersey Institute of Technology, USAStephen Kudbya, New Jersey Institute of Technology, USASheila Lawrence, Rutgers University, USASheila Lawrence, Rutgers University, USA

Appendix AAppendix A

Chapter 11: Recovering Probabilistic Information From Options Prices and the UnderlyingChapter 11: Recovering Probabilistic Information From Options Prices and the UnderlyingBruce Mizrach, Rutgers University, USABruce Mizrach, Rutgers University, USA

Chapter 12: Combinatorial Methods for Reverse-Engineering and Construction of Credit RiChapter 12: Combinatorial Methods for Reverse-Engineering and Construction of Credit Risk Ratingssk Ratings

Alexander Kogan, Rutgers University, USAAlexander Kogan, Rutgers University, USAMiguel A. Lejeune, Carnegie Mellon University, USAMiguel A. Lejeune, Carnegie Mellon University, USA

Chapter 13: Displaced Log Normal and Lognormal American Option Pricing: A ComparisoChapter 13: Displaced Log Normal and Lognormal American Option Pricing: A Comparisonn

Ren-Raw Chen, Rutgers University, USARen-Raw Chen, Rutgers University, USACheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USA

Chapter 14: Are Tails Fast Enough to Explain SmileChapter 14: Are Tails Fast Enough to Explain SmileRen-Raw Chen, Rutgers University, USARen-Raw Chen, Rutgers University, USAOded Palmon, Rutgers University, USAOded Palmon, Rutgers University, USAJohn Wald, Pennsylvania State University, USAJohn Wald, Pennsylvania State University, USA

Chapter 15: Two Alternative Approaches to Derive Black-Schools Option Pricing Model: CChapter 15: Two Alternative Approaches to Derive Black-Schools Option Pricing Model: Comparison and Analysisomparison and Analysis

Cheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USACarle Shu Ming Lin, Rutgers University, USACarle Shu Ming Lin, Rutgers University, USA

Appendix AAppendix A

Chapter 16: Spurious Regression and Data Mining in Conditional Asset Pricing ModelsChapter 16: Spurious Regression and Data Mining in Conditional Asset Pricing ModelsWayne Ferson, University of Southern California, USAWayne Ferson, University of Southern California, USASergei Sarkissian, McGill University, USASergei Sarkissian, McGill University, USATimothy Simin, Pennsylvania State University, USATimothy Simin, Pennsylvania State University, USA

Chapter 17: Structural Approach for Credit Risk ModelingChapter 17: Structural Approach for Credit Risk ModelingJingzhi Huang, Pennsylvania State University, USAJingzhi Huang, Pennsylvania State University, USA

Chapter 18: An Empirical Investigation of the Rationales for Integrated Risk-Management Chapter 18: An Empirical Investigation of the Rationales for Integrated Risk-Management BehaviorBehavior

Michael S. Pagano, Villanova University, USAMichael S. Pagano, Villanova University, USA

Chapter 19: Implementing Risk Management Systems with a Benchmark: a Web-Based DSChapter 19: Implementing Risk Management Systems with a Benchmark: a Web-Based DSS ApproachS Approach

Larry Eisenberg, University of Southern Mississippi, USALarry Eisenberg, University of Southern Mississippi, USAChang-tseh Hsieh, University of Southern Mississippi, USAChang-tseh Hsieh, University of Southern Mississippi, USA

Chapter 20: The Le Chatelier Principle in the Markowitz Quadratic Programming InvestmeChapter 20: The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Marketnt Model: A Case of World Equity Fund Market

Chin W. Yang, Clarion University of Pennsylvania, USAChin W. Yang, Clarion University of Pennsylvania, USAKen Hung, National Dong Hwa University, TaiwanKen Hung, National Dong Hwa University, TaiwanJing Chui, Clarion University of Pennsylvania, USAJing Chui, Clarion University of Pennsylvania, USA

Appendix AAppendix A

Chapter 21: Copula, Correlated Defaults and Credit VaRChapter 21: Copula, Correlated Defaults and Credit VaRJow-Ran Chang, National Tsing Hua University, TaiwanJow-Ran Chang, National Tsing Hua University, TaiwanAn-Chi Chen, KGI Securities Co. Ltd., TaiwanAn-Chi Chen, KGI Securities Co. Ltd., Taiwan

Chapter 22: An Errors-in-variables Problem in Asset Pricing TestsChapter 22: An Errors-in-variables Problem in Asset Pricing TestsDongcheol Kim, Rutgers University, USADongcheol Kim, Rutgers University, USA

Chapter 23: Pricing and Hedging Interest Rate Derivatives In the Presence of UnChapter 23: Pricing and Hedging Interest Rate Derivatives In the Presence of Unspanned Stochastic Volatilitiesspanned Stochastic Volatilities

Feng Zhao, Rutgers University, USAFeng Zhao, Rutgers University, USA

Chapter 24: Liquidity Risk and Arbitrage Pricing TheoryChapter 24: Liquidity Risk and Arbitrage Pricing TheoryUmut Cetin, Technische University Wein, USAUmut Cetin, Technische University Wein, USARobert A. Jarrow, Cornell University, USARobert A. Jarrow, Cornell University, USAPhilip Protter, Cornell University, USAPhilip Protter, Cornell University, USA

Chapter 25: Stock Returns, Extreme Values, and Conditional Skewed DistributioChapter 25: Stock Returns, Extreme Values, and Conditional Skewed Distributionn

Thomas C. Chiang, Drexel University, USAThomas C. Chiang, Drexel University, USAJiandong Li, Drexel University, USAJiandong Li, Drexel University, USA

Appendix AAppendix A

Chapter 26: MCMC Estimation of Multiscale Stochastic Volatility ModelsChapter 26: MCMC Estimation of Multiscale Stochastic Volatility ModelsGerman Molina, Vega Capital Services Ltd., UKGerman Molina, Vega Capital Services Ltd., UKChuan-Hsiang Han, National Tsing Hua University, TaiwanChuan-Hsiang Han, National Tsing Hua University, TaiwanJean-Pierre Fouque, University of California, USAJean-Pierre Fouque, University of California, USA

Chapter 27: Security Market Microstructure: The Analysis of a Non-Frictionless MarketChapter 27: Security Market Microstructure: The Analysis of a Non-Frictionless MarketRobert Schwartz, Zicklin School of Business, USARobert Schwartz, Zicklin School of Business, USAReto Francioni,Reto Francioni,Martin ReckMartin Reck

Chapter 28: Robust prediction of default risk?Chapter 28: Robust prediction of default risk?Chung-Hua Shen, National Taiwan University, TaiwanChung-Hua Shen, National Taiwan University, TaiwanYi-Kai Chen, National University of Kaohsiung, TaiwanYi-Kai Chen, National University of Kaohsiung, TaiwanBor-Yi Huang, Shih Chien University, TaiwanBor-Yi Huang, Shih Chien University, Taiwan

Chapter 29: Risk Management for Catastrophe LossChapter 29: Risk Management for Catastrophe LossJin-Ping Lee, Feng Chia University, TaiwanJin-Ping Lee, Feng Chia University, TaiwanMin-Teh Yu, Providence University, TaiwanMin-Teh Yu, Providence University, Taiwan

Chapter 30: Regime Shifts and the Term Structure of Interest RatesChapter 30: Regime Shifts and the Term Structure of Interest RatesChien-Chung Nieh, Tamkang University, TaiwanChien-Chung Nieh, Tamkang University, TaiwanShu Wu, The University of Kansas, USAShu Wu, The University of Kansas, USAYong Zeng, The University of Missouri at Kansas City, USAYong Zeng, The University of Missouri at Kansas City, USA

Appendix AAppendix A

Chapter 31: ARM Processes and Their Modeling and Forecasting MethodologyChapter 31: ARM Processes and Their Modeling and Forecasting MethodologyBenjamin Melamed, Rutgers Business School, USABenjamin Melamed, Rutgers Business School, USA

Chapter 32: Alternative Econometric Methods for Information-based Equity-selling MechaChapter 32: Alternative Econometric Methods for Information-based Equity-selling Mechanismsnisms

Cheng Few Lee, Rutgers University, USACheng Few Lee, Rutgers University, USAYi Lin Wu, National Tsing Hua University, TaiwanYi Lin Wu, National Tsing Hua University, Taiwan

Chapter 33: Implementation Problems and Solutions in Stochastic Volatility Models of the Chapter 33: Implementation Problems and Solutions in Stochastic Volatility Models of the Heston TypeHeston Type

Jia-Hau Guo, Soochow University, TaiwanJia-Hau Guo, Soochow University, TaiwanMao-Wei Hung, National Taiwan UniversityMao-Wei Hung, National Taiwan University, Taiwan, Taiwan

Chapter 34: Univariate and Bivariate GARCH Analyses for the Volume versus GARCH effectChapter 34: Univariate and Bivariate GARCH Analyses for the Volume versus GARCH effectss

Zhuo Qiao, National University of Singapore, SingaporeZhuo Qiao, National University of Singapore, SingaporeWing-Keung Wong, National University of Singapore, SingaporeWing-Keung Wong, National University of Singapore, Singapore

Chapter 35: Application of Fuzzy Set Theory to Finance Research: Method and ApplicationChapter 35: Application of Fuzzy Set Theory to Finance Research: Method and ApplicationShin-Yun Wang, National Dong Hwa University, TaiwanShin-Yun Wang, National Dong Hwa University, TaiwanCheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USA

Appendix AAppendix A

Chapter 36: Hedonic Regression Analysis: A PrimerChapter 36: Hedonic Regression Analysis: A PrimerBen J. Sopranzetti, Rutgers University, USABen J. Sopranzetti, Rutgers University, USA

Chapter 37: Risk-Adverse Portfolio Optimization via Stochastic Dominance ContraintsChapter 37: Risk-Adverse Portfolio Optimization via Stochastic Dominance ContraintsDarinka Dentcheva, Stevens Institute of Technology, Darinka Dentcheva, Stevens Institute of Technology, USAUSAAndrzej RuszczynskiAndrzej Ruszczynski, Rutgers University, USA, Rutgers University, USA

Chapter 38: A Real Option Approach to the Comprehensive Analysis of Bank ConsolidatioChapter 38: A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Valuesn Values

Chuang-Chang Chang, National Central University, TaiwanChuang-Chang Chang, National Central University, TaiwanPei-Fang HsiehPei-Fang Hsieh, National Central University, Taiwan, National Central University, TaiwanHung-Neng LaiHung-Neng Lai, National Central University, Taiwan, National Central University, Taiwan

Chapter 39: Numerical Methods of PDE in Computational FinanceChapter 39: Numerical Methods of PDE in Computational FinanceGang Nathan Dong, Rutgers UniversityGang Nathan Dong, Rutgers University, USA, USA Chapter 40: Capital Structure in Asia and CEO EntrenchmentChapter 40: Capital Structure in Asia and CEO EntrenchmentKin Wai Lee, Nanyang Technological University, SingaporeKin Wai Lee, Nanyang Technological University, SingaporeGillian Hian Heng Yeo, Gillian Hian Heng Yeo, Nanyang Technological University, SingaporeNanyang Technological University, Singapore

Appendix AAppendix A

Chapter 41: Estimating Future Hedge Ratio: A General Hyperbolic Distribution ApproachChapter 41: Estimating Future Hedge Ratio: A General Hyperbolic Distribution ApproachCheng-Few Lee, National Chiao Tung University, TaiwanCheng-Few Lee, National Chiao Tung University, TaiwanJang-Yi Lee, Tunghai University, TaiwanJang-Yi Lee, Tunghai University, TaiwanKehluh Wang, National Chiao Tung University, TaiwanKehluh Wang, National Chiao Tung University, TaiwanYuan-Chung Sheu, National Chiao Tung University, TaiwanYuan-Chung Sheu, National Chiao Tung University, Taiwan

Chapter 42: The Sensitivity of Corporate Bond Volatility to Macroeconomic AnnouncementsChapter 42: The Sensitivity of Corporate Bond Volatility to Macroeconomic AnnouncementsNikolay Kosturov, University of Oklahoma, USANikolay Kosturov, University of Oklahoma, USADuane Stock, University of Oklahoma, USADuane Stock, University of Oklahoma, USA

Chapter 43: Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic IntereChapter 43: Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Ratesst Rates

Gurdip Bakshi, University of Maryland, USAGurdip Bakshi, University of Maryland, USACharles Cao, Penn State University, USACharles Cao, Penn State University, USAZhiwu Chen, Yale UniversityZhiwu Chen, Yale University, USA, USA

Chapter 44: Itô’s Calculus and the Derivation of the Black-Scholes Option-Pricing ModelChapter 44: Itô’s Calculus and the Derivation of the Black-Scholes Option-Pricing ModelGeorge Chalamandaris, Athens University of Economics and Business, GreeceGeorge Chalamandaris, Athens University of Economics and Business, GreeceA.G. Malliaris, Loyola University Chicago, USAA.G. Malliaris, Loyola University Chicago, USA

Chapter 45: Portfolio AnalysisChapter 45: Portfolio AnalysisJack Clark Francis, Baruch CollegeJack Clark Francis, Baruch College, USA, USA

Appendix AAppendix A

Chapter 46: Equity Market Microstructure: The Analysis of a Non-Frictionless MarketChapter 46: Equity Market Microstructure: The Analysis of a Non-Frictionless MarketReto Francioni, Deutsche Bank, USAReto Francioni, Deutsche Bank, USASonali Hazarika, Baruch College, USASonali Hazarika, Baruch College, USAMartin Reck, Deutsche Bank, USAMartin Reck, Deutsche Bank, USARobert A. Schwartz, Baruch College, USARobert A. Schwartz, Baruch College, USA

Chapter 47: Raw Material Convenience Yields and Business CycleChapter 47: Raw Material Convenience Yields and Business CycleChang-Wen Duan, Tamkang University, TaiwanChang-Wen Duan, Tamkang University, TaiwanWilliam T. Lin,William T. Lin, Tamkang University, TaiwanTamkang University, Taiwan

Chapter 48: Default and Prepayment Study in US Subprime Markets Chapter 48: Default and Prepayment Study in US Subprime Markets C.H. Ted Hong, Beyondbond, USAC.H. Ted Hong, Beyondbond, USA

Chapter 49: The Valuation of Uncertain Income Streams and the Pricing of Options Chapter 49: The Valuation of Uncertain Income Streams and the Pricing of Options Mark Rubinstein, University of California BerkleyMark Rubinstein, University of California Berkley, USA, USA

Chapter 50: A Primer on the Implicit Financing Assumptions of Traditional Capital BudgetiChapter 50: A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches ng Approaches

Ivan Brick, Rutgers UniversityIvan Brick, Rutgers University, USA, USADaniel Weaver, Rutgers UniversityDaniel Weaver, Rutgers University, USA, USA

Appendix AAppendix A

Chapter 51: Portfolio Theory, CAPM, and Performance MeasuresChapter 51: Portfolio Theory, CAPM, and Performance MeasuresLuis Ferruz, University of Zaragoza, SpainLuis Ferruz, University of Zaragoza, Spain

Chapter 52: The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold ModChapter 52: The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model el

Huimin Chung, National Chiao Tung University , TaiwanHuimin Chung, National Chiao Tung University , TaiwanWei-Peng Chen, Shih-Hsin University , Taiwan Wei-Peng Chen, Shih-Hsin University , Taiwan Yu-Dan Chen, National Chiao Tung University , TaiwanYu-Dan Chen, National Chiao Tung University , Taiwan

Chapter 53: Derivation and application of Greek lettersChapter 53: Derivation and application of Greek lettersCheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USADavid Chen, Rutgers UniversityDavid Chen, Rutgers University, USA, USAWeikang Shih, Rutgers UniversityWeikang Shih, Rutgers University, USA, USA

Chapter 54: Put option approach to determine bank risk premiumChapter 54: Put option approach to determine bank risk premiumDar-Yeh Huang, National Taiwan University, TaiwanDar-Yeh Huang, National Taiwan University, TaiwanFu-Shuen Shie, National Taiwan University, TaiwanFu-Shuen Shie, National Taiwan University, TaiwanWei-Hsiung Wu, National Taiwan University, TaiwanWei-Hsiung Wu, National Taiwan University, Taiwan

Chapter 55: Alternative Methods to Determine Optimal Capital Structure: Theory and ApplicationChapter 55: Alternative Methods to Determine Optimal Capital Structure: Theory and ApplicationSheng-Syan Chen, National Taiwan University, TaiwanSheng-Syan Chen, National Taiwan University, TaiwanCheng-Few Lee, National Chiao Tung University, TaiwanCheng-Few Lee, National Chiao Tung University, TaiwanHan-Hsing Lee, National Chiao Tung University, TaiwanHan-Hsing Lee, National Chiao Tung University, Taiwan

Appendix AAppendix A

Chapter 56: Characteristic function and Finance Research Chapter 56: Characteristic function and Finance Research Ying-Lin Hsu, National Chung Hsing University, TaiwanYing-Lin Hsu, National Chung Hsing University, TaiwanCheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USA

Chapter 57: Entropy and Its Application in Finance ResearchChapter 57: Entropy and Its Application in Finance ResearchHyley Huang, National Chiao Tung University and Wintek Corporation, TaiwanHyley Huang, National Chiao Tung University and Wintek Corporation, TaiwanCheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USA

Chapter 58: Structure Equation Model in Finance and Accounting Research Chapter 58: Structure Equation Model in Finance and Accounting Research Chingfu Chang, National Chengchi University, TaiwanChingfu Chang, National Chengchi University, TaiwanCheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USA

Chapter 59: Genetic Programming for Options PricingChapter 59: Genetic Programming for Options PricingNemmara Chidambaran, Rutgers University, USANemmara Chidambaran, Rutgers University, USA

Chapter 60: Predicting Prices with Defense ForecastingChapter 60: Predicting Prices with Defense ForecastingGlenn Schafer, Rutgers University, USAGlenn Schafer, Rutgers University, USASam Ring, Rutgers University, USASam Ring, Rutgers University, USA

Appendix AAppendix A

Chapter 61: Hedging Theories and ApplicationsChapter 61: Hedging Theories and ApplicationsKeshab Shrestha, Nanyang Technological University, SingaporeKeshab Shrestha, Nanyang Technological University, Singapore

Chapter 62: Intertemporal Equilibrium Models, Portfolio Theory and the Capital Chapter 62: Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing ModelAsset Pricing Model

Stephen J. Brown, New York University, USAStephen J. Brown, New York University, USA

Chapter 63: Issue of Corporate Finance ResearchChapter 63: Issue of Corporate Finance ResearchKose John, New York University, USAKose John, New York University, USA

Chapter 64: Asian OptionsChapter 64: Asian OptionsItzhak Venezia, Hebrew University, USAItzhak Venezia, Hebrew University, USA

Chapter 65: Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, Chapter 65: Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Evidence from Japanese Listed Companiesand Firm Value: Evidence from Japanese Listed Companies

Hai-Chin Yu, Chung Yuan University, TaiwanHai-Chin Yu, Chung Yuan University, TaiwanChih-Sean Chen, Chung Yuan University, TaiwanChih-Sean Chen, Chung Yuan University, TaiwanDer-Tzon Hsieh, National Taiwan University, Taiwan Der-Tzon Hsieh, National Taiwan University, Taiwan

Appendix AAppendix A

Chapter 66: Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty InsurersChapter 66: Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty InsurersAlice Lee, San Francisco State University, USAAlice Lee, San Francisco State University, USAJ.D. Cumming, Temple University, USAJ.D. Cumming, Temple University, USA

Chapter 67: An ODE Approach for the Expected Discounted Penalty at RuinChapter 67: An ODE Approach for the Expected Discounted Penalty at RuinCheng Few Lee, Rutgers University, USACheng Few Lee, Rutgers University, USAYu-Ting Chen, National Chao Tung University, TaiwanYu-Ting Chen, National Chao Tung University, TaiwanYuan-Chung Sheu, National Chao Tung University, TaiwanYuan-Chung Sheu, National Chao Tung University, Taiwan

Chapter 68: Functional Forms, Market Segmentation and Pricing of Closed-end Country FundsChapter 68: Functional Forms, Market Segmentation and Pricing of Closed-end Country FundsCheng-Few Lee, Rutgers University, USACheng-Few Lee, Rutgers University, USADilip K. Patro, Federal Deposit Insurance Company, USADilip K. Patro, Federal Deposit Insurance Company, USABo Liu, Rutgers University, USABo Liu, Rutgers University, USAAlice C. Lee, San Francisco State University, USAAlice C. Lee, San Francisco State University, USA

Chapter 69: Actuarial mathematics and its applications in quantitative financeChapter 69: Actuarial mathematics and its applications in quantitative financeCho-Jieh Chen, University of Alberta, CanadaCho-Jieh Chen, University of Alberta, Canada

Chapter 70: Examining the Impact of US IT Stock Market on Other IT Stock MarketsChapter 70: Examining the Impact of US IT Stock Market on Other IT Stock MarketsZhuo Qiao, National University of Singapore, SingaporeZhuo Qiao, National University of Singapore, SingaporeVenus Khim-Sen Liew, Universiti Malaysia Sabah, MalaysiaVenus Khim-Sen Liew, Universiti Malaysia Sabah, MalaysiaWing-Keung Wong, Hong Kong Baptist University, Hong KongWing-Keung Wong, Hong Kong Baptist University, Hong Kong

Appendix AAppendix A

Chapter 71: Time-Series Econometrics and Dynamic Financial ModelsChapter 71: Time-Series Econometrics and Dynamic Financial ModelsRobert H. Patrick, Rutgers University, USARobert H. Patrick, Rutgers University, USA

Chaptere72 Framework of Structure FinanceChaptere72 Framework of Structure FinanceFrancis Eng, Rutgers University, USAFrancis Eng, Rutgers University, USA

Chapter73 Persistence, Predictability and Portfolio Planning Chapter73 Persistence, Predictability and Portfolio Planning Michael J. Brennan, University of California at Los Angeles, USAMichael J. Brennan, University of California at Los Angeles, USAYihong Xia Wharton School, USAYihong Xia Wharton School, USA

Chapter 74 Application of Alternative ODE in Finance and Economics ResearchChapter 74 Application of Alternative ODE in Finance and Economics ResearchCheng Few Lee, Rutgers University, USA Cheng Few Lee, Rutgers University, USA Junmin Shi, Rutgers UniversityJunmin Shi, Rutgers University, USA, USA

Chapter 75 Term Structure and Risk ManagementChapter 75 Term Structure and Risk ManagementChunChi Wu, University of Missouri, USA ChunChi Wu, University of Missouri, USA

Chapter 76 Issues in Operational Risk ModelingChapter 76 Issues in Operational Risk ModelingMo Chaudhury, State Street Corporation, USAMo Chaudhury, State Street Corporation, USASatya Mohit, State Street Corporation, USASatya Mohit, State Street Corporation, USA

Chapter 77 Application of Simultaneous Equation in Finance ResearchChapter 77 Application of Simultaneous Equation in Finance ResearchCarl R. Chen, University of Dayton, USACarl R. Chen, University of Dayton, USACheng Few Lee, Rutgers University, USA Cheng Few Lee, Rutgers University, USA

Appendix AAppendix A

Chapter 78: Alternative Method for Credit Risk Management: Theory and Method Chapter 78: Alternative Method for Credit Risk Management: Theory and Method Cheng Few Lee, Rutgers University, USACheng Few Lee, Rutgers University, USABi-Huei Tsai, National Chiao Tung University, TaiwanBi-Huei Tsai, National Chiao Tung University, TaiwanKehluh Wang, National Chiao Tung University, TaiwanKehluh Wang, National Chiao Tung University, TaiwanJessica Shin-Ying Mai, Rutgers University, USAJessica Shin-Ying Mai, Rutgers University, USA

Chapter 79 : Future Hedge Ratios: A Review Chapter 79 : Future Hedge Ratios: A Review Sheng-Syan Cheng, National Taiwan University, TaiwanSheng-Syan Cheng, National Taiwan University, TaiwanKeshab Shrestha, Nanyang Technological University, Singapore Keshab Shrestha, Nanyang Technological University, Singapore Cheng Few Lee, Rutgers University, USACheng Few Lee, Rutgers University, USA

Chapter 80 : International Portfolio Management: Theory and MethodChapter 80 : International Portfolio Management: Theory and MethodWan-Jiun Paul Chiou, Shippensburg University, USAWan-Jiun Paul Chiou, Shippensburg University, USACheng Few Lee, Rutgers University, USACheng Few Lee, Rutgers University, USA