張森林 教授

San-Lin Chung

　

　

　

Office：管理學院貳館707室

Tel：02-3366-1084

E-mail: chungsl@ntu.edu.tw

【學歷】
　

國立台灣大學電機工程學系學士

國立台灣大學商學研究所碩士

英國Lancaster University 財務博士

　

【研究領域與專長】
　

財務工程

資產配置

行為財務實證研究

風險管理

隨機利率模型

【教學課程】

期貨與選擇權 

機器人理財專題

財務工程專題與案例研究

財務演算法

【論文著作】

 Refereed Journal Publications and Book Articles

  1. Chen, Te-Feng, Tarun Chordia, San-Lin Chung, and Ji-Chai Lin. 2021. VOV Risk in Asset Pricing. Review of Asset Pricing Studies. Forthcoming. Available at SSRN: https://ssrn.com/abstract=3755915
    VOV data download link: https://www.dropbox.com/s/es8sew1zpu9xciu/VOV-data-RAPS.xlsx?dl=0
  2. Chung, S. L., Huang, Y. T., Shih, P. T., and Wang, J. Y. (2019, Apr). Semi-static hedging and pricing American floating strike lookback options. Journal of Futures Markets, 39(4), 418-434.
  3. Chung, S. L., and Wang, J. Y. (2018, Aug). A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process. Journal of Futures Markets, 38(8), 898-924.
  4. Chung, S. L., Liu, W. C., Liu, W. R., and Tseng, K. (2018, Apr). Investor Network: Implications for Information Diffusion and Asset Prices. Pacific Basin Finance Journal, 48, p.p. 186-209.
  5. Chen, T. F., Chung, S. L., and Tsai, W. C. (2016, Nov). Option-Implied Equity Risk and the Cross Section of Stock Returns. Financial Analysts Journal, 72(6), 42-55.
  6. Chung, S.L., C.W. Kao, C.C. Wu, and C.Y. Yeh (2015, Jun). Counterparty Credit Risk in the Municipal Bond Market. Journal of Fixed Income, 25(1), 7-33.
  7. Kuo, W. H., S. L. Chung, and C. Y. Chang (2015, Mar). The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets. Journal of Futures Markets, 35(3), 222-244.
  8. Chung, S. L., W.R. Liu, W.C. Tsai (2014, May). Impact of Derivatives Hedging on Stock Market: Evidence from Taiwan Covered Warrants Market. Journal of Banking and Finance, 42(5), 123-133.
  9. Tsai, C.L., S.L. Chung (2013, Jul). Actuarial applications of the linear hazard transform in mortality immunization. Insurance: Mathematics and Economics, 53(1), 48-63.
  10. Chung, S. L., P.T. Shih, W.C. Tsai (2013, Jun). Static Hedging and Pricing American Knock-out Options. Journal of Derivatives, 20(4), 23-48.
  11. Chung, S. L., P.T. Shih, W.C. Tsai (2013, Jan). Static Hedging and Pricing American Knock-In Put Options. Journal of Banking and Finance, 37(1), 191-205.
  12. Chung, S.L., C.H. Hung, and C.Y. Yeh* (2012, Mar). When does investor sentiment predict stock returns?. Journal of Empirical Finance, 19(2), P.217-240.
  13. Chou, R.K., Chung, S.L., Hsiao, Y.J., and Wang, Y.H. (2011, Dec). The impact of liquidity on option prices. Journal of Futures Markets, Vol. 31, No. 12, 1116–1141.
  14. Chung, S. L., Tsai, W. C., Wang, Y. H., & Weng, P. S. (2011, Dec). The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index. The Journal of Futures Markets, Vol. 31, No. 12, 1170–1201.
  15. Hsuan-Chi Chen , San-Lin Chung , Keng-Yu Ho (2011, May). The diversification effects of volatility-related assets. Journal of Banking and Finance, 35 (2011)，P. 1179–1189.
  16. Chung, S. L., & Yeh, C. Y. (2011). Predicting market regimes and stock returns using investor sentiment. 證券市場發展季刊, 23(2), 1-28.
  17. Chung, S. L., Shih, P. T., & Tsai, W. C. (2010, Dec). A Modified Static Hedging Method for Continuous Barrier Options. The Journal of Futures Markets, Vol. 30, No. 12, 1150–1166.
  18. Chung, S. L., Ko, K., Shackleton, M. B., & Yeh, C. Y. (2010, Nov). Efficient quadrature and node positioning for exotic option valuation. Journal of Futures Markets, Vol. 30, No. 11, 1026–1057.
  19. Chung, S. L., M.H. Hung, J.Y. Wang (2010, Jan). Tight bounds on American option prices. Journal of Banking and Finance.
  20. Chung, S. L., P.T. Shih (2009, Nov). Static hedging and pricing American options. Journal of Banking and Finance. .
  21. (2009, July). Option implied cost of equity and its properties, Journal of Futures Markets, 29(7), 599-629.
  22. Chung, S. L., & Wang, Y. H. (2008, May). Bounds and Prices of Currency Cross-Rate Options. Journal of Banking and Finance, Vol. 32, No. 5, 631-642.
  23. Chung, S. L., P. T. Shih, and C.Y. Yeh (2008, January). Binomial Option Pricing Models with Monotonic and Smooth Convergence Property, 期貨與選擇權學刊, 47 - 71.
  24. 陳芬苓、張森林, (2008, January). 台灣地區勞工退休金制度的性別分析, 人文及社會科學集刊, 67 - 104.
  25. Chang, C. C., Chung, S. L., & Stapleton, R. C. (2007, Aug). Richardson Extrapolation Techniques for the Pricing of American-style Options. Journal of Futures Markets, Vol. 27, No. 8, 791-817.
  26. Chung, S. L., & Shackleton, M. B. (2007, Jun). Generalised Geske-Johnson Interpolation of Option Prices. Journal of Business Finance and Accounting, Vol. 34, No. 5-6, 976-1001.
  27. Chung, S. L., & Chang, H. C. (2007, Mar). Generalized Analytical Upper Bounds for American Option Prices. Journal of Financial and Quantitative Analysis, Vol. 42, No. 1, 209-227.
  28. Chung, S. L., & Shih, P. T. (2007, Mar). Generalized Cox-Ross-Rubinstein Binomial Models. Management Science, Vol. 53, No. 3, 508-520.
  29. 廖咸興、張森林、陳仁遶、楊太樂、廖堃宇, (2007, January). 房貸基礎證券評價與風險值---風險中立訂價法與均衡訂價法之比較, 財務金融學刊, 1 - 42.
  30. Câmara, A., & Chung, S. L. (2006, Aug). Option Pricing for the Transformed-Binomial Class. Journal of Futures Markets, 26(8), 759-787.
  31. 陳芬苓,張森林, (2006, May) 附加年金制的遠期契約價值及政策意涵分析, 證券市場發展季刊, 18(1), 1-30.
  32. Chang, C. C., Chung, S. L., & Yu, M. T. (2006, Feb). Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates. Quarterly Review of Economics and Finance, 46(1), 16-35.
  33. Chung, S. L., and H. F. Yang, (2005, June). Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy, Applied Mathematical Finance, 12(2), 121-146.
  34. Chung, S. L., and M. Shackleton (2005, May). On the Use and Improvement of Hull and White’s Control Variate Technique, Applied Financial Economics, 15(16), 1171 - 1179.
  35. Chung, S. L., & Shackleton, M. (2005, Jan). On the Errors and Comparison of Vega Estimation Methods. Journal of Futures Markets, Vol. 25, N0. 1, 21-38.
  36. Chang, C. C., Chung, S. L., & Shackleton, M. B. (2004, Jun). Pricing Options with American-Style Average Reset features. Quantitative Finance, 4(3), 292-300.
  37. Chung, S. L., H. W. Lai, S. Y. Lin, and G. Shyy (2004, March). CB Asset Swaps and CB Options: Structure and Pricing, Academia Economic Papers, 32(1), 23-51.
  38. Chen, R. R., Chung, S. L., & Yang, T. T. (2002, Dec). Option Pricing in a Multi-Asset, Complete-Market Economy. Journal of Financial and Quantitative Analysis, Vol. 37, No. 4, 649-666.
  39. Chung, S. L. (2002, Dec). Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy. Journal of Financial and Quantitative Analysis, 37(4), 667-692.
  40. 張森林,何振文 (2002, Dec) 蒙地卡羅模擬法在美式選擇權評價之應用, 中國財務學刊, 10(3), 33-61.
  41. 董夢雲、俞明德、張傳章、張森林 (2002, Aug) 在CIR利率期限結構與隨機波動性下外匯選擇權之訂價模型, 管理學報, 19(4), 707 - 735.
  42. Chang, C. C., & Chung, S. L. (2002, Jul). Pricing Asian-Style Interest Rate Swaps. Journal of Derivatives, Vol. 9, No. 4, 45-55.
  43. Chung, S. L. (2002, May). Review of Synthesis of No‐arbitrage Gaussian Term Structure Models. Canadian Journal of Administrative Sciences, 19(2), 184-196.
  44. Chung, S. L., & Shackleton, M. (2002, Feb). The Binomial Black Scholes Model and the Greeks. Journal of Futures Market, 22(2), 143-153.
  45. Chang, C. C., Chung, S. L., & Yu, M. T. (2002, Jan). Valuation and Hedging of Differential Swaps. Journal of Futures Markets, Vol. 22, No. 1, 73–94.
  46. Chang, C. C. and S. L. Chung (2001, May) Valuation and Hedging of American-Style Lookback and Barrier Options, Advances in Investment Analysis and Portfolio Management, Vol. 8, 19 - 37.
  47. Chung, S. L. (2000, Oct). American option valuation under stochastic interest rates. Review of Derivatives Research, 3(3), 283-307.
  48. 張傳章、張森林、許博翔 (2000, July). 隨機波動性下障礙選擇權之評價分析, 中國財務學刊, 8(3), 41 - 77.
  49. 陳炤良、俞明德、張傳章、張森林, (2000, Jan). 正常提撥成本之估計-針對薪資相關、雇主提撥之確定給付退休金計劃, 管理學報, 17(1), 101 - 117.
  50. 張傳章、張森林、廖志峰 (1999, Oct). 平均式價格選擇權訂價理論與實例分析, 證券市場發展季刊, 11(4), 23 - 56.
  51. 張森林, (1999, Jan). 股酬交換之定價：評論, 中國財務學刊, 6(3), 63 - 68.