Published Works of Prof. Tian-Shyr Dai

Published Works of Prof. Tian-Shyr Dai

Journal Publications

  1. Jr-Yan Wang, and Tian-Shyr Dai. `` A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds.'' to appear in Journal of Derivatives.
  2. Liang-Chih Liu, Tian-Shyr Dai and, Chuan-Ju Wang. `` Evaluating Corporate Bonds and Analyzing Claim Holders' Decisions with Complex Debt Structure.'' Journal of Banking and Finance 72 (2016) 151íV174.
  3. Tian-Shyr Dai, Sharon Yang, and Liang-Chih Liu. `` Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks.'' Insurance: Mathematics and Economics64 (2015) 364-375.
  4. Chun-Yuan Chiu ,Tian-Shyr Dai, and Yuh-Dauh Lyuu. `` Pricing Asian Option by the FFT with Higher-Order Error Convergence Rate under Levy Processes.'' Applied Mathematics and Computation 252(2015) 418--437.
  5. Chuan-Ju Wang ,Tian-Shyr Dai, and Yuh-Dauh Lyuu. `` Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions.'' European Journal of Operational Research 237(2014),749-757.
  6. Tian-Shyr Dai and Chun-Yuan Chiu. `` Pricing barrier stock options with discrete dividends by approximating analytical formulae.'' Quantitative Finance 14 (2014) 1367-1382.
  7. Tian-Shyr Dai and Chuan-Ju Wang. `` Realized Tax Benefits and Capital Structure.'' Int. J. of Bonds and Currency Derivatives 1 (2013) 88-109.
  8. Sharon Yang and Tian-Shyr Dai. `` A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions.'' Insurance: Mathematics and Economics 52 (2013) 231íV242.
  9. Tian-Shyr Dai, Chuan-Ju Wang, and Yuh-Dauh Lyuu. `` A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables..'' Journal of Futures Markets, (2013) Volume 33, Issue 9, pp 795-826.
  10. Rodrigo Hernandez,Wayne Lee, Pu Liu, and Tian-Shyr Dai. `` Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance..'' Review of Quantitative Finance and Accounting, 2013,Volume 40, Issue 4, pp 691-713.
  11. Tian-Shyr Dai, Yuh-Dauh Lyuu, Chuan-Ju Wang, and Yen-Chun Liu. `` An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-diffusion Process..'' Applied Mathematics and Computation, 217 (2010), 3174-3189 .
  12. Limin Liu, and Tian-Shyr Dai. ``A Reliable Fingerprint Orientation Estimation Algorithm.'' JOURNAL OF INFORMATION SCIENCE AND ENGINEERING. 2011,27:353:368.
  13. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing .'' Journal of Derivatives, (2010) 17:7--24.
  14. Tian-Shyr Dai, Hui-Ming Chung, and Chun-Ju Ho ``Using the LIBOR Market Model to Price the Interest Rate DerivativesíG A Recombining Binomial Tree Methodology.'' NTU Management Review. 2009,20:41-68
  15. Tian-Shyr Dai and Limin Liu. ``A Hybrid Importance Sampling Algorithm for Estimating VaR Under the Jump Diffusion Model .'' Journal of Software Engineering and Applications, 2009, 2: 301-307.
  16. Tian-Shyr Dai. ``Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree.'' Quantitative Finance, Volume 9, Issue 7 October 2009 , pages 827 - 838 .
  17. Tian-Shyr Dai, and Yuh-Dauh Lyuu. ``Accurate and Efficient Lattice Algorithms for American-Style Asian Options with Range Bounds.'' Applied Mathematics and Computation, (2009) 209:238--253.
  18. Dai, . T.-S., Wang, K.-L, and Tai, T. ``Pricing Snowball Notes with Hull-White Model and Quadrature Methods. Journal of Futures and Options, (2008) Vol.1 pp 73--108.
  19. Tian-Shyr Dai , Jr-Yan Wang, Hui-Shan Wei. `` Adaptive Placement Method on Pricing Arithmetic Average Options .'' Review of Derivatives Research, (2008) 11:83-118.
  20. Tian-Shyr Dai , Liu, L.-M., and Yuh-Dauh Lyuu. `` Linear-Time Option Pricing Algorithms by Combinatorics .'' Computers and Mathematics with Applications, (2008) 55, pp 2142-2157,
  21. Tian-Shyr Dai and Yuh-Dauh Lyuu. `` Accurate Approximation Formulas for Stock Options with Discrete Dividends .'' Applied Economics Letters, Volume 16, Issue 16 November 2009 , pages 1657 - 1663.
  22. Liu, L.-M., C. Huang, T.-S., Dai., and G. Chen. ``Enhanced SEA Algorithm and Fingerprint Classification Directional Image.'' International Journal of Computer Applications in Technology Volume 30 , Issue 4 (November 2007) Pages 295-302
  23. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``An Exact Subexponential-Time Lattice Algorithm for Asian Options.'' Acta Informatica, 44, No. 1 (March 2007), 23--39.
  24. Liu, L.-M., and T.-S., Dai. `` Ridge Orientation Estimation and Verification Algorithm for Fingerprint Enhancement .'' Journal of Universal Computer Science, 2006, 12, pp. 1426--1438
  25. Tian-Shyr Dai , Yuh-Yuan Fang, and Yuh-Dauh Lyuu. `` Analytics for Geometric Average Trigger Reset Options.'' Applied Economics Letters, 12 (2005), 835--840.
  26. Tian-Shyr Dai, Guan-Shieng Huang, and Yuh-Dauh Lyuu. ``An Efficient Convergent Lattice Algorithm for European Asian Options.'' Applied Mathematics and Computation, 169, Issue 2 (October 2005), 1458--1471.
  27. Tian-Shyr Dai and Yuh-Dauh Lyuu. ``Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices.'' Review of Derivatives Research, 5 (2002), 181--203.

Selected Conference Publications


Books