張森林 教授
San-Lin Chung
Office：管理學院貳館707室
Tel：02-3366-1084
E-mail: chungs@management.ntu.edu.tw
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張森林 教授 San-Lin Chung
Office：管理學院貳館707室 Tel：02-3366-1084 E-mail: chungs@management.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
財務管理
隨機利率模型
【論文著作】
Refereed Journal Publications and Book Articles
1. Chung, S. L., 1999, American Option Valuation under stochastic Interest Rates, Review of Derivatives Research, Vol. 3, No. 3, 283-307. (EconLit)
2. 張森林, 1999, 股酬交換之定價：評論, 中國財務學刊, 6(3), 63-68. (TSSCI)
3. 張傳章、張森林、廖志峰, 1999, 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. (TSSCI)
4. 陳炤良、俞明德、張傳章、張森林, 2000, 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. (TSSCI)
5. 張傳章、張森林、許博翔, 2000, 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. (TSSCI)
6. Chang, C. C. and S. L. Chung, 2001, Valuation and Hedging of American-Style Lookback and Barrier Options, Advances in Investment Analysis and Portfolio Management, Vol. 8, 19-37. (FLI)
7. Chang, C. C., S. L. Chung, and M. T. Yu, 2002, Valuation and Hedging of Differential Swaps, Journal of Futures Market, Vol. 22, No. 1, 73-94. (SSCI, JEL, EconLit, FLI)
8. Chung, S. L and M. Shackleton, 2002, The Binomial Black Scholes Model and the Greeks, Journal of Futures Market, Vol. 22, No. 2, 143-153. (SSCI, JEL, EconLit, FLI)
9. Chang, C. C. and S. L. Chung, 2002, Pricing Asian-Style Interest Rate Swaps, Journal of Derivatives, Vol. 9, No. 4, 45-55. (ABI/Inform)
10.Chen, H. C., D. M. Chen, and S. L. Chung, 2002, The Accuracy and Efficiency of Alternative Option Pricing Approaches Relative to a Log-Transformed Trinomial Model, Journal of Futures Market, Vol. 22, No. 6, 557-577. (SSCI, JEL, EconLit, FLI)
11.董夢雲、俞明德、張傳章、張森林, 2002, 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. (TSSCI)
12.Chen, R. R., S. L. Chung, and T. T. Yang, 2002, Option Pricing in a Multi-Asset, Complete-Market Economy, Journal of Financial and Quantitative Analysis, Vol. 37, No. 4, 649-666. (SSCI, JEL, EconLit, FLI)
13.Chung, S. L., 2002, Pricing American Options on Foreign Assets in a Stochastic Interest Rate Economy, Journal of Financial and Quantitative Analysis, Vol. 37, No. 4, 667-692. (SSCI, JEL, EconLit, FLI)
14.張森林、何振文, 2002, 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. (TSSCI)
15.Chung, S. L., 2002, Review of Synthesis of No-arbitrage Gaussian Term Structure Models, Canadian Journal of Administrative Sciences, Vol. 19, No. 2, 184-196. (SSCI)
16.Chung, S. L., M. Shackleton, and R. Wojakowski, 2003, Efficient Quadratic Approximation of Floating Strike Asian Option Values, Finance, Vol. 24, No. 1, 49-62.
17.張森林, 2003, A Numerically Efficient Valuation Method for American Currency Options with Stochastic Interest Rates, 臺灣管理學刊, 3(2), 1-28.
18.Chung, S. L., and M. Shackleton, 2003, The Simplest American and Real Option Approximations: Geske-Jahnson Interpolation in maturity and yield, Applied Economics Letters, Vol. 10, 709-716. (SSCI)
19.Chang, C. C., S. L. Chung, and M. Shackleton, 2004, Pricing Options with American-Style Average Reset features, Quantitative Finance, Vol. 4, No. 3, 292-300. (SSCI)
20.Chung, S. L., H. W. Lai, S. Y. Lin, and G. Shyy, 2004, CB Asset Swaps and CB Options: Structure and Pricing, 經濟論文, 32(1), 23-51. (TSSCI)
21.張傳章、張森林、林忠機, 2004, Enhancing the Computational Efficiency for the Monte Carlo Simulation Approach, 臺灣管理學刊, 4(2), 123-140.
22.Chung, S. L., and M. Shackleton, 2005, On the Errors and Comparison of Vega Estimation, Journal of Futures Markets, 25(1), 21-38. (SSCI)
23.Chung, S. L., and H. F. Yang, 2005, Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy, Applied Mathematical Finance, 12, 121-146.
24.Chung, S. L., and M. Shackleton, 2005, On the Use and Improvement of Hull and White’s Control Variate Technique, Applied Financial Economics, 15, 1171-1179.
25.陳芬苓、張森林, 2006, 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, forthcoming. (TSSCI)
26.Chang, C. C., S. L. Chung, and M. T. Yu, 2006, Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates, Quarterly Review of Economics and Finance, forthcoming.
27.Chung, S. L., and H. C. Chang, 2006, Generalized Analytical Upper Bounds for American Option Prices, Journal of Financial and Quantitative Analysis, forthcoming. (SSCI)
28.Camara, A., and S. L. Chung, 2006, Option Pricing for the Transformed-Binomial Class, Journal of Futures Markets, forthcoming. (SSCI)
29.張森林、洪茂蔚, 2006, 台灣各大學院校在國際財金期刊之著作表現, 證券市場發展季刊, 18(3), forthcoming. (TSSCI)
【教學課程】