張森林 教授

San-Lin Chung

 

 

 

Office:管理學院貳館707

Tel02-3366-1084

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

財務管理

隨機利率模型

教學課程

期貨與選擇權 

【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, 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.  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)

18.  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)

19.  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)

20.  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.

21.  Chung, S. L., and M. Shackleton, 2005, On the Errors and Comparison of Vega Estimation, Journal of Futures Markets, 25(1), 21-38. (SSCI)

22.  Chung, S. L., and H. F. Yang, 2005, Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy, Applied Mathematical Finance, 12, 121-146.

23.  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.

24.  Chang, C. C., S. L. Chung, and M. T. Yu, 2006, Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates, The Quarterly Review of Economics and Finance, 46(1), 16-35.

25.  Camara, A., and S. L. Chung, 2006, Option Pricing for the Transformed-Binomial Class, Journal of Futures Markets, Vol. 26, No. 8, 759-788. (SSCI)

26.  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, 18(1), 1-30. (TSSCI)

27.  張森林、洪茂蔚、劉裕宏, 2007, 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, 19(3), 1-22. (TSSCI)

28.  Chung, S. L., and H. C. Chang, 2007, Generalized Analytical Upper Bounds for American Option Prices, Journal of Financial and Quantitative Analysis, Vol. 42, No. 1, 209-228. (SSCI)

29.  Chung, S. L., and P. T. Shih, 2007, Generalized Cox-Ross-Rubinstein Binomial Models, Management Science, Vol. 53, No. 3, 508-520. (SSCI)

30.   Chung, S. L., and M. Shackleton, 2007, Generalised Geske-Johnson interpolation of option prices, Journal of Business Finance and Accounting, Vol. 34, No. 5-6, 976-1001. (SSCI)

31.   Chang, C. C., S. L. Chung, and R. Stapleton, 2007, Richardson Extrapolation Techniques for the Pricing of American-style Options, Journal of Futures Markets, Vol. 27, No. 8, 791-817. (SSCI)

32.   廖咸興、張森林、陳仁遶、楊太樂、廖堃宇,2007,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, Vol. 15No.21-42.  (TSSCI)

33.   Chung, S. L., and Y. H. Wang, 2008, Bounds and Prices of Currency Cross-Rate Options, Journal of Banking and Finance, Vol. 32, No. 5, 631-642. (SSCI)

34.   Kao C., H. W. Lin, S. L. Chung, W. C. Tsai, J. S. Chiou, Y. L. Chen, L. H. Chen, S. C. Fang, H. L. Pao, 2008, Ranking Taiwanese Management Journals: A Case Study, Scientometrics, Vol. 76, No. 1, 95-115. (SSCI)

35.   陳芬苓、張森林, 2008, 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, Vol. 20, No. 1, 67-104. (TSSCI).

36.   Chung, S. L., P. T. Shih, and C.Y. Yeh, 2008, Binomial Option Pricing Models with Monotonic and Smooth Convergence Property, 期貨與選擇權學刊, 1(2), 47-71.

37.   Camara, A., S. L. Chung, and Y. H. Wang, 2009, Option Implied Cost of Equity and Its Properties, Journal of Futures Markets, Vol. 29, No. 7, 599-629. (SSCI)

38.   Chung, S. L., and P.T. Shih, 2009, Static Hedging and Pricing American Options, Journal of Banking and Finance, Vol. 33, No. 11, 2140-2149. (SSCI)

39.   Chung, S. L., M.H. Hung, and J.Y. Wang, 2010, Tight Bounds on American Option Prices, Journal of Banking and Finance, Vol. 34, No. 1, 77-89. (SSCI)

40.   Wu, Y.C. and S.C. Chung, 2010, Catastrophe risk management with counterparty risk using alternative instruments, Insurance: Mathematics and Economics, Vol. 47, No. 2, 234-245.  (SSCI)

41.   Chung, S. L., K. Ko, M. Shackleton, and C.Y. Yeh, 2010, Efficient quadrature and node positioning for exotic option valuation, Journal of Futures Markets, Vol. 30, No. 11, 1026-1057. (SSCI)

42.   Chung, S. L., P.T. Shih, and W.C. Tsai, 2010, A Modified Static Hedging Method for Continuous Barrier Options, Journal of Futures Markets, Vol. 30, No. 12, 1150-1166. (SSCI)

43.   Chung, S.L., W.F. Hung, H. Lee, and P.T. Shih, 2011, On the Rate of Convergence of Binomial Greeks, Journal of Futures Markets, Vol. 31, No. 6, 562-597. (SSCI)

44.   Chen, H.C., S.L. Chung, K.Y. Ho, 2011, The Diversification Effects of Volatility Related Assets, Journal of Banking and Finance, Vol. 35, No. 5, 1179-1189. (SSCI)

45.   Chung, S.L. and C.Y. Yeh, 2011, Predicting Market Regimes and Stock Returns Using Investor Sentiment, 證券市場發展季刊, Vol. 23, No. 2, 1-28. (TSSCI)

46.   Chou, R. K., S.L. Chung, Y.J. Hsiao, and Y.H. Wang, 2011, The Impact of Liquidity on Option Prices, Journal of Futures Markets, Vol. 31, No. 12, 1116-1141. (SSCI)

47.   Chung, S.L., W.C. Tsai, Y.H. Wang, and P.S. Weng, 2011, The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index, Journal of Futures Markets, Vol. 31, No. 12, 1170-1201. (SSCI)

48.   Chung, S.L. C.H. Hung, and C.Y. Yeh 2012, When Does Investor Sentiment Predict Stock Returns? Journal of Empirical Finance, Vol. 19, No. 2, 217-240. (SSCI)

49.   Chung, S. L., P.T. Shih, and W.C. Tsai, 2013, Static Hedging and Pricing American Knock-In Put Options, Journal of Banking and Finance, Vol. 37, No. 1, 191-205. (SSCI)

50.   Tsai, C.L. and S.L. Chung, 2013, Actuarial applications of the linear hazard transform in mortality immunization, Insurance: Mathematics and Economics, Vol. 53, No. 1, 48-63. (SSCI)

51.   Chung, S. L., P.T. Shih, and W.C. Tsai, 2013, Static Hedging and Pricing American Knock-out Options, Journal of Derivatives, Vol. 20, No. 4, pp. 23-48. (SSCI)

52.   Chung, S. L., W.R. Liu, and W.C. Tsai, 2014, Impact of Derivatives Hedging on Stock Market: Evidence from Taiwan Covered Warrants Market, Journal of Banking and Finance, Vol. 42, pp. 123-133. (SSCI)

53.   Kuo, W. H., S. L. Chung, and C. Y. Chang, 2014, The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets, Journal of Futures Markets, forthcoming. (SSCI)