邱俊淵 (Chun-Yuan Chiu)

Journal Publications

• Tian-Shyr Dai and Chun-Yuan Chiu. `` Pricing barrier stock options with discrete dividends by approximating analytical formulae.'' Quantitative Finance forthcoming.

Conference Publications

• Chun-Yuan Chiu, Tian-Shyr Dai, Hua-Yi Lin, Improving Pricing Accuracy for Various Numerical Methods with the General Control Variate Method, The 22nd Annual Conference on. Pacific Basin Finance, Economics, Accounting, and Management.
• Tian-Shyr Dai, Chun-Yuan Chiu, Accurate Approximation Formulae for Evaluating Barrier Stock Options with Discrete Dividends and The Application in Credit Risk Valuation , 2011 Southern Finance Association 2011 Annual Meetings
• Chun-Yuan Chiu, Tian-Shyr Dai, Yu-Cheng Tien, Fast Fourier Transform for Pricing Asian Options with Higher-Order Convergence Rates , 2010 International Conference on Scientific Computing (CSC'10: July 12-15, 2010, USA)
• Tian-Shyr Dai, Chun-Yuan Chiu, Vulnerable Option Pricing: The Dual Problem , The 19th Conference on the Theories and Practices of Securities and Financial Market, Hsi-Tze Bay , Kaohsiung , Taiwan

Talks and Presentations

• Documents
• Carr and Madan's Option Pricing Method
• Merton's Jump-Diffusion Model
• Convolution Pricing Method & Binomial Option Pricing Model
• Error Estimate for the Newton-Raphson Method
• Pricing Formula for Geometric Asian Options
• Box-Muller Transform
• Solving a Quartic Equation
• Some Notes on Fourier Transform
• Mathematica
• Monte Carlo Simulation
[Vanilla Option Pricing] [Control Variates on Asian Option Pricing] [Modified Box-Muller Algorithm] [The Sum of 12 Uniform Random Variables] [Random Walk]
• Fast Fourier Transform
[Density Functions in Option Pricing Models] [Carr & Madan’s Option Pricing Algorithm] [Demonstrate How FFT Works In Matrix Form] [The nth Root of Unity & DFT Matrix] [Cooley–Tukey Algorithm] [FRFT]
• Convolution Method on Option Pricing
[Convolution Method on Option Pricing]
• Binomial Options Pricing Model
[Vanilla Call] [American Put] [Other Choices of u, d and p] [Black-Scholes Formula] [Built-in Function FinancialDerivative[]]
• Data & Histogram
[DJIA Daily Return histogram] [Indices in Built-in Function FinancialData[]]
• Edgeworth Expansion for Asian Option Pricing
[Coefficients of Edgeworth Expansion] [Special Cases] [Raw Moments of A] [Raw Moments & Cumulants of Lognormal] [Cumulants In Terms of Raw Moments] [Wakeman Approximation for Asian Options] [Bug?]
• Other Topics
[Newton-Cotes Coefficients] [Normal CDF] [The Error Introduced by The Trapezoidal Rule, And Simpson’s Rule] [Mathematica How To Use (sourse code)]
• Simple Math
[Magic Square of Order 3] [Some Plots] [8 Perfect Faro Shuffles] [Catenary & Parabola]
• Slides
• Convolution, Fourier Transform & DFT
• Pricing Asian Options by PDE Approach
• Option Pricing in the Risk Neutral World
• Options Strategies
• Source Code in C++
• Binomial Tree
• Fast Fourier Transform