Publications
Published Works
Journal publications, selected conference papers, and book publications by Prof. Tian-Shyr Dai and collaborators.
Journal Publications
Research Papers
| Year | Title | Authors | Journal Name | GitHub |
|---|---|---|---|---|
| 2026 | Contingent capital: A tale of two valuations | Tian-Shyr Dai, Chien-Ling Lo, You-Jia Sun, Hao-Han Chang | Journal of Risk and Insurance | - |
| 2026 | Reverse Mortgages with Long-Term Care Cost Coverage: The Role of Health State Granularity in Valuing Prepayment Options | Tian-Shyr Dai, Liang-Chih Liu, Shang-Hung Tsao, Sharon S. Yang | Insurance: Mathematics and Economics, 2026, 103253 | - |
| 2025 | Optimizing stock portfolios with deep reinforcement learning after FNN-based fundamental analysis | You-Jia Sun, Zong-Yu Lu, Chia-Hung Liao, Tian-Shyr Dai, Shyan-Ming Yuan | Quantitative Finance | - |
| 2025 | Unconventional Refinement for VECM-Based Pairs Trading Strategy through Asymptotic Properties | Tian-Shyr Dai, Hung-Sheng Kuo, Hao-Han Chang, Tzu-Chi Huang, Chu-Lan Michael Kao | Computational Economics | - |
| 2025 | Fund Transfer Fraud Detection: Analyzing Irregular Transactions and Customer Relationships with Self-Attention and Graph Neural Networks | Yi-Cheng Shih, Tian-Shyr Dai, Ying-Ping Chen, Yen-Wu Ti, Wun-Hao Wang, Yun Kuo | Expert Systems with Applications, 259 (2025): 125211 | - |
| 2024 | Asymptotic Analyses for Trend-Stationary Pairs Trading Strategy in High-Frequency Trading | Tian-Shyr Dai, Yi-Jen Luo, Hao-Han Chang, Chu-Lan Kao, Kuan-Lun Wang, Liang-Chih Liu | Review of Quantitative Finance and Accounting, 63(4), 1391-1411 | - |
| 2024 | Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model | Tian-Shyr Dai, B. J. Chen, You-Jia Sun, D. Y. Yang, M. E. Wu | Computational Economics, 64(5), 3117-3142 | Code |
| 2024 | Improving cointegration-based pairs trading strategy with asymptotic analyses and convergence rate filters | Yen-Wu Ti, Tian-Shyr Dai, Kuan-Lun Wang, Hao-Han Chang, You-Jia Sun | Computational Economics, 64(5), 2717-2745 | - |
| 2024 | On the Design of Bail-in-able Bonds from the Perspective of Non-Financial Firms | Liang-Chih Liu, Tian-Shyr Dai, Lei Zhou | International Review of Economics and Finance, 89 (2024): 1136-1155 | - |
| 2023 | Pricing Tenure Payment Reverse Mortgages with Optimal Exercised Prepayment Options under House Price, Interest Rate, and Mortality Risk | Tian-Shyr Dai, Sharon S. Yang, Liang-Chih Liu | Quantitative Finance, 23(9), 1325-1339 | - |
| 2022 | Feature Generation and Contribution Comparison for Electronic Fraud Detection | Yen-Wu Ti, Yu-Yen Hsin, Tian-Shyr Dai, Ming-Chuan Huang, Liang-Chih Liu | Scientific Reports, 12, Article 18042 (2022) | - |
| 2022 | Improving Pairs Trading Strategies Using Two-Stage Deep Learning Methods and Analyses of Time (In)variant Inputs for Trading Performance | Wei-Lun Kuo, Wei-Che Chang, Tian-Shyr Dai, Ying-Ping Chen, Hao-Han Chang | IEEE Access, 10, 97030-97046 (2022) | - |
| 2022 | A Novel State-Transition Forest: Pricing Corporate Securities with Intertemporal Exercise Policies and Corresponding Capital Structure Changes | Liang-Chih Liu, Tian-Shyr Dai, Hao-Han Chang, Lei Zhou | Quantitative Finance, 22(11), 2021-2045 (2022) | - |
| 2022 | Feature Engineering and Resampling Strategies for Fund Transfer Fraud with Limited Transaction Data and a Time-inhomogeneous Modi Operandi | Yu-Yen Hsin, Tian-Shyr Dai, Yen-Wu Ti, Ming-Chuan Huang, Ting-Hui Chiang, Liang-Chih Liu | IEEE Access, 10, 86101-86116 (2022) | - |
| 2022 | A Stochastic-Volatility Equity Price Tree for Pricing Convertible Bonds with Endogenous Firm Values and Default Risks Determined by the First-Passage Default Model | Tian-Shyr Dai, Chen-Chiang Fan, Liang-Chih Liu, Chuan-Ju Wang, Jr-Yan Wang | Journal of Futures Markets, 42(12), 2103-2134 (2022) | - |
| 2022 | Option Pricing with the Control Variate Technique beyond Monte Carlo Simulation | Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu, Liang-Chih Liu, Yu-Ting Chen | North American Journal of Economics and Finance, 62, 101772 (2022) | - |
| 2022 | Analyzing Interactive Call, Default, and Conversion Policies for Corporate Bonds | Liang-Chih Liu, Tian-Shyr Dai, Lei Zhou, Hao-Han Chang | Journal of Futures Markets, 42(8), 1597-1638 (2022) | - |
| 2022 | Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options | Jr-Yan Wang, Chuan-Ju Wang, Tian-Shyr Dai, Tzu-Chun Chen, Liang-Chih Liu, Lei Zhou | Mathematical Problems in Engineering, Article ID 5843491 (2022) | - |
| 2022 | Structural break-aware pairs trading strategy using deep reinforcement learning | Jing-You Lu, Hsu-Chao Lai, Wen-Yueh Shih, Yi-Feng Chen, Shen-Hang Huang, Hao-Han Chang, Jun-Zhe Wang, Jiun-Long Huang, Tian-Shyr Dai | The Journal of Supercomputing, 78, 3843-3882 (2022) | - |
| 2022 | Analytical Pricing Formulae for Vulnerable Vanilla and Barrier Options | Liang-Chih Liu, Chun-Yuan Chiu, Chuan-Ju Wang, Tian-Shyr Dai, Hao-Han Chang | Review of Quantitative Finance and Accounting, 58, 137-170 (2022) | - |
| 2018 | An Accurate Lattice Model for Pricing Catastrophe Equity Put Under the Jump-Diffusion Process | Chuan-Ju Wang, Tian-Shyr Dai | IEEE Computational Intelligence Magazine, 13 (2018), 35-45 | - |
| 2017 | A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds | Jr-Yan Wang, Tian-Shyr Dai | Journal of Derivatives, 24 (2017), 52-79 | - |
| 2016 | Evaluating Corporate Bonds and Analyzing Claim Holders' Decisions with Complex Debt Structure | Liang-Chih Liu, Tian-Shyr Dai, Chuan-Ju Wang | Journal of Banking and Finance, 72 (2016), 151-174 | - |
| 2015 | Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks | Tian-Shyr Dai, Sharon S. Yang, Liang-Chih Liu | Insurance: Mathematics and Economics, 64 (2015), 364-375 | - |
| 2015 | Pricing Asian Option by the FFT with Higher-Order Error Convergence Rate under Levy Processes | Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu | Applied Mathematics and Computation, 252 (2015), 418-437 | - |
| 2014 | Evaluating Corporate Bonds with Complicated Liability Structures and Bond Provisions | Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu | European Journal of Operational Research, 237 (2014), 749-757 | - |
| 2014 | Pricing barrier stock options with discrete dividends by approximating analytical formulae | Tian-Shyr Dai, Chun-Yuan Chiu | Quantitative Finance, 14 (2014), 1367-1382 | - |
| 2013 | Realized Tax Benefits and Capital Structure | Tian-Shyr Dai, Chuan-Ju Wang | International Journal of Bonds and Currency Derivatives, 1 (2013), 88-109 | - |
| 2013 | A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions | Sharon S. Yang, Tian-Shyr Dai | Insurance: Mathematics and Economics, 52 (2013), 231-242 | - |
| 2013 | A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables | Tian-Shyr Dai, Yuh-Dauh Lyuu, Chuan-Ju Wang, Yen-Chun Liu | Journal of Futures Markets, 33(9), 795-826 (2013) | - |
| 2013 | Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance | Rodrigo Hernandez, Wayne Lee, Pu Liu, Tian-Shyr Dai | Review of Quantitative Finance and Accounting, 40(4), 691-713 (2013) | - |
| 2010 | An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-diffusion Process | Tian-Shyr Dai, Yuh-Dauh Lyuu, Chuan-Ju Wang, Yen-Chun Liu | Applied Mathematics and Computation, 217 (2010), 3174-3189 | - |
| 2011 | A Reliable Fingerprint Orientation Estimation Algorithm | Limin Liu, Tian-Shyr Dai | Journal of Information Science and Engineering, 27 (2011), 353-368 | - |
| 2010 | The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing | Tian-Shyr Dai, Yuh-Dauh Lyuu | Journal of Derivatives, 17 (2010), 7-24 | - |
| 2009 | Using the LIBOR Market Model to Price the Interest Rate Derivatives: A Recombining Binomial Tree Methodology | Tian-Shyr Dai, Hui-Ming Chung, Chun-Ju Ho | NTU Management Review, 20 (2009), 41-68 | - |
| 2009 | A Hybrid Importance Sampling Algorithm for Estimating VaR Under the Jump Diffusion Model | Tian-Shyr Dai, Limin Liu | Journal of Software Engineering and Applications, 2 (2009), 301-307 | - |
| 2009 | Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree | Tian-Shyr Dai | Quantitative Finance, 9(7), 827-838 (2009) | - |
| 2009 | Accurate and Efficient Lattice Algorithms for American-Style Asian Options with Range Bounds | Tian-Shyr Dai, Yuh-Dauh Lyuu | Applied Mathematics and Computation, 209 (2009), 238-253 | - |
| 2008 | Pricing Snowball Notes with Hull-White Model and Quadrature Methods | Tian-Shyr Dai, Kuan-Lun Wang, Tzu Tai | Journal of Futures and Options, 1 (2008), 73-108 | - |
| 2008 | Adaptive Placement Method on Pricing Arithmetic Average Options | Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei | Review of Derivatives Research, 11 (2008), 83-118 | - |
| 2008 | Linear-Time Option Pricing Algorithms by Combinatorics | Tian-Shyr Dai, Limin Liu, Yuh-Dauh Lyuu | Computers and Mathematics with Applications, 55 (2008), 2142-2157 | - |
| 2009 | Accurate Approximation Formulas for Stock Options with Discrete Dividends | Tian-Shyr Dai, Yuh-Dauh Lyuu | Applied Economics Letters, 16(16), 1657-1663 (2009) | - |
| 2007 | Enhanced SEA Algorithm and Fingerprint Classification Directional Image | Limin Liu, C. Huang, Tian-Shyr Dai, G. Chen | International Journal of Computer Applications in Technology, 30(4), 295-302 (2007) | - |
| 2007 | An Exact Subexponential-Time Lattice Algorithm for Asian Options | Tian-Shyr Dai, Yuh-Dauh Lyuu | Acta Informatica, 44(1), 23-39 (2007) | - |
| 2006 | Ridge Orientation Estimation and Verification Algorithm for Fingerprint Enhancement | Limin Liu, Tian-Shyr Dai | Journal of Universal Computer Science, 12 (2006), 1426-1438 | - |
| 2005 | Analytics for Geometric Average Trigger Reset Options | Tian-Shyr Dai, Yuh-Yuan Fang, Yuh-Dauh Lyuu | Applied Economics Letters, 12 (2005), 835-840 | - |
| 2005 | An Efficient Convergent Lattice Algorithm for European Asian Options | Tian-Shyr Dai, Guan-Shieng Huang, Yuh-Dauh Lyuu | Applied Mathematics and Computation, 169(2), 1458-1471 (2005) | - |
| 2002 | Efficient, Exact Algorithms for Asian Options with Multiresolution Lattices | Tian-Shyr Dai, Yuh-Dauh Lyuu | Review of Derivatives Research, 5 (2002), 181-203 | - |
Selected Conference Publications
Conference Papers
| Year | Title | Authors | Journal Name | GitHub |
|---|---|---|---|---|
| 2023 | Hunting for Short-term Bonds via Flexibility: the Call Policy from the Perspective of Debt Maturity Decision in the Corporate Bond Market | Liang-Chih Liu, Lei Zhou, Tian-Shyr Dai, Kevin Tseng | 2023 Western Finance Association Meetings | - |
| 2004 | An Exact Subexponential-Time Lattice Algorithm for Asian Options | Tian-Shyr Dai, Yuh-Dauh Lyuu | Proceedings of ACM-SIAM Symposium on Discrete Algorithms (SODA04) | - |
Books
Book Publications
| Year | Title | Authors | Journal Name | GitHub |
|---|---|---|---|---|
| 2005 | C++ and Quantitative Finance | Tian-Shyr Dai | Taiwan: Securities and Futures Institute, ISBN: 986-7737-51-2 (2005) | - |