期刊論文
| 期刊年份 | 期刊名稱 | 期刊類別 |
|---|---|---|
| 2025 | Chien-Ling Lo/Wen-Rang Liu, Low risk, high return: Improving option writing performance with put-call ratios in Taiwan, Pacific-Basin Finance Journal, 90, 102687 | |
| 2024 | Jeffrey Tzuhao Tsai/Chien-Ling Lo , Modeling underwriting risk: A copula regression analysis on U.S. property-casualty insurance byline loss ratios, Pacific-Basin Finance Journal, 83, 102206 | SSCI |
| 2023 | Hung-Wen Cheng/Li-Han Chang/Chien-Ling Lo/Jeffrey Tzuhao Tsai, Empirical performance of component GARCH models in pricing VIX term structure and VIX futures, Journal of Empirical Finance, 72, 122-142 | SSCI |
| 2021 | Chien-Ling Lo/Carolyn W. Chang/Jin-Ping Lee/Min-Teh Yu, Pricing catastrophe swaps with default risk and stochastic interest rates, Pacific-Basin Finance Journal, 68, 101314 | |
| 2021 | Ming-Yu Liu/Wen-I Chuang/Chien-Ling Lo, Options-implied information and the momentum cycle, Journal of Financial Markets, 53, 100565 | SSCI |
| 2020 | Hung-Wen Cheng/Chien-Ling Lo/Jeffrey Tzuhao Tsai, Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices, The North American Journal of Economics and Finance, 54, 100841 | SSCI |
| 2019 | Chien-Ling Lo/Pai-Ta Shih/Yaw-Huei Wang/Min-Teh Yu, VIX derivatives: Valuation models and empirical evidence, Pacific-Basin Finance Journal, 53, 1-21 | SSCI |
| 2018 | Mi-Hsiu Chiang/Hsin-Hao Fu/Yi-Ta Huang/Chien-Ling Lo/Pai-Ta Shih, Analytical Approximations for American Options: The Binary Power Option Approach, 財務金融學刊, 26(3), 91-116 | TSSCI |
| 2017 | San-Lin Chung/Chien-Ling Lo/Pai-Ta Shih, Pricing Stock Options with State-Dependent Jump-to-Default, 期貨與選擇權學刊, 10(1), 41-79 | TSSCI |
| 2014 | Chien-Ling Lo/Kenneth J. Palmer/Min-Teh Yu, Moment-Matching Approximations for Asian Options, The Journal of Derivatives, 21(4), 103-122 | SSCI |
| 2013 | Chien-Ling Lo/Jin-Ping Lee/Min-Teh Yu, Valuation of insurers’ contingent capital with counterparty risk and price endogeneity, Journal of Banking & Finance, 37(12), 5025-5035 | SSCI |
研討會論文
| 研討會舉行年份 | 論文發表篇名 |
|---|---|
| 2024 | Tian-Shyr Dai/Chien-Ling Lo/You-Jia Sun, Feasibility Analysis of Contingent Capital Provisions: The Case of CatEPuts, European Financial Management Association (EFMA) 2024 Annual Meeting, Lisbon, Portugal |
| 2022 | Chien-Ling Lo, Replica Game: A Creative Pedagogy for Option Strategies, Financial Management Association (FMA) 2022 Annual Meeting, Atlanta, US |
| 2019 | Chien-Ling Lo, Insurers’ Contingent Capital and the Term Structure of Default Probability, International Congress on Insurance: Mathematics and Economics (IME), Munich, Germany |
| 2018 | Mi-Hsiu Chiang/Hsin-Hao Fu/Yi-Ta Huang/Chien-Ling Lo/Pai-Ta Shih, Analytical Approximations for American Options: The Binary Power Option Approach, Financial Management Association (FMA) European Conference, Kristiansand, Norway |
| 2017 | San-Lin Chung/Chien-Ling Lo, Bankruptcy Risk Premium and the Valuation of Stock Options, Financial Management Association (FMA) Annual Meeting, Boston, US |
| 2017 | Chien-Ling Lo, Pricing Stock Options with the Term Structure of Bankruptcy Probability, Financial Management Association (FMA) European Conference , Lisbon, Portugal |
| 2016 | Chien-Ling Lo/Pai-Ta Shih/Yaw-Huei Wang/Min-Teh Yu, Two Variance Components, Variance Jumps, and the Pricing of VIX Derivatives, European Financial Management Association (EFMA) Annual Meeting, Basel, Switzerland |
| 2015 | San-Lin Chung/Chien-Ling Lo, Extracting Default Information from Equity Option Prices: A General Equilibrium Approach, Financial Management Association (FMA) Annual Meeting, Orlando, US |
| 2013 | Chien-Ling Lo/Pai-Ta Shih/Yaw-Huei Wang/Min-Teh Yu, Is A Jump Component or An Additional Volatility Factor Crucial for Volatility Modeling? Evidence from the Pricing of VIX Derivatives, Financial Management Association (FMA) Annual Meeting, Chicago, US |
| 2012 | Chien-Ling Lo/Jin-Pin Lee/Min-Teh Yu, Valuation of Catastrophe Equity Puts with Counterparty Risk and Price Endogeneity, Financial Management Association (FMA) Annual Meeting, Atlanta, US |
| 2011 | Chien-Ling Lo/Kenneth J. Palmer/Min-Teh Yu, Analytic Approximations for Generalized Asian Options, Financial Management Association (FMA) Annual Meeting, Denver, US |
技術報告
| 出版日期 | 論文篇名 |
|---|
專書
| 出版日期 | 書名 |
|---|
研究計畫
| 經費補助單位 | 計畫名稱 | 計畫執行開始日期 | 擔任角色 |
|---|---|---|---|
| 國科會 | 選擇權投資組合、巨災風險管理與金融創新(NSTC113-2410-H-155-003-MY2) | 2024/08/01 | 主持人 |
| 國科會 | 訊息被動式選擇權定價模型之相關研究(MOST110-2410-H-155-009-MY3) | 2021/08/01 | 主持人 |
| 國科會 | 考慮模型不確定性之股票選擇權評價(MOST108-2410-H-155-016-MY2) | 2019/08/01 | 主持人 |
| 國科會 | 股票選擇權之評價、破產風險溢酬與破產機率期間結構(MOST106-2410-H-035-007-MY2) | 2017/08/01 | 主持人 |
| 國科會 | 考慮違約選擇權下預售契約之評價(MOST105-2410-H-035-022) | 2016/08/01 | 主持人 |
| 國科會 | 理論與實證(MOST104-2410-H-035-048) | 2015/10/01 | 主持人 |
經歷
| 年度 | 經歷類別 | 服務機關名稱 | 職務 |
|---|---|---|---|
| 2025-01 | 專業顧問 | 財團法人保險安定基金 | 保險安定諮詢委員 |
榮譽
| 獲獎年度 | 獲獎項目 | 頒發單位 |
|---|---|---|
| 2022 | Innovation in Teaching Award | Financial Management Association (FMA) |
| 2022 | 青年學者研究獎 | 元智大學 |
| 2021 | 富邦人壽管理博碩士論文獎佳作(指導學生: 李尉銘) | 社團法人中華民國管理科學學會 |
| 2021 | 年輕學者研究獎 | 台灣風險與保險學會(TRIA) |