Cheng Hung-Wen , Assistant Professor

最高學歷 : 國立台灣大學財金所博士

Ph.D. in Finance, National Taiwan University

學術專長 : 財務工程、計量財務、風險管理

Specialty : Financial Engineering, Financial Econometrics, Risk Management

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1. Shu-Hui Yu, Chien-Chih Lin, Hung-Wen Cheng, 2012. A Note on Mean Squared Prediction Error under the Unit Root Model with Deterministic Trend. Journal of Time Series Analysis 33, 276-286. (SCI)
2. Yu-Lieh Huang, Jeffrey Tzuhao Tsai, Sharon S. Yang, Hung-Wen Cheng, 2014. Price Bounds of Mortality-Linked Security in Incomplete Insurance Market. Insurance: Mathematics and Economics 55, 30-39. (SSCI) (國科會財務領域保險精算ATier2級期刊).
3. Hung-Wen Cheng, Chi-Feng Tzeng, Min-Hua Hsieh, and Jeffrey Tzuhao Tsai, 2014. Pricing Mortality-Linked Securities with Transformed Gamma Distribution. Academia Economic Papers (經濟論文) 42, 271-303. (TSSCI).
4. Yen-Cheng Chang, Hung-Wen Cheng, 2015. Information Environment and Investor Behavior. Journal of Banking & Finance 59, 250-264. (SSCI) (國科會財務領域ATier-1級期刊).

1. Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh, "Ensuring More is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model", 第二十一屆南區統計研討會暨2012年中華機率統計學年會及學術研討會、2012年國際應用統計學術研討會, Taipei, Taiwan, 2012,06.
2. Hung-Wen Cheng, Ching-Kang Ing, and Chien-Chih Lin, "Multistep Prediction Errors in Integrated Autoregressive Processes with Polynomial Time Trends", 2011年數學學術研討會暨中華民國數學會年會, Chungli, Taiwan, 2011,12.
3. Shu-Hui Yu, Chien-Chih Lin, and Hung-Wen Cheng, "A Note on Mean Squared Prediction Error under the Unit Root Model with Deterministic Trend", Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC, Taipei, Taiwan, 2011,12.
4. Shu-Hui Yu, Chien-Chih Lin, and Hung-Wen Cheng, "A Note on Mean Squared Prediction Error under the Unit Root Model with Deterministic Trend", Seminars on Financial Mathematics and Financial Statistics, Taipei, Taiwan, 2011,07.
5. Shu-Hui Yu, Chien-Chih Lin, and Hung-Wen Cheng, "A Note on Mean Squared Prediction Error under the Unit Root Model with Deterministic Trend", 2011年魏慶榮統計論文獎參選人, 第二十屆南區統計研討會暨2011 年中華機率統計學會年會及學術研討會, Chiayi, Taiwan, 2011,06.
6. Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh, "Is More Always Better? Using Stock and Options Data to Estimate the GARCH Options Pricing Models", 台大財金所博士班財務金融研討, Taipei, Taiwan, 2011,06.
7. Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh, "Is More Always Better? Using Stock and Options Data to Estimate the GARCH Options Pricing Models", Asia Finance Association Annual Meeting, Hong Kong, 2010,06.
8. Charles Chang, Hung-Wen Cheng, Cheng-Der Fuh, "Is More Always Better? Using Stock and Options Data to Estimate the GARCH Options Pricing Models", Financial Engineering and Risk Management International
   Symposium, Taipei, Taiwan, 2010,06.
9. Hung-Wen Cheng and Cheng-Der Fuh, "Data Snooping for On-line VWAP", The 18th South Taiwan Statistics Conference, Kaohsiung, Taiwan, 2009,06.
10. Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh, "Efficient Estimation Using Stock and Option Data under GARCH(1,1) Model", Seminars on Financial Mathematics and Financial Statistics, Taipei, Taiwan, 2009,04.

1. Hung-Wen Cheng, Using Stock and Options Data to Estimate the GARCH Options Pricing Models, Ph.D. dissertation, NTU, 2011. Advisor: Cheng-Der Fuh, Ph.D., Yaw-Huei Wang, Ph.D.
2. Hung-Wen Cheng, Regularization of Second-order Systems by Output Feedback, Master dissertation, NTHU, 2003. Advisor: Wen-Wei Lin, Ph.D.

1. Shu-Hui Yu, Chien-Chih Lin, and Hung-Wen Cheng. A Note on Mean Squared Prediction Error under the Unit Root Model with Deterministic Trend. 2011年魏慶榮統計論文獎優等獎.