教授個人資料

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姓名: 駱建陵 Lo, Chien-Ling
學群: 財務金融學群
TEL: 03-4638800 ext. 6364
Email: cllo@saturn.yzu.edu.tw

職稱

副教授兼財金學群召集人

專長/研究領域

衍生性金融商品 財務工程 風險管理 投資學

學歷

  • 國立臺灣大學 財務金融所 博士
  • 國立臺灣大學 數學研究所 碩士
  • 國立政治大學 應用數學系 學士

經歷

  • 元智大學 管理學院 副教授 2021/08 至今
  • 元智大學 管理學院 助理教授 2018/02 至 2021/07
  • 逢甲大學 金融學院 助理教授 2015/08 至 2018/01

期刊論文

  1. Tsai, J.T.*, Lo, C.-L., 2024. Modeling underwriting risk: A copula regression analysis on U.S. property-casualty insurance byline loss ratios. Pacific-Basin Finance Journal 83, 102206. [SSCI, 國科會財務期刊排序: A Tier-2]
  2. Cheng, H.-W., Chang, L.-H., Lo, C.-L.*, Tsai, J.T., 2023. Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. Journal of Empirical Finance 72, 122-142. [SSCI, 國科會財務期刊排序: A Tier-1]
  3. Lo, C.-L., Chang, C. W., Lee, J.-P., Yu, M.-T.*, 2021. Pricing catastrophe swaps with default risk and stochastic interest rates. Pacific-Basin Finance Journal 68, 101314. [SSCI, 國科會財務期刊排序: A Tier-2]
  4. Liu, M.-Y., Chuang, W.-I.*, Lo, C.-L., 2021. Options-implied information and the momentum cycle. Journal of Financial Markets 53, 100565. [SSCI, 國科會財務期刊排序: A Tier-1]
  5. Cheng, H.-W., Lo, C.-L.*, Tsai, J.T., 2020. Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices. North American Journal of Economics and Finance, 54, 100841. [SSCI]
  6. Lo, C.-L.*, Shih, P.-T., Wang, Y.-H., Yu, M.-T., 2019. VIX Derivatives: Valuation Models and Empirical Evidence. Pacific-Basin Finance Journal 53, 1–29. [SSCI, 國科會財務期刊排序: A Tier-2]
  7. Chiang, M.-H., Fu, H.-H., Huang, Y.-T., Lo, C.-L.*, Shih, P.-T., 2018. Analytical Approximations for American Options: The Binary Power Option Approach. Journal of Financial Studies 26 (3), 91–116. [TSSCI]
  8. Chung, S.-L., Lo, C.-L.*, Shih, P.-T., 2017. Pricing Stock Options with State-Dependent Jump-to-Default. Journal of Futures and Options 10 (1), 41–79. [TSSCI]
  9. Lo, C.-L.*, Palmer, K. J., Yu, M.-T., 2014. Moment-Matching Approximations for Asian Options. Journal of Derivatives 21 (4), 103–122. [SSCI, 國科會財務期刊排序: A Tier-2]
  10. Lo, C.-L., Lee, J.-P., Yu, M.-T.*, 2013. Valuation of Insurers’ Contingent Capital with Counterparty Risk and Price Endogeneity. Journal of Banking and Finance 37 (12), 5025–5035. [SSCI, 國科會財務期刊排序: A Tier-1]

會議論文

  1. "Replica Game: A Creative Pedagogy for Option Strategies". Financial Management Association (FMA) 2022 Annual Conference, Atlanta, US. Octorber 2022.
  2. "Insurers' Contingent Capital and the Term Structure of Default Probability". The 23rd International Congress on Insurance: Mathematics and Economics (IME 2019) in Munich, Germany. July 2019.
  3. Norway. June 2018."Analytical Approximations for American Options: The Binary Power Option Approach" with Mi-Hsiu Chiang, Hsin-Hao Fu, Yi-Ta Huang, and Pai-Ta Shih. Financial Management Association (FMA) European Conference in Kristiansand, Norway. June 2018.
  4. "Bankruptcy Risk Premium and the Valuation of Stock Options" with San-Lin Chung. Financial Management Association (FMA) Annual Meeting in Boston, MA, US. October 2017.
  5. "Pricing Stock Options with the Term Structure of Bankruptcy Probability" Financial Management Association (FMA) European Conference in Lisbon, Portugal. June 2017.
  6. "Two Variance Components, Variance Jumps, and the Pricing of VIX Derivatives" with Pai-Ta Shih, Yaw-Huei Wang, and Min-Teh Yu. European Financial Management Association (EFMA) Annual Meeting in Basel, Switzerland. June 2016.
  7. "Extracting Default Information from Equity Option Prices: A General Equilibrium Approach" with San-Lin Chung. Financial Management Association (FMA) Annual Meeting in Orlando, Florida, US. October 2015.
  8. "Is A Jump Component or An Additional Volatility Factor Crucial for Volatility Modeling? Evidence from the Pricing of VIX Derivatives" with Pai-Ta Shih, Yaw-Huei Wang, and Min-Teh Yu. Financial Management Association (FMA) Annual Meeting in Chicago, Illinois, US. October 2013.
  9. "Valuation of Catastrophe Equity Puts with Counterparty Risk and Price Endogeneity" with Jin-Pin Lee and Min-Teh Yu. Financial Management Association (FMA) Annual Meeting in Atlanta, Georgia, US. October 2012.
  10. "Analytic Approximations for Generalized Asian Options" with Kenneth J. Palmer and Min-Teh Yu. Financial Management Association (FMA) Annual Meeting in Denver, Colorado, US. October 2011.

研究計畫

  1. 110學年度，訊息被動式選擇權定價模型之相關研究，科技部專題研究計畫，計畫主持人 (MOST110-2410-H-155-009-MY3)
  2. 108學年度，考慮模型不確定性之股票選擇權評價，科技部專題研究計畫，計畫主持人 (MOST108-2410-H-155-016-MY2)
  3. 106學年度，股票選擇權之評價、破產風險溢酬與破產機率期間結構，科技部專題研究計畫，計畫主持人 (MOST106-2410-H-035-007-MY2)
  4. 105學年度，考慮違約選擇權下預售契約之評價，科技部專題研究計畫，計畫主持人 (MOST105-2410-H-035-022)
  5. 104學年度，考慮狀態相依違約強度之股票選擇權評價：理論與實證，科技部專題研究計畫，計畫主持人 (MOST104-2410-H-035-048)
  6. 102學年度，Is a Jump Component or an Additional Factor Crucial for Volatility Modeling? Evidence from the Pricing of VIX Derivatives.，行政院國家科學委員會獎勵人文與社會科學領域博士候選人撰寫博士論文 (NSC102-2420-H-002-045-DR)

專書/個案/其他出版品

產學計劃

教授課程

  1. 衍生性金融商品(學士班、碩士班)
  2. 財務軟體應用(英專班)
  3. 基礎程式設計-數據分析入門(英專班)
  4. 投資組合與證券分析(英專班)
  5. 微積分(學士班)

論文指導

  1. 110 財務金融暨會計碩士班 (財務金融學程), 陳裕翔, 選擇權定價公式與未來股票報酬率預測
  2. 109 財務金融暨會計碩士班 (財務金融學程), 李尉銘, 利用台指VIX改良選擇權賣出策略
  3. 109 財務金融暨會計碩士班 (財務金融學程), 陳家亮, 期現貨基差與選擇權市場之關係: 以台指衍生性市場探討

獲獎與專業證照

  1. 2022年，財務管理學會(FMA)創新教學獎 - 亞軍。
  2. 2022年，元智大學110學年度青年學者研究獎。
  3. 2021年，台灣風險與保險學會(TRIA)年輕學者研究獎。
  4. 2021年，富邦人壽管理博碩士論文獎佳作 (指導學生: 李尉銘)。
  5. 2013年，科技部人文與社會科學領域博士候選人撰寫博士論文獎。

學會會員

  1. 財務管理學會(FMA)
  2. 臺灣風險與保險協會(TRIA)
  3. 台灣財務工程學會(FeAT)

其他校外服務