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Professor Info
Lo, Chien-Ling
Title
Associate Professor & Convener of Finance Discipline
Speciality
  • Derivatives
  • Financial Engineering
  • Risk Management
  • Investment
Academic BG.
  • PhD, Department of Finance, National Taiwan University
  • MSc, Department of Mathematics, National Taiwan University
  • BSc, Department of Mathematical Sciences, National of ChengChi University
Experience
  • Associate Professor, College of Management, Yuan Ze University, 2021/08 -
  • Assistant Professor, College of Management, Yuan Ze University, 2018/02 - 2021/07
  • Assistant Professor, College of Finance, Feng Chia University, 2015/08 - 2018/01
  • Journal Papers
  • Conference Papers
  • Research Grants
  • Books/Pub.
  • Industrial Grants
  • Courses
  • Dissertation
  • Awards & Certificates
  • Pro. Membership
  • Other Contributions
  • 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, NSTC Finance Journal Ranking: A Tier-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, NSTC Finance Journal Ranking: A Tier-1]
  • 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, NSTC Finance Journal Ranking: A Tier-2]
  • Liu, M.-Y., Chuang, W.-I.*, Lo, C.-L., 2021. Options-implied information and the momentum cycle. Journal of Financial Markets 53, 100565. [SSCI, NSTC Finance Journal Ranking: A Tier-1]
  • 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]
  • 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, NSTC Finance Journal Ranking: A Tier-2]
  • 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]
  • 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]
  • Lo, C.-L.*, Palmer, K. J., Yu, M.-T., 2014. Moment-Matching Approximations for Asian Options. Journal of Derivatives 21 (4), 103–122. [SSCI, NSTC Finance Journal Ranking: A Tier-2]
  • 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, NSTC Finance Journal Ranking: A Tier-1]
  • "Replica Game: A Creative Pedagogy for Option Strategies". Financial Management Association (FMA) 2022 Annual Conference, Atlanta, US. Octorber 2022.
  • "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.
  • 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.
  • "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.
  • "Pricing Stock Options with the Term Structure of Bankruptcy Probability" Financial Management Association (FMA) European Conference in Lisbon, Portugal. June 2017.
  • "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.
  • "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.
  • "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.
  • "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.
  • "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.
  • Lo, Chien-Ling (2021), Research on Informationally Passive Option Pricing Models (MOST110-2410-H-155-009-MY3)
  • Lo, Chien-Ling (2019), Valuation of Stock Options with Model Uncertainty (MOST108-2410-H-155-016-MY2)
  • Lo, Chien-Ling (2017), Valuation of Stock Options, Bankruptcy Risk Premium, and the Term Structure of Bankruptcy Probability (MOST106-2410-H-035-007-MY2)
  • Lo, Chien-Ling (2016), Valuation of Presale Contracts with Options to Default (MOST105-2410-H-035-022)
  • Lo, Chien-Ling (2015), Valuation of Stock Options with State-Dependent Default Intensity (MOST104-2410-H-035-048)
  • Lo, Chien-Ling (2013), Is a Jump Component or an Additional Factor Crucial for Volatility Modeling? Evidence from the Pricing of VIX Derivatives. (NSC102-2420-H-002-045-DR)
  • Derivative Securities (BBA, MS)
  • Financial Packages and Applications (EBBA)
  • Fundamental Computer Programming - Introduction to Data Analysis (EBBA)
  • Portfolio and Security Analysis (EBBA)
  • Calculus (BBA)
  • 110 Master thesis, Yu-Hsiang Chen, Figlewski's option pricing formulae and future equity return predictability
  • 109 Master thesis, Wei-Ming Lee, Using VIXTWN to improve option writing strategies
  • 109 Master thesis, Jia-Liang Chen, The relationship between spot-future basis and the option market: Evidence from TAIFEX derivatives market
  • 2022 FMA Innovation in Teaching Award: Runners-up
  • 2022 YZU Young Scholar Research Award
  • 2021 TRIA Outstanding Junior Researcher Award
  • Financial Management Association (FMA)
  • Taiwan Risk and Insurance Association (TRIA)
  • Financial Engineering Association of Taiwan (FeAT)
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Lo, Chien-Ling

Finance

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College of Management, Yuan Ze University.
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