Theses of Prof. Lyuu's Students
Theses Supervised (reverse chronological order)
- 2009
- 2008
- Master's theses
-
Chang, Shih-Yu (Olivia).
Enhanced Client-Side Protection for Cross-site Request Forgeries.
-
Chiu, Chun-Yuan.
Efficient Pricing of Asian
Options via the Fast Fourier Transform.
-
Lin, Tien-Nan ("Dancer").
TBA.
-
Shih, Hung-Pin.
On Two Heuristic Algorithms for Maximum and Minimum Weighted Bipartite Matching.
-
Wu, Cheng-Wei ("Jacket").
Pricing Parisian Options: Combinatorics, Simulation, and Parallel Processing.
-
Wu, Yi-Chun.
Performance of GPU for a Tree Model for Convertible
Bonds Pricing with Stock Price, Interest Rate, and Default Risks.
- MBA theses
-
Chen, Chia Lung.
Pricing Exchange Rate-Linked Asian Options by the Reciprocal Gamma Distribution Method.
-
Chen, Ying-Chie.
The Complexity of GARCH Option Pricing Models.
-
Huang, Tsung-Kai (Charles).
Credit Portfolio Simulation Using Correlated Binomial Lattices.
-
Lin, Kuan Chi.
Pricing Portfolio Credit Derivatives Using a Simplified Dynamic Model.
-
Su, Yong-Jhih (Mark).
Comparative Analyses of Correlation Skew Models.
-
Tsai, Tsung-Yu (Spencer).
An Alternative Method of Options Pricing by Implied Trees.
-
Wu, Cheng (Janey).
Pricing Volatility and Variance Swaps by Implied Trees.
- 2007
- Ph.D. theses
-
Hsu, William Wei-Yuan.
Efficient
Pricing of Asian and Asian Barrier Options Using the Lagrangian Multiplier
Method.
- Master's theses
-
Chen, Tzu-Chun.
Convergence Comparison of GCRR and Ritchken Models.
-
Cheng, Kai Ming.
Application of Learning Theory
to Language Learning.
-
Chiu, Chun-Yuan.
Pricing Asian Options by
Approximating the Probability Density Function of the
Average.
-
Chou, Chun-Chih (Mike).
An Automatic Trading System and Analysis of Strategies.
-
Lin, Simon.
Analysis on Qualities of the Inverse Normal
Cumulative Distribution Function.
-
Wang, Yu-Chun.
Using Recombining Binomial
Trees To Implement LIBOR Market Models.
-
Yen, Kyle.
An Information System for Convertible Bonds
with an Emphasis on the Dilution Effect.
- MBA theses
-
Chen, Chia Lung.
Pricing Forward-starting Quanto Asian Options by the Reciprocal Gamma Distribution Method.
-
Chen, Fang Ting.
Variance Reduction Methods for Monte Carlo Valuation of American Options.
-
Kang, Yu-Jhen.
Using
Brownian Bridge for Fast Simulation of Rainbow Barrier
Options.
-
Liao, Feng Yu.
The
Valuation of Employee Stock Options.
-
Tseng, Chien-Han (Hans).
Pricing CDOs with the Fourier Transform Method.
- 2006
- Master's theses
-
Chan, Hsun-Cheng.
Implied
Binomial Tree Method for Pricing TAIEX Options.
-
Chang, Ching-Luei (Tony).
On the Computational Power of Players in
Two-Person Strategic Games.
-
Chang, Yu-Chieh.
Parameters Estimation of the GARCH Model.
-
Chen, Hsuan-Chang.
Testing Connectivity of Graphs.
-
Hsue, Steven.
Neural Scoring in Karaoke.
-
Lin, Hong-Yiu.
Fast Fourier Tranform
with Applications to Pricing Discrete European Barrier Options
under Binomial and Trinomial Models.
-
Shu, Cheng-Hsiung.
Pricing
Asian Options with Fourier Convolution.
- MBA theses
-
Chen, Shin-Chiang (Morris).
A Tree-Based Algorithm for Option Pricing under GARCH-Binary Jump Processes.
-
Chu, Yung-Chi.
Option
Pricing with Stochastic Volatility.
-
Lin, Vader.
Pricing Barrier Options in Two Dimensions.
-
Yu, Hsuan.
Pricing Arithmetic Average Basket Options.
- 2005
- Ph.D. theses
-
Wu, Ming-Luen.
Group-Oriented Encryption and Signature.
- Master's theses
-
Hsu, Chung-Yu.
Adaptive Finite Volume Methods for Pricing European-Style Asian Options.
- 19th Annual Dragon Outstanding
Thesis Award (2005), Acer Foundation in Business Management.
-
Liu, Chung-Young.
On Accurate Trinomial GARCH Option Pricing Algorithms. Master's thesis.
-
Shea, Chih-Jui (Jerry).
Numerical Valuation of
Discrete Barrier Options: the Adaptive Mesh Model and Other Competing Techniques.
-
Zhang, Zhong-Pyong.
Testing Bipartiteness by Quantum Walks.
- MBA theses
-
Chen, Kuan-Wen.
Lower Bounds for Asian Options.
-
Chen, Yi-Ting.
Quasi-Monte Carlo Methods for Option Pricing.
-
Lee, Chia-Peng.
On the Least-Squares Monte Carlo (LSM) for Pricing American Barrier Options.
-
Liou, Yan-Fu.
A Closed-Form Solution for GARCH-Jump Option Pricing Models.
-
Tsai, Hwai.
Pricing Discrete Double-Barrier Options
with the Quadrature Method.
-
Yang, Tsung-Mu.
Interest Rate Barrier Options Pricing.
- 2004
- 2003
- 2002
- 2001
- 2000
- 1999
- Ph.D. theses
-
Wong, Hsing-Kuo.
Game Theory with Applications to On-Line Computation.
- Master's theses
-
Chao, Kun-Yuan.
Combinatorial Methods for Double-Barrier Option
Pricing.
-
Chen, Yuan-Wang.
Towards Creating Taiwan's Put Market.
-
Chiang, Jia-Sheng.
Yield Curve Fitting.
-
Dai, Tian-Shyr.
Pricing Path-Dependent Derivatives.
- Gold Medal, 13th Annual Dragon Thesis Award (1999),
Acer Foundation in Business Management.
-
Shieh, Jia-Liang.
Monte Carlo Approaches for Pricing
Multi-Asset Options.
-
Sun, Min-Cheng.
Pricing Asian Options.
-
Wu, Chao-Sheng.
Numerical Methods for Model Calibration
under Credit Risk.
- 1998
- 1997
- Master's theses
-
Chen, Wei-Jui.
Calibrating Interest Rate Models with Differential Tree Algorithms:
the Case of Black-Derman-Toy Model.
- 11th Annual Dragon Best Thesis
Award (1997), Acer
Foundation in Business Management.
-
Liu, Yu-Hong.
Barrier Option Pricing: Combinatorial Methods and Trinomial Tree
Algorithms.
-
Wang, Huang-Wen.
A Comparative Study of Numerical Algorithms for
Interest Rate Models.
-
Wang, Jong-Rong.
Parallel ADI Algorithms on the MICA Architecture.
- 1996
- Master's theses
-
Wang, Chen-Leh.
An Object-Oriented
Framework for Financial Computation Based on Three-Tier Client/Server
Architectures.
- 10th Annual Dragon Outstanding
Thesis Award (1996), Acer
Foundation in Business Management.
