Huei-Wen Teng

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layout: default title: Students –

Students

Current Students

• 李彥璋 Integrating Explainable AI with Polynomial Analytics to Enhance Credit Scoring Model Compliance
• 黃馨霈 Assessing Value of Risk for Cryptocurrencies
• 施昱全 LLM for Taiwan’s Financial Statement Analysis and Future Earning Predictions
• 吳柏賢 Enhancing Financial Resilience in Taiwan’s Green Energy Sector: ESG-Focused Contract Redesign and Risk Mitigation
• 陳怡仁 Enhancing Model Accuracy and Interpretability in FinTech
• 陳諾恆 Utilizing Graphical Models to Measure Systemic Risk in Taiwan
• 江文煌 TBD
• 范艾雯 TBD
• 蘇家灝 TBD

Master Thesis

⭐ Indicates rewards or publications derived from research work

National Yang Ming Chiao Tung University

Department of Information Management and Finance

• 陳彥廷      8/2024
  Yen-Ting Chen, Exploring Multifaceted Drivers for Bitcoin Return Analysis
• 鄭翔澧, 臺灣高市值產業的金融風險指標      8/2024
  Siang-Li Jheng, Financial Risk Meters in Taiwan’s High-Cap Sectors
• 吳旻修, 應用強化學習於台灣股票市場與比特幣交易      8/2024
  Min-Hsiu Wu, Applying Reinforcement Learning for Trading in the Taiwan Stock Market and Bitcoin
• 潘俞綺, 估計比特幣選擇權之定價核：新冠疫情前後分析      8/2023
  Yu-Ci Pan, On BTC Option Pricing Kernels: Pre- and Post-Pandemic Analysis
• 呂映葇, 台灣期交所黃金選擇權的實證分析      8/2022
  Ying-Rou Lu, Empirical Analysis for Gold Options in Taiwan Futures Exchange
• 李育賢, 傳統方法與機器學習在資產定價上的實證比較      6/2020
  Yu-Hsien Bill Li, An Empirical Comparison between Traditional Methods and Machine Learning in Asset Pricing Models
  ⭐ Teng, Li, Chang, (2020), Teng and Li, (2023)
• 吳哲杭, 多元 GARCH 模型與投資組合管理在上海證交所 A 股的實證比較      6/2020
  Zhe-Hang Jeff Wu, An Empirical Comparison of Multivariate GARCH Models with a Portfolio Management Application for the A-Share in Shanghai Stock Exchange
• 林益嘉, 基於深度學習之時間序列因子於信用評級模型      6/2019
  Yi-Chia Kelly Lin, Deep Time-Series Feature Extraction in Credit Scoring Models
• 許至妤, 基於巴塞爾協議在金融風險管理中 VaR 估計的實證研究      6/2019
  Chih-Yu Emma Hsu, An Empirical Investigation on Estimations of VaR in Financial Risk Management Based on Basel Accords
• 陳奕翔, 機器學習中的 Boosting 方法及其在信用風險管理違約預測中的應用      7/2019
  Yi-Xiang Arikson Chen, On Boosting Methods in Machine Learning with Applications in Delinquency Prediction for Credit Risk Management

Institute of Data Science and Engineering, co-advised with Prof. Chu-Lan Kao

• 李亦涵, 分群後分類方法於二元分類不平衡問題: 應用於信用評分模型      8/2022
  I-Han Lee, Cluster-then-Predict for Binary Classification with Imbalance Problem: Applications of Credit Scoring Models ⭐ Teng, Kang, Lee, Bai (2024)

Department of Applied Mathematics, co-advised with Prof. Ming-Hsuan Kang

• 張詠淇, 利用 Heston 隨機波動率模型進行比特幣倒數型選擇權的定價與避險      8/2022
  Yung-Chi Chang, Pricing and Hedging Inverse BTC Options with Heston’s Stochastic Volatility Model
  ⭐ 榮獲 2022 New Futures 期貨學術與實務交流研討會論文金質獎, (Chang, Teng, and Härdle, 2023)
• 陳律翔, 全球資產管理利用 Black-Litterman 模型於臺灣美國股票市場      8/2022
  Lu-Xiang Chen, Global Portfolio Management with the Black-Litterman Model Using Stocks in Taiwan and the US Markets
• 張尚文, $L$-各向同性多維常態分佈之最大概似估計與其應用      8/2021
  Shang-Wen Chang, Maximum Likelihood Estimate of $L$-Isotropic Multivariate Normal Distributions and Its Applications
  ⭐ Teng, Lee, Chang (2020)
• 趙祥安, Heston 隨機波動率模型與 NGARCH 選擇權定價模型在匯率連動選擇權上之實證比較      6/2020
  Xiang-An Zhao, An Empirical Comparison between the Heston Stochastic Volatility Model and the NGARCH Model in Pricing Quanto Options
  ⭐ Teng and Zhao (2021)
• 黃春僖, 分群技術在大型資產配置的應用      6/2019
  Chun-Xi Simon Huang, Large Portfolio Management with Clustering Techniques

Graduate Institute of Statistics, National Central University

• 葉惠瑄      6/2017
  Huei-Hsuan Yeh, A Multivariate Markov Switching Model for Portfolio Optimization
• 應劭玄, 在馬可夫轉換模型下的資產配置      6/2017
  Shao-Hsuan Jason Yin, Portfolio Allocation with Regime Switching Models
• 李宛柔      6/2017
  Wan-Zoe Cora Lee, A Dynamic Rebalancing Strategy for Portfolio Allocation
• 吳柏辰      7/2016
  Po-Chen Wu, Simulating Average Run Lengths of a Copula-Based Control Chart with the Use of Control Variates
• 江厚德      7/2016
  Arron Chiang, An Empirical Comparison of Various Approaches in Calculating Value at Risk
• 林煒紘      6/2015
  Wei-Hung Lin, Asset Allocation Based on the Black-Litterman and GARCH Models
  ⭐ Lin, Teng, Yang (2020)
• 沈睿謙, 在 Black-Scholes 模型下運用選擇權資料進行動態避險之比較      6/2015
  Rui-Qian Shen, Comparisons of Dynamic Hedging of Financial Options Using Different Volatility Estimators under the Black-Scholes Model
• 楊舒媛      6/2015
  Shu Yuang Yang, Modelling the VIX Index and Hedging the S&P 500 Futures Using VIX Options
• 王聖翔      6/2014
  Sheng-Xiang Wang, A Direct Method for Calculating Greeks under Some Lévy Processes
  ⭐ Lyuu, Teng, Tseng, Wang (2019)
• 曾耀德      6/2014
  Yao-Te Tseng, Sensitivity Analysis of Credit Derivatives
  ⭐ Lyuu, Teng, Tseng, Wang (2019)
• 李宥萱      6/2014
  Yu-Hsuan Lee, Improved Mortality Forecasting Using Augmented Data
  ⭐ Luo, Teng, Lee (2016)
• 陳彥勳      6/2013
  Yen-Hsun Chen, Structure Learning for Hierarchical Archimedean Copulas
• 沈志泰      6/2013
  Chih-tai Shen, Estimating Intensity Processes from Credit Default Swaps
• 吳諭昕      6/2013
  Yu-Hsin Wu, Calibrating the State Price Densities Using TAIEX Options
• 陳醇潔      6/2012
  Chun-Chieh Chen, Efficient Option Pricing with Importance Sampling
  ⭐ 榮獲 100 學年度中國統計學社論文獎優等; Teng, Fuh, Chen (2016)
• 劉家齊      6/2012
  Chia-Chi Liu, On Pricing Credit Default Swaps
• 趙彥茹      6/2012
  Yen-ju Chao, Bayesian Imputation with an Application to Mass-Period Functions of Extrasolar Planets
  ⭐ Teng, Hung, Chao (2015)
• 陳彥鈞      6/2012
  Yen-Chun Chen, Copula-Based Weather Data Forecasting
• 劉佑聖      6/2011
  You-Sheng Liu, Portfolio Selection Based on Copula Models with Applications in Taiwan Stock Market
• 吳嘉洋      6/2011
  Jia-Yang Wu, Copula-Based Time Series with Applications to Unemployment Rates Modeling

Undergraduate Projects

• 鄭有朋, 王鳴謙, 李語涵, 吳珮慈, 許晉      Spring 2023 - Fall 2023
  探索比特幣回報分析的多面向驅動因素
  ⭐ 國立陽明交通大學第一屆智慧創新跨域潛力人才競賽, 金融科技組, 優等
• 陳之怡, 唐君亞, 蔡昕妤      Spring 2023 - Fall 2023
  台灣高市值電子與金融行業的金融風險計量指標
  ⭐ 國立陽明交通大學第一屆智慧創新跨域潛力人才競賽, 金融科技組, 優等
• 陳品蓁, 宋佩芩      8/2021-7/2022
  Statistical Modeling for the Exchange Rate between NTD and USD
• 范凱翔, 林睿瑜, 陸恭葦      8/2019-7/2020
  Time Series Forecasting in Credit Scoring Model
  ⭐ 范凱翔, 林睿瑜榮獲 109 年度科技部大專生計畫