鄭宏文 副教授

鄭宏文 副教授

國立台灣大學財金所博士
國立清華大學數學所碩士
私立東海大學數學系學士
學術專長 : 財務工程、選擇權定價、資產定價、保險商品定價、行為財務學、計量財務、財務時間序列
校內分機 : 3417
辦公室 : 3402
電子郵件 : hwcheng@scu.edu.tw
研究室 : 3402

課表

專書/論文集論文

1. Hung-Wen Cheng, Using Stock and Options Data to Estimate the GARCH Options Pricing Models, Ph.D. dissertation, NTU, Advisor: Cheng-Der Fuh, Ph.D., Yaw-Huei Wang, Ph.D., 2011, 06.
2. Hung-Wen Cheng, Regularization of Second-order Systems by Output Feedback, Master dissertation, NTHU, Advisor: Wen-Wei Lin, Ph.D., 2003, 06.

 

期刊論文

期刊論文

1. Hsuan-Ling Chang, Yen-Cheng Chang, Hung-Wen Cheng, Po-Hsiang Peng, and Kevin Tseng (2019). Jump Variance Risk: Evidence from Option Valuation and Stock Returns. Journal of Futures Markets 39, 890-915. (SSCI) (科技部財務領域ATier-2級期刊). 

2.  Hung-Wen Cheng⁠, Chien-Ling Lo⁠, and Jeffrey Tzuhao Tsai (2018). Model Specification of Conditional Jump Intensity: Evidence from S&P 500 Returns and Option Prices. North American Journal of Economics and Finance, forthcoming. (SSCI) (第一作者)

3.  Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh (2018). Ensuring More is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model. Journal of Derivatives 26(1), 7-25. (SSCI) (科技部財務領域ATier-2級期刊). (通訊作者)

4.  Yen-Cheng Chang and Hung-Wen Cheng (2015). Information Environment and Investor Behavior. Journal of Banking & Finance 59, 250-264. (SSCI) (科技部財務領域ATier-1級期刊) (通訊作者)

5.  Yu-Lieh Huang, Jeffrey Tzuhao Tsai, Sharon S. Yang, and Hung-Wen Cheng (2014). Price Bounds of Mortality-Linked Security in Incomplete Insurance Market. Insurance: Mathematics and Economics 55, 30-39. (SSCI) (科技部財務領域保險精算ATier-2級期刊)

6.  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) (第一作者)

7.  Shu-Hui Yu, Chien-Chih Lin, and 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)

會議論文

 

1. Hsuan-Ling Chang, Yen-Cheng Chang, Hung-Wen Cheng, Po-Hsiang Peng, and Kevin Tseng, "Jump Variance Risk: Evidence from Option Valuation and Stock Returns", Northern Finance Association Annual Conference 2017, Halifax, Canada, September 16, 2017.

2. Hung-Wen Cheng, Ching-Kang Ing, and Chien-Chih Lin, "Multistep Prediction Errors in Integrated Autoregressive Processes with Polynomial Time Trends", Japanese Joint Statistical Meeting 2017, Nagoya, Japan, September 5, 2017.

3. Yen-Cheng Chang, Hung-Wen Cheng and Kevin Tseng, "Jump Risk Premium and Asset Prices: Evidence from Option Panels", 2015 OptionMetrics Research Conference, New York, USA, October 19, 2015.

4. Hung-Wen Cheng, Jeffrey Tzuhao Tsai, and Yi-Ding Lei, "Variance premium, U-shaped Pricing Kernel and Option Valuation", World Risk and Insurance Economics Congress (WRIEC), Munich, August 2-6, 2015.

5. 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", SIBR-Thammasat 2013 Bangkok Conference on Interdisciplinary Business and Economics Research, Bangkok, Thailand, June 6-8, 2013.

6. 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.

7. 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.

8. 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.

9. 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.

10. 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. (2011年魏慶榮統計論文獎優等獎)

11. 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.

12. 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.

13. 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", Financial Engineering and Risk Management International Symposium, Taipei, Taiwan, 2010, 06.

14. Hung-Wen Cheng and Cheng-Der Fuh, "Data Snooping for On-line VWAP", The 18th South Taiwan Statistics Conference, Kaohsiung, Taiwan, 2009, 06.

其它

經歷

1. 中央研究院統計所博士後研究(2011.08~2012.07)
2. 中央研究院統計所研究助理(2008.08~2011.07)
3. 中央研究院數學所研習員(2005.07~2006.06)
4. 中央研究院數學所研究助理(2005.01~2005.06)

學位論文

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.

科技部研究計畫

1. 101年度科技部專題研究計畫，【新聞如何變成報酬：關注、交易及盈餘公告的報酬 】主持人，計畫編號：NSC 101-2410-H-031-071。
2. 103年度科技部專題研究計劃，【一般性隱藏式馬可夫模型之變點推論】共同主持人，計畫編號：MOST 103-2118-M-008 -002 -MY3。
3. 106年度科技部專題研究計畫，【好的和壞的跳躍波動度風險溢酬與橫斷面股票報酬】主持人，計畫編號：MOST 106-2410-H-031-022。
4. 107年度科技部專題研究計畫，【非系統跳躍動差風險溢價：個股股票報酬及選擇權的實證】主持人，計畫編號：MOST 107-2410-H-031-032。

 科技部大專學生研究計畫

1. 104年度科技部大專學生研究計畫，【A Closed-Form GARCH Option Pricing Model with Jump Dynamics】指導教授，學生：江宛庭，計畫編號：MOST 104-2815-C-031-013-H。
2. 107度科技部大專學生研究計畫，【用變異數相依定價核心在GARCH反常態高斯動態跳躍模型之選擇權定價封閉解】指導教授，學生：林函儀，計畫編號：MOST 107-2813-C-031-015-H。

 學術獎勵

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.
2. 雷衣鼎、鄭宏文. 用變異數相依定價核心在多重波動模型之選擇權定價. 2014崇越論文大賞管理論文碩士組優等獎.
3. 林俊都、鄭宏文. 波動度變化與橫斷面股票報酬. 2015崇越論文大賞管理論文碩士組優等獎.

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