Dr. Tian-Shyr Dai

National Chiao Tung University, Taiwan

Email: d88006@csie.ntu.edu.tw

Qualifications

2004 Ph.D., National Taiwan University

1999 M.Sc., National Taiwan University

1997 B.Sc., National Taiwan University

Publications (Selected)

1. Sharon Yang and Tian-Shyr Dai. “A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions.” Insurance: Mathematics and Economics, 52 (2013) 231–242
2. Rodrigo Hernandez,Wayne Lee, Pu Liu, and Tian-Shyr Dai. “Outperformance Certificates: Analysis, Pricing, Interpretation, and Performance.” Review of Quantitative Finance and Accounting, Forthcoming
3. Tian-Shyr Dai, Chuan-Ju Wang, and Yuh-Dauh Lyuu. “A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables.” Journal of Futures Markets, Forthcoming
4. Limin Liu, and Tian-Shyr Dai. “A Reliable Fingerprint Orientation Estimation Algorithm.” JOURNAL OF INFORMATION SCIENCE AND ENGINEERING, 2011,27:353:368 (SCI)
5. Tian-Shyr Dai, Yuh-Dauh Lyuu, Chuan-Ju Wang, and Yen-Chun Liu. “An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-diffusion Process.” Applied Mathematics and Computation, Vol. 217 (2010), 3174-3189 (SCI)
6. Tian-Shyr Dai and Yuh-Dauh Lyuu. “The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing.” Journal of Derivatives, Vol.17 2010, pages:7-24(SSCI)
7. Tian-Shyr Dai and Limin Liu. “A Hybrid Importance Sampling Algorithm for Estimating VaR Under the Jump Diffusion Model.” Journal of Software Engineering and Applications, 2009, 2: 301-307
8. Tian-Shyr Dai, Hui-Ming Chung, and Chun-Ju Ho”Using the LIBOR Market Model to Price the Interest Rate Derivatives：A Recombining Binomial Tree Methodology” NTU Management Review, 2009,20:41-68 (TSSCI)
9. Tian-Shyr Dai. “Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree.” Quantitative Finance, Volume 9, Issue 7 October 2009 , pages 827 – 838
10. Tian-Shyr Dai, and Yuh-Dauh Lyuu. “Accurate and Efficient Lattice Algorithms for American-Style Asian Options with Range Bounds.” Applied Mathematics and Computation, (2009) 209:238—253
11. Dai, T.-S., Wang, K.-L, and Tai, T. “ Pricing Snowball Notes with Hull-White Model and Quadrature Methods” Journal of Futures and Options (2008) Vol.1 pp 73~108