Publications
Journal Articles (peer reviewed)
C.-Y. Tu, S.-C. Chang, “Estimation of Reinvestment Risk of International Bonds.” Review of Securities and Future Markets, vol. 33, no. 4, pp. 77–102, 2021. (TSSCI)
S.-C. Chang, C.-Y. Tu, “Dynamic Hedging of Options by Deep Learning.” Insurance Monograph, vol. 36, no. 4, pp. 1–20, 2020.
S.-C. Chang, Y.-K. Lee, W. Hsuan, C.-Y. Tu, “Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry.” Asia-Pacific Journal of Risk and Insurance, vol. 14, no. 1, pp. 1–16, 2020. (EconLit)
C.-Y. Tu, S.-C. Chang, “Numerical Valuation of Double Barrier Options: The Finite Element Method Approach.” Journal of Risk Management, vol. 21, no. 1, pp. 5–21, 2019.
S.-C. Chang, C.-Y. Tu, “Optimal Asset Allocation under the Liquidity Constraint.” Journal of Risk Management, vol. 20, no. 2, pp. 85–105, 2018.
S.-C. Chang, C.-Y. Tu, C.-H. Tsai, “Pension Fund Management Using the Markov Chain Approximation.” Asia Pacific Management Review, vol. 10, no. 4, pp. 259–266, 2005. (EconLit, TSSCI)
S.-C. Chang, C.-Y. Tu, Y.-S. Teng, “Speculating and Hedging in Optimal Investment Strategy for Multi-Period Fund Management.” Insurance Monograph, vol. 19, no. 1, pp. 1–21, 2003.
S.-C. Chang, C.-H. Tsai, C.-J. Tien, C.-Y. Tu, “Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: Model Incorporating Asset-Liability Matching Criterions.” Journal of Actuarial Practice, vol. 10, pp. 131–155, 2002.
Preprint (submitted)
W. Hsuan, C.-Y. Tu, S.-C. Chang, “On Merton's Optimal Consumption-Investment Problem: A Lie Symmetry Analysis Approach.”
C.-Y. Tu, S.-C. Chang, “Optimal Insurance Solvency Regulatory Schemes Under the Early Warning System.”
Working Papers
W. Hsuan, C.-Y. Tu, S.-C. Chang, “Valuation of International Bond.”
C.-Y. Tu, “Optimal Study and Review Scheduling.”
W. Hsuan, C.-Y. Tu, S.-C. Chang, “Forex Hedging: The Copula-GARCH Approach.”
C.-Y. Tu, “Inverse Obstacle Scattering Problem of a Perfect Conductor.”
C.-Y. Tu, “The Monotonicity Approach to Inverse Obstacle Scattering Problem.”
C.-Y. Tu, “Electromagnetic Scattering Problems in Chiral Media.”