Publications

37 Chun-Chong Fu, Chuan-Hsiang Han, Kun Wang. A novel semi-static method for the index tracking problem. Handbook of Investment Analysis, Portfolio Management and Financial Derivatives. Springer. expected, 2023.

36 Kun Wang & Chuan-Hsiang Han (2023) The VolCo index: a measure of the transition from pandemic to equity market, Applied Economics Letters, 30:15, 2004-2008. DOI: 10.1080/13504851.2022.2089338.

35 Han, CH., Wang, K. Stressed portfolio optimization with semiparametric method. Financ Innov 8, 27 (2022). https://doi.org/10.1186/s40854-022-00333-w.

34 H. -H. Hsu, N. -F. Huang and C. -H. Han, "Collision Analysis to Motor Dashcam Videos With YOLO and Mask R-CNN for Auto Insurance," 2020 International Conference on Intelligent Engineering and Management (ICIEM), London, UK, 2020, pp. 311-315. doi: 10.1109/ICIEM48762.2020.9160263.

33 Jollen Chen, Dung-Cheng Lin, and Chuan-Hsiang Han. 2020. Volatility Effect on the Adoption and Valuation of Tokenomics. Proceedings of the 35th Annual ACM Symposium on Applied ComputingMarch 2020. Pages 294–300. https://doi.org/10.1145/3341105.3373891.

32 B.-S. Chen, X. Lin, C.-H. Han. Robust Model Reference Strategy of Nonlinear Stochastic Financial Systems: Stochastic Fractional Nash Game Approach. Submitted.

31 C.-H. Han and Y.-A. Chen Efficient Importance Sampling for the First Passage Time Problem. Submitted.

30 C.-H. Han Systemic Risk Estimation under Dynamic Volatility Matrix Models. Advances in Financial Planning and Forecasting. Volume 9(2018), pp.79-107 DOI:10.6291/AFPF.201812_9.0004

29 C.-H. Han and L. Shih Calibration of Multifactor Heston Models to Credit Spreads. Advances in Financial Planning and Forecasting. Volume 8(2017), pp.1-17 DOI: 10.6291/AFPF.201711_8.0003

28 C.-H. Han, H.-H. Tai, and C.-T. Wu. Joint Calibration to Market Risk, Credit Risk, and Interest Rate Risk. Journal of Chinese Statistics Association. Vol. 55, (2017) 160-187. (Special issue: stochastic analysis and mathematical finance)

27 C.-H. Han. GPU Acceleration for Computational Finance. To appear on Handbook of Financial Econometrics, Mathematics, Statistics, and Technology. World Scientific Press. 2020.

26 C.-H. Han and C.-L. Kuo. Monte Carlo Calibration to Implied Volatility Surface under Volatility Models. Japan Journal of Industrial and Applied Mathematics, 34(3), 763-778. 2017. DOI :10.1007/s13160-017-0270-z.

24 C.-H. Han, J. Shi, and S. Huang. Inferring the Economic Preference of a Rental Vehicle Company by Modeling Its De-fleeting Process. Annals of Financial Economics, Volume 11, Issue 02, June 2016.

23 C.H. Han, C.-H. Chang, C.-S. Kuo, S.-T. Yu. Robust Hedging Performance and Volatility Risk in Option Markets: Application to Standard and Poor's 500 and Taiwan index options. International Review of Economics and Finance (2015), Volume 40, Issue C, pp. 160-173. DOI information: 10.1016/j.iref.2015.02.009

22 C.H. Han and Y.-T. Lin. Accelerated Variance Reduction Methods on GPU. Proceedings of the 20th IEEE International Conference on Parallel and Distributed Systems, 2014.

21 C.H. Han. Instantaneous Volatility Estimation by Fourier Transform Methods. Handbook of Financial Econometrics and Statistics (C.F. Lee eds.), Springer-Verlag, New York. 2015.

20 C.H. Han, G. Molina, and J.P. Fouque. MCMC Estimation of Multiscale Stochastic Volatility Models with Applications, Mathematics and Computers in Simulation. Volume 103, September 2014, Pages 1–11.

19 C.H. Han, W.H. Liu, and T.Y. Chen VaR/CVaR Estimation under Stochastic Volatility Models. International Journal of Theoretical & Applied Finance. Volume 17, Issue 02, March 2014. (A shorter version appears on the International Conference on Mathematical Finance and Economics (ICMFE) 2011 Proceedings CD. Editors Ahmet Duran and Coskun Cetin.)

18 C.H. Han. 金融中波動率的數學問題, 數學傳播季刊,第37卷第1期,第27-40頁,2013年3月。（Mathmedia, Vol 37(1), Page 27-40. March , 2013. (This is a review article on volatility problem in financial mathematics and written in Chinese)

17 C.H. Han Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation. Monte Carlo and Quasi-Monte Carlo Methods 2010 (Proceedings of MCQMC_2010 in Warsaw, Poland). Editors Leszek Plaskota and Henryk Woźniakowski. Springer, 2012. pp. 409-418.

16 C.H. Han, Y.-H. Chang, and Y.-M. Yeo 隨機模型下波動率的資訊內容：以臺灣為例 (Information Content of Volatility under Stochastic Volatility Models: Taiwan Case). 台灣期貨與衍生性商品學刊, 12 (June 2011), pp. 1-27.

15 C.H. Han: Efficient Importance Sampling Estimation for Joint Default Probability: the First Passage Time Problem, Stochastic Analysis with Financial Applications. (Proceedings of 2009 Workshop on Stochastic Analysis & Finance) Editors A. Kohatsu-Higa, N. Privault, and S.-J. Sheu. Progress in Probability, Vol. 65, Birkhauser, 2011.

14 C.H. Han, W.C. Miao, and T.H. Yang 指數選擇權之實證避險表現：SPX 與 TXO (Empirical Hedging Performance of Index Options: SPX and TXO) , 台灣期貨與衍生性商品學刊, 11 (December 2010), pp. 103-127.

13 C.H. Han and Y. Lai: A Smooth Estimator for MC/QMC Methods in Finance, Mathematics and Computers in Simulation, 81 (2010), pp. 536-550.

12 C.H. Han and Y. Lai: Generalized Control Variate Methods for Pricing Asian Options, Journal of Computational Finance, Volume 14/Number 2, Winter 2010.

11 G. Molina, C.H. Han, and J.P. Fouque: MCMC Estimation of Multiscale Stochastic Volatility Models, Handbook of Quantitative Finance and Risk Management, Edited by C.F. Lee and A.C. Lee, Springer, 2010.

10 J.P. Fouque, C.H. Han, and Y. Lai: Variance Reduction for MC/QMC Methods to Evaluate Option Prices , Recent Advances in Financial Engineering (Proceedings of the 2008 Daiwa International Workshop on Financial Engineering). Editors M. Kijima, M. Egami, K. Tanaka, and Y. Muromachi. World Scientific, 2009.

9 J. P. Fouque and C.H. Han: Asymmetric Variance Reduction for Pricing American Options, Mathematical Modelling and Numerical Methods in Finance, Volume 15: Special Volume (Handbook of Numerical Analysis). Editors A. Bensoussan, Q. Zhang, and P. Ciarlet. Elsevier, 2008.

8 J. P. Fouque and C.H. Han: A martingale control variate method for option pricing with stochastic volatility, ESAIM Probability & Statistics 11, 40-54, (2007). (This paper is dedicated to Professor Nicole Elkaroui in honor of her 60th birthday.)

7 J.P. Fouque and C.H. Han: Evaluation of Compound Options using Perturbation Approximation. Journal of Computational Finance, Volume 9/Number 1, 2005.

6 J.P. Fouque and C.H. Han: Variance Reduction for Monte Carlo Methods to Evaluate Option Prices under Multi-factor Stochastic Volatility Models. Quantitative Finance, Volume 4, number 5 (2004) 1-10.

5 J.P. Fouque and C.H. Han Asian Options under Multiscale Stochastic Volatility. AMS Contemporary Mathematics: Mathematics of Finance, 2003, pp. 125 - 138.

4 Dissertation: Singular Perturbations on Non-Smooth Boundary Problems in Finance, 2003.

3 J.P. Fouque and C.H. Han: Pricing Asian Options with Stochastic Volatility, Quantitative Finance Volume 3 (2003) 353 - 362.

2 Y. Seong and C.-H. Han, etc, "Pricing Interest Rate Related Instruments," Technical Report, CRSC, November 2001.

1 W.-W. Lin, C.-S. Wang, and C.-H. Han: Continuation Methods for Solving Discrete-Time Algebraic Riccati Equations, IEEE Tran. Automatic Control, Vol. 40, No. 5, May 1995.