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Liu, Liang-Chih Associate Professor

劉亮志副教授

Office：

Room 433, Hongyu Technology Research Building

Phone+Ext：

(02) 2771-2171 #5907

E-mail：

lcliu@ntut.edu.tw

Office hour：

Tuesday 10:00-12:00

Research Areas：

Financial Engineering, Fixed-Income Products, Credit Risk, Financial Text Mining

Teaching Areas：

Financial Engineering and Financial Computing, Accounting, Economics

Student Lab：

Room B325-3, Hongyu Technology Research Building

  • 2022.02-Present Associate Professor, Department of Information and Financial Management, National Taipei University of Technology
  • 2017.08-2022.01 Assistant Professor, Department of Information and Financial Management, National Taipei University of Technology
  • 2016.08-2017.07 Postdoctoral Researcher, Department of Information Management and Financial Finance, National Chiao Tung University
  • Yen-Wu Ti, Yu-Yen Hsin, Tian-Shyr Dai*, Ming-Chuan Huang, and Liang-Chih Liu (2022, Oct). Feature Generation and Contribution Comparison for Electronic Fraud Detection. Scientific Reports, 12(1), 1-11.
  • Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu, and Liang-Chih Liu*, Yu-Ting Chen (2022, Aug). Option Pricing with the Control Variate Technique beyond Monte Carlo Simulation. North American Journal of Economics and Finance, 62, 101772.
  • Liang-Chih Liu*, Tian-Shyr Dai, Hao-Han Chang, and Lei Zhou (2022, Aug). A Novel State-Transition Forest: Pricing Corporate Securities with Intertemporal Exercise Policies and Corresponding Capital Structure Changes. Quantitative Finance, 22(11), 2021-2045.
  • Tian-Shyr Dai, Chen-Chiang Fan, Liang-Chih Liu, Chuan-Ju Wang, and Jr-Yan Wang* (2022, Aug). A Stochastic-Volatility Equity Price Tree for Pricing Convertible Bonds with Endogenous Firm Values and Default Risks Determined by the First- Passage Default Model. The Journal of Futures Markets, 42(12), 2103-2134.
  • Yu-Yen Hsin, Tian-Shyr Dai*, Yen-Wu Ti, Ming-Chuan Huang, Ting-Hui Chiang, and Liang-Chih Liu (2022, Aug). Feature Engineering and Resampling Strategies for Fund Transfer Fraud with Limited Transaction Data and a Time-inhomogeneous Modi Operandi. IEEE Access, 10, 86101-86116.
  • Liang-Chih Liu*, Tian-Shyr Dai, Lei Zhou, and Hao-Han Chang (2022, Jun). Analyzing Interactive Call, Default, and Conversion Policies for Corporate Bonds. The Journal of Futures Markets, 48(8), 1597-1638.
  • Jr-Yan Wang, Chuan-Ju Wang, Tian-Shyr Dai, Tzu-Chun Chen, and Liang-Chih Liu*, Lei Zhou (2022, May). Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options. Mathematical Problems in Engineering, 2022.
  • Liang-Chih Liu*, Chun-Yuan Chiu, Chuan-Ju Wang, Tian-Shyr Dai, and Hao-Han Chang (2021, Mar). Analytical Pricing Formulae for Vulnerable Vanilla and Barrier Options. Review of Quantitative Finance and Accounting, 58(1), 137-170, 2022.
  • Liang-Chih Liu, Tian-Shyr Dai, and Chuan-Ju Wang* (2016, Jun). Evaluating Corporate Bonds and Analyzing Claim Holders' Decisions with Complex Debt Structure. Journal of Banking and Finance, 72, 151-174.
  • Tian-Shyr Dai, Sharon S. Yang, and Liang-Chih Liu (2015, Apr).Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks. Insurance: Mathematics and Economics, 64, 364-379.
  • Liang-Chih Liu, Tian-Shyr Dai, and Lei Zhou (2019, May). "Non-Financial Firms’ Issuance Strategies of Contingent Capitals, their Pros and Cons, and Solutions to Asset Substitution (Fubon Paper Award). The 2019 International Conference of Taiwan Finance Association (TFA), Taipei, Taiwan.
  • Chi-Han Du, Yi-Shyuan Chiang, Kun-Che Tsai, Liang-Chih Liu, Ming-Feng Tsai, and Chuan-Ju Wang (2019, Jan). FRIDAYS: A Financial Risk Information Detecting and Analyzing System. Association for the Advancement of Artificial Intelligence, Hawaii, USA.
  • Yu-Wen Liu, Liang-Chih Liu, Chuan-Ju Wang, and Ming-Feng Tsai (2018, Jun). RiskFinder: A Sentence-Level Risk Detector for Financial Reports. In Proceedings of the 16th Annual Conference of the North American Chapter of the Association for Computational Linguistics: Human Language Technologies, New Orleans.
  • Yu-Wen Liu, Liang-Chih Liu, Chuan-Ju Wang, Ming-Feng Tsai (2016, Oct). FIN10K: A Web-based Information System for Financial Report Analysis and Visualization.. In Proceedings of the 25th ACM Conference on Information and Knowledge Management, Indianapolis.
  • Tian-Shyr Dai, Chuan-Ju Wang, Liang-Chih Liu (2015, Oct). Evaluating Corporate Bonds and Analyzing Market Participants Behaviors with Complex Debt Structure (Best Paper Award in Derivatives). The 2015 Annual Meeting of the Financial Management Association, Orlando.
  • Taiwan Finance Association Annual Meeting - Fubon Paper Award
  • Ministry of Science and Technology College Student Research Project Research and Creation Award
  • 10th Securities and Futures Golden Wall Awards - Research and Development Paper Selection - Academic Excellence Award
  • International Financial Management Association Annual Meeting Derivatives Category Best Paper Award
  • Accounting
  • Economics
  • Introduction to Financial Engineering
  • Financial Numerical Methods
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