

Education  
Ph.D. in Statistics and Applied Probability, University of California, Santa Barbara, 2014 M.S. in Statistics, National Central University, 2005 B.S. in Mathematics, National Central University, 2003 
Research Interests  
1. Financial engineering 2. Financial mathematics 3. Applied probability 4. Statistical inference 
Publications  
1. Systemic Risk Illustrated (with J.P. Fouque). Hanbook of Systemic Risk, Eds J.P. Fouque and J. Langsam. Cambridge University Press, 2013. 2. Mean Field Games and Systemic Risk (with R. Carmona and J.P. Fouque). Communications in Mathematical Sciences 13(4), 911–933, 2015. 3. R Routines for Performing Estimation and Statistical Process Control under CopulaBased Time Series Models (with T. Emura and T.H. Long). Communications in Statistics  Simulation and Computation 46(4), 3067–3087, 2016. 4. Systemic Risk and Stochastic Game with A Central Bank. Journal of the Chinese Statistical Association 55, 1–19, 2017. 5. Systemic Risk and Stochastic Games with Delay (with R. Carmona, J.P. Fouque, and S. M. Mousavi). Journal of Optimization Theory and Applications 179(2), 366–399, 2018. 6. Systemic Risk and Interbank Lending. Journal of Optimization Theory and Applications 179(2), 400–424, 2018. 7. Fitting Competing Risks Data to Bivariate Pareto Models (with W. Lee, J. H. Shih, and T. Emura). Communications in Statistics–Theory and Methods 48(5), 1193–1220, 2019. 8. A Bayesian Inference for Time Series via CopulaBased Markov Chain Models (with C.S. Lee and T. Emura). Communications in Statistics  Simulation and Computation 49(11), 2897–2913, 2020. 9. Modeling Financial Interval Time Series (with L.C. Lin). Plos One 14(2), 2019. 10. Estimation under CopulaBased Markov Mixture Normal Models for Serially Correlated Data (with W.C. Lin and T. Emura). Communications in Statistics  Simulation and Computation 50(12), 44834515, 2021. 11. CopulaBased Markov Models for Time Series Parametric Inference and Process Control (BOOK with X.W. Huang, M. S. Alqawba, J.M. Kim, and T. Emura). Springer Singapore, 2020. 12. Mean Field Social Optimization: Feedback PersonbyPerson Optimality and The Master Equation (with M. Huang and S.J. Sheu). Proceedings of the 2020 59th IEEE Conference on Decision and Control (CDC), 4921–4926, 2020. 13. Optimal Investment and Reinsurance of Insurers with Lognormal Stochastic Factor Model (with H. Hata). Mathematical Control and Related Fields 12(2), 531566, 2022. 14. Change Point Estimation under A Copulabased Markov Chain Model for Binomial Time Series (with C.C. Lai and T. Emura). to appear in Econometrics and Statistics. 15. Testing Unconditional and Conditional Independence via Mutual Information (with C. Ai, Z. Zhang, and L. Zhu). to appear in Journal of Econometrics. 16. Mean Field Games with Heterogenous Groups: Application to Banking Systems. Journal of Optimization Theory and Applications 192(1), 130–167, 2022. 17. Detection of the Threshold Point in Mean for Dependent Data with Heteroscedasticity (with C.H. Chang and H.L. Hsu). Submitted. 18. The Pareto Type I Joint FrailtyCopula Model for Clustered Bivariate Survival Data (with Y.H. Lin, Y.J. Tseng, and T. Emura). to appear in Communications in Statistics  Simulation and Computation. 19. Formulas for Pricing American VIX Options under The Generalized Mixture Volatility Models (with H.K. Liu and IC. Huang). Submitted. 20. Pricing Formulas for Perpetual Callable American Volatility Options under MeanReverting Volatility Models (with H.K. Liu). Submitted. 
Teaching  
Introduction to Probability Models (ST6003) Stochastic Processes on Finance (ST7047) Econometrics (ST6035) Advanced Financial Engineering (ST7048) Actuarial Science (ST6029) Applied Statistics (MA4094) 