孫立憲 副教授   Li-Hsien Sun 

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學經歷 

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

研究領域 

1. Financial engineering

2. Financial mathematics

3. Applied probability

4. Statistical inference

論文著作

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 Copula-Based 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 Copula-Based 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 Copula-Based Markov Mixture Normal Models for Serially

Correlated Data (with W.-C. Lin and T. Emura). Communications in Statistics –Simulation and Computation 50(12), 4483–4515, 2021.

11. Copula-Based 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 Person-by-Person 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),

531–566, 2022.

14. Change Point Estimation under A Copula-based 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 Frailty-Copula 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 I-C. Huang). Submitted.

20. Pricing Formulas for Perpetual Callable American Volatility Options under Mean-Reverting Volatility Models (with H.-K. Liu). Submitted.

教授課程 

Introduction to Probability Models (ST6003)

Stochastic Processes on Finance (ST7047)

Econometrics (ST6035)

Advanced Financial Engineering (ST7048)

Actuarial Science (ST6029)

Applied Statistics (MA4094)