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Li-Hsien Sun    Associate Professor
Tel : (03)422-7151#65454
Fax: (03)425-8602
E-mail: lihsiensun@ncu.edu.tw
web: https://sites.google.com/view/lhsun

  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

  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,

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,

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,

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.

  Introduction to Probability Models (ST6003)

Stochastic Processes on Finance (ST7047)

Econometrics (ST6035)

Advanced Financial Engineering (ST7048)

Actuarial Science (ST6029)

Applied Statistics (MA4094)

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