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Huei-Wen Teng Assistant Professor |
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EDUCATION
Pennsylvania State University
Ph.D.
in Statistics 2010 Adviser:
Prof. John Liechty Dissertation:
Bayeisan Nonprametric
Approaches for Financial Option Pricing
National Taiwan University
M.B.A
in Finance 2004 Adviser:
Prof. Yuh-Dauh Lyuu Thesis: On
Pricing Rainbow Options
B.S.
in Mathematics 2001
International
Exchange Student 2000
PUBLICATIONS
Lyuu, Y.-D., and Teng,
H.-W. (2011) Unbiased and Efficient Greeks of Rainbow
Options, Finance and Stochastics,
15, 1, 141--181.
Fuh, C.-D., Teng,
H.-W., and Wang, R.-H. On-Line VWAP Trading Strategies, to appear in Sequential
Analysis.
Yang, T.-C., Teng,
H.-W., and Haran, M. (2009) The Impacts of Social Capital on Infant Mortality
in The U.S.: A Spatial Investigation, Applied Spatial Analysis and Policy, 2,
3, 211--227.
TEACHING
2012 Spring Statistical computing
2011 Fall Stochastic
processes in finance
2011 Spring Statistical computing
2010
Fall Financial
time series
STUDENTS AND THEIR FINE
DISSERTATIONS
STUDENTS
2011 Yen-Ju Chao, Chun-Chieh Chen,
Yen-Chun Chen, Chia-Chi Liu
2010 You-Sheng Liu, Jia-Yang Wu
SEMINARS
2012 Spring Statistics
and Risk 1, Statistics and Risk 2
2011 Fall Statistics
and Risk 1, Statistics and Risk 2
2011 Spring Statistics in financial
markets
2010
Fall Financial statistics in
energy derivatives markets
SUPPORTING MATERIALS
Manuals for C++, Linux, and LaTex
Last update
2011/12/20