國立清華大學計量財務金融學系

Faculty & Staff

:::

Name	Chuan-Hsiang Han
傳真號碼	(03)562-1823. Intl: +886-3-562-1823
E-mail
Personal Website	http://mx.nthu.edu.tw/~chhan
Diploma	Ph. D., Department of Mathematics, North Carolina State University
Work Experience	2005 - Assistant Professor, Department of Quantitative Finance, NTHU, Taiwan 2004 - 2005 Industrial Postdoctoral Associate: IMA, University of Minnesota and Ford Motor Company 2003 - 2004 Postdoctoral Associate: Institute for Mathematics and its Applications (IMA), University of Minnesota

Classification	Full-Time
Title	Assistant Professor
Discipline	Applications of Monte Carlo methods in finance; stochastic calculus for finance
Speciality	Financial Mathematics, Applied Probability
指導學生

Writing

1. Journal Articles
   1. C.H. Han and Yongzeng Lai: Generalized Control Variate Methods for Pricing Asian Options, Submitted. Attach File
   2. (with J.P. Fouque), "Asymmetric Variance Reduction for Pricing American Options," Submitted. Attach File
   3. C.H. Han and Yongzeng Lai: A Smooth Estimator for MC/QMC Methods in Finance, Submitted. Attach File
   4. (with Jean-Pierre Fouque), "A martingale control variate method for option pricing with stochastic volatility", To appear in ESAIM: Probability and Statistics. This paper is dedicated to Nicole Elkaroui in honor of her 60th birthday. Submitted, 2007年 Attach File
   5. ( With Jean-Pierre Fouque), "Evaluation of Compound Options using Perturbation Approximation", Journal of Computational Finance, Volume 9/Number 1 P. 41-61 (2005), 2005年 Attach File
   6. (with Jean-Pierre Fouque), "A Control Variate Method to Evaluate Option Prices under Multi-Factor Stochastic Volatility Models", Submitted, 2005年 Attach File
   7. ( With Jean-Pierre Fouque), "Variance Reduction for Monte Carlo Methods to Evaluate Option Prices under Multi-factor Stochastic Volatility Models", Quantitative Finance, Volume 4/Number 5 (2004) P. 597-606., 2004年 Attach File
   8. (with G. Molina and J.-P. Fouque), "MCMC Estimation of Multiscale Stochastic Volatility Models", Submitted. Preliminary version is SAMSI Technical Report, 2003年 Attach File
   9. ( With Jean-Pierre Fouque), "Pricing Asian Options with Stochastic Volatility", Quantitative Finance, Volume 3 (2003) P. 353 - 362., 2003年 Attach File
   10. (with W.-W. Lin and C.-S. Wang), "Continuation Methods for Solving Discrete-Time Algebraic Riccati Equations", IEEE Tran. Automatic Control, Vol. 40, No. 5, 1995年 Attach File
2. Book Chapters
   1. ( With Jean-Pierre Fouque), "Asian Options under Multiscale Stochastic Volatility", AMS Contemporary Mathematics: Mathematics of Finance (2003) P. 125 - 138., 2003年 Attach File
3. Dissertation
   1. Chuan-Hsiang Han, "Singular Perturbations on Non-Smooth Boundary Problems in Finance", North Carolina State University, 2003年07月
4. Symposium Papers & Conference Proceedings
   1. (with Y. Seong, et al), "Pricing Interest Rate Related Instruments", Technical Report, CRSC., 2001年11月

Research ProjectOverview (Click)

Research ProjectOverview

Year	Project Name	Participator	Job	Period	Cooperative Organization	Attach File/Reference Link	Remarks
96		Chuan-Hsiang Han		2007-08 ~ 2008-07		/
95	Variance Analysis for Non-smooth Boundary Problems of some Integral-type Processes	Chuan-Hsiang Han	Project Leader	2006-08 ~ 2007-07	NSC 95-2115-M-007-017-MY2	/
94	An Analysis of Martingale Control Variate Methods for Option Pricing	Chuan-Hsiang Han	project leader	2005-11 ~ 2006-07	NSC grant 94-2119-M-007-008, Taiwan	/

Education(Click)

Education

University	Nation	Department	Diploma	Date

Work Experience (Click)

Work Experience

Institution	Title	Department/Division	Job Position	Date

Department of Quantitative Finance , please see Rules
Address :101, Section 2, Kuang Fu Road, Taiwan, 300, ROC.　
E-Mail：qf@my.nthu.edu.tw
Tel:886-3-574-2422　　Fax:886-3-562-1823