Min‐Teh Yu

National Chiao-Tung University

Professor

Hsinchu, 30010

Taiwan

SCHOLARLY PAPERS

10

DOWNLOADS

642

SSRN CITATIONS

1

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

On Moment-Matching Approximations for Asian Options

Number of pages: 36 Posted: 11 Nov 2011 Last Revised: 02 Jan 2013
Min‐Teh Yu
National Chiao-Tung University
Downloads 505 (57,752)

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Asian Option, Analytic Approximation, Floating strike, Moment Matching, Shifted Reciprocal Gamma.

2.

High Frequency Trading, Liquidity, and Execution Cost

Number of pages: 29 Posted: 30 Nov 2012
Edward Sun, Timm Kruse and Min‐Teh Yu
KEDGE Business School, Karlsruhe Institute of Technology and National Chiao-Tung University
Downloads 94 (289,213)
Citation 1

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discrete optimization, high frequency trading, liquidity, price impact, optimal execution

3.

Forbearance, Prompt Closure, and the Valuation of Bank Subordinated Debt

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 33 Posted: 02 Oct 2012
Yehning Chen, Jin-Ping Lee and Min‐Teh Yu
National Taiwan University, Feng Chia University and National Chiao-Tung University
Downloads 42 (436,057)

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bank subordinated debt, prompt corrective action, capital forbearance, moral hazard, contingent claim analysis

4.

Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes

Journal of Risk and Insurance, Vol. 78, Issue 2, pp. 447-473, 2011
Number of pages: 27 Posted: 20 May 2011
Chia-Chien Chang, Shih-Kuei Lin and Min‐Teh Yu
National Sun Yat-sen University - Department of Finance, affiliation not provided to SSRN and National Chiao-Tung University
Downloads 1 (680,841)
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5.

Valuing Vulnerable Mortgage Insurance Under Capital Forbearance

Journal of Real Estate Finance and Economics, Vol. 54, No. 4, 2017
Posted: 31 Mar 2017
Chia-Chien Chang and Min‐Teh Yu
National Kaohsiung University of Applied Sciences and National Chiao-Tung University

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Mortgage insurance; Default risk; Capital forbearance; Capital requirement; Time delay

6.

Improving Model Performance with the Wavelet Decomposition for High-Frequency Financial Data

Studies in Nonlinear Dynamics and Econometrics, 19(4): 445-467, 2015.
Posted: 21 Jan 2016
Yi-Ting Chen, Edward Sun and Min‐Teh Yu
National Chiao-Tung University, KEDGE Business School and National Chiao-Tung University

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7.

Financial Transaction Tax: Policy Analytics Based on Optimal Trading

Computational Economics, 46(1): 103-141, 2015
Posted: 20 Jan 2016
Edward Sun, Timm Kruse and Min‐Teh Yu
KEDGE Business School, Karlsruhe Institute of Technology and National Chiao-Tung University

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Bid–ask spread, Discrete optimization, Financial transaction tax (FTT), Optimal trading, Price impact

8.

Generalized Optimal Wavelet Decomposing Algorithm for Big Financial Data

International Journal of Production Economics, 165: 194-214, 2015
Posted: 20 Jan 2016
Edward Sun, Yi-Ting Chen and Min‐Teh Yu
KEDGE Business School, National Chiao-Tung University and National Chiao-Tung University

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Big financial data, DWT, High-frequency data, MODWT, Wavelet

9.

Systemic Risk, Financial Markets, and Performance of Financial Institutions

Annals of Operation Research, Forthcoming
Posted: 19 Jan 2016
Edward Sun and Min‐Teh Yu
KEDGE Business School and National Chiao-Tung University

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Systemic Risk, MES, SRISK, CoVaR, financial crisis

10.

Book‐To‐Market Equity, Asset Correlations and the Basel Capital Requirement

Journal of Business Finance & Accounting, Vol. 40, Issue 7-8, pp. 991-1008, 2013
Number of pages: 18 Posted: 15 Nov 2013
Yuan Ze University, Deakin University - School of Accounting, Economics and Finance and National Chiao-Tung University
Downloads 0 (698,204)
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 bank capital requirement, asset correlation, book‐to‐market equity, firm size, default probability