Orbit

Jia-hau Guo
Full-Time
Name Jia-hau Guo
Email jiahau@faculty.nctu.edu.tw
Office Tel No. 03-5712121 Ext. 57078
Fax 03-5729915
Office Room 411, Management Building 1
Research expertise Asset Pricing, Financial Management, Financial computing
Title Associate Professor
Education Ph.D. in International Business, National Taiwan University
Year Paper Title
2019 Guo, J.-H., and L.-F. Chang, A Generalization of Option Pricing to Price-Limit Markets, Review of Derivatives Research, (SSCI)
2017 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Informationally Related Stocks, Journal of Financial Markets, 34, pp31-47, (SSCI)
2016 Chang, L.-F., J.-H. Guo, and M.-W. Hung, A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options, Journal of Futures Markets, 36, 9, pp887-901, (SSCI)
2013 Wang, Y.-J., H.-M. Chung, and J.-H. Guo, A Value-at-Risk Analysis of Carry Trades Using Skew-GARCH Models, Studies in Nonlinear Dynamics & Econometrics, 17, 4, pp439-459, (SSCI)
2011 Jia-Hau Guo , Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates , Journal of Futures Markets, 31, 4, pp340-370, (SSCI)
2009 Jia-Hau Guo, Mao-Wei Hung, Leh-Chyan So , A Generalization of the Brone-Adesi and Whaley Approach for the Analytic Approximation of American Options , Journal of Futures Markets, 29, 5, pp478-493, (SSCI)
2008 Jia-Hau Guo, Mao-Wei Hung , A generalization of Rubinstein's “Pay now, choose later” , Journal of Futures Markets, 28, 5, pp488-515, (SSCI)
2007 Jia-Hau Guo, Mao-Wei Hung , Pricing American Options on Foreign Currency with Stochastic Volatility, Jumps, and Stochastic Interest Rates , Journal of Futures Markets, 27, 9, pp867-891, (SSCI)
2007 Jia-Hau Guo, Mao-Wei Hung , A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model , Applied Mathematical Finance, 14, 4, pp339-345, (Others)
Year Paper Title
2019 Guo, J.-H., and L.-F. Chang, Asymmetric Jumps, Sampling, and Variance Swap Rates, The 2019 FMA European Conference, Glasgow, Scotland, , 2019-06-12-2019-06-14
2018 Guo, J.-H., L.-F. Chang, An Accelerated Approach to Static Hedging Barrier Options: Richardson Extrapolation Techniques, The 2018 EFMA conference, Milan, Italy, 會議論文, 2018-06-26-2018-06-30
2017 Guo, J.-H., L.-F. Chang, An Efficient Scheme of Static Hedging Barrier Options: Richardson Extrapolation Techniques, The 2017 Meeting of World Finance Conference , Cagliari, Italy, 會議論文, 2017-07-26-2017-07-28
2016 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Connected Stocks, The 2016 EFMA conference, Basel, Switzerland, 會議論文, 2016-06-29-2016-07-02
2015 Chang, L.-F., J.-H. Guo, and M.-W. Hung, A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options, The 22th Annual Meeting of the Multinational Finance Society, Halkidiki, Greece, 會議論文
2015 Guo, J.-H., L.-F. Chang, and M.-W. Hung, Limit Hits and Informationally Related Stocks, The 2015 EFMA conference, Amsterdam, Netherland, 會議論文
2014 會議論文
2013 會議論文
2013 會議論文
2012 Guo, J.-H., A Model of Stochastic Volatility with Asymmetric Jumps for Variance Swap Pricing, The 2012 FMA European Conference, Istanbul, Turkey, 會議論文
2011 Guo, J.-H., and W.-L. Huang, A Closed-form Solution for Options with Daily Price Limits, The 18th Annual Meeting of the Multinational Finance Society, 會議論文
2011 Guo, J.-H., L.-F. Chang and Hsuan Rern, A Reexamination of Jump Effect on Credit Spreads with Noisy Information, The 18th Annual Meeting of the Multinational Finance Society, 會議論文
2011 Chou, Y.-Y, Jia-Hau Guo, M.-W. Hung, A New Approach to Market Data Calibration for Inflation-Indexed Securities, The 4th NCTU International Finance Conference, 會議論文
2011 Guo, J.-H., Y.-Y. Chou, M.-W. Hung, and W.-L. Huang, Equity Volatility, Default Probability, and Daily Price Limits: A New Hybrid Approach, 中部財金學術聯盟暨第八屆金融市場發展研討會, 會議論文
2010 Guo, J.-H., and W.-L. Huang, A Closed-Form Solution for Options with Daily Price Limits , 2010台灣財務金融學會年會暨中部財金學術聯盟研討會, 會議論文
Project Category Year Project Title Participator Job Title Period Unit
Research Projects 2015 2014.08 ~ 2016.07
Research Projects 2014 2014.08 ~ 2016.07
Research Projects 2013 2011.08 ~ 2014.07
Research Projects 2012 2011.08 ~ 2014.07
Research Projects 2011 2011.08 ~ 2014.07
Research Projects 2010 2010.08 ~ 2011.07
Research Projects 2009
Research Projects 2008 2008.08 ~ 2009.07
Research Projects 2007 2007.10 ~ 2008.07
Research Projects 2007 2007.04 ~ 2008.03
Research Projects 2019 2019.08 ~ 2021.07
Research Projects 2018 不連續現金股利、價格限制及提早履約溢酬:選擇權定價理論及實證之研究 郭家豪(Jia-Hau Guo) 計畫主持人 2018.08 ~ 2019.07 科技部
Research Projects 2017 2017.08 ~ 2018.07
Research Projects 2017 2017.08 ~ 2019.07
Research Projects 2016 Richardson插補法於新奇選擇權靜態避險及其定價之新創研究 郭家豪(Jia-Hau Guo) 計畫主持人 2016.08 ~ 2017.07 科技部
Country School Name Department Degree
Taiwan National Taiwan University Department of International Business Ph.D.
Taiwan National Taiwan University Department of Computer Science and Information Engineering Master
Taiwan National Taiwan University Department of Computer Science and Information Engineering Bachelor
Organization Title Department Job Title Duration
National Chiao Tung University Graduate Institute of Finance Associate Professor 2011.08 ~ 0000.01
National Chiao Tung University Graduate Institute of Finance Assistant Professor 2008.08 ~ 2011.07
National Taiwan University Department of International Business Adjunct Assistant Professor 2007.08 ~ 2012.07
Soochow University Department of Business Mathematics(Department of Financial Engineering and Actuarial Mathematics) Assistant Professor 2007.08 ~ 2008.07