Chuan-Hsiang Han

National Tsing Hua University — Taiwan

Economics, Econometrics and Finance · Social Sciences

9h-index297citations34works0.02yr avg
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Research Topics

Stochastic processes and financial applications(22), Financial Risk and Volatility Modeling(18), Insurance, Mortality, Demography, Risk Management(6), Credit Risk and Financial Regulations(5), Financial Markets and Investment Strategies(4)

Publications34 total

Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
ArXiv.org·2025Open Access
GPU Acceleration for Computational Finance
WORLD SCIENTIFIC eBooks·2025
A Novel Semi-Static Method for the Index Tracking Problem
WORLD SCIENTIFIC eBooks·2024
The VolCo index: a measure of the transition from pandemic to equity market
Applied Economics Letters·2022
Stressed portfolio optimization with semiparametric method
Financial Innovation·2022· 5 citedOpen Access
The Carbon Adjusted Ratio as a Measure of Carbon Risk Adjusted Return
SSRN Electronic Journal·2021Open Access
GPU Acceleration for Computational Finance
WORLD SCIENTIFIC eBooks·2020· 2 cited
Collision Analysis to Motor Dashcam Videos With YOLO and Mask R-CNN for Auto Insurance
2020· 13 cited
Volatility effect on the adoption and valuation of tokenomics
2020· 3 citedOpen Access
Monte Carlo calibration to implied volatility surface under volatility models
Japan Journal of Industrial and Applied Mathematics·2017· 1 cited
INFERRING THE ECONOMIC PREFERENCE OF A RENTAL VEHICLE COMPANY BY MODELING ITS DE-FLEETING PROCESS
Annals of Financial Economics·2016
Robust hedging performance and volatility risk in option markets: Application to Standard and Poor's 500 and Taiwan index options
International Review of Economics & Finance·2015· 9 cited
Accelerated variance reduction methods on GPU
2014· 1 cited
Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods
2014
McMC estimation of multiscale stochastic volatility models with applications
Mathematics and Computers in Simulation·2014· 4 cited
VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance·2014· 12 cited
VaR/CVaR Estimation Under Stochastic Volatility Models
SSRN Electronic Journal·2013· 2 citedOpen Access
Portfolio Risk Management with Entropy Based Importance Sampling
2012
Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation
Springer proceedings in mathematics & statistics·2012
Efficient Importance Sampling Estimation for Joint Default Probability:The First Passage Time Problem
Progress in probability·2011· 2 cited
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Frequent Co-authors

Jean‐Pierre Fouque(10), Wei‐Han Liu(3), Tzu-Ying Chen(3), Yongzeng Lai(3), Kun Wang(3), Germán Molina(2), Hao-Hsuan Hsu(1), Nen-Fu Huang(1), Chien-Hung Chang(1), Chii-Shyan Kuo(1), Shih-Ti Yu(1), Jollen Chen(1), Dung-Cheng Lin(1), Chien-Liang Kuo(1), Yu-Tuan Lin(1), Wen-Wei Lin(1), Chern-Shuh Wang(1), Kun Wang(1), Chun-Chong Fu(1), 李建武(1)