Meng‐Lan Yueh

National Chengchi University — Taiwan

Economics, Econometrics and Finance · Social Sciences

4h-index64citations19works0.02yr avg
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Research Topics

Credit Risk and Financial Regulations(6), Insurance, Mortality, Demography, Risk Management(6), Corporate Finance and Governance(4), Insurance and Financial Risk Management(4), Global Health Care Issues(4)

Publications19 total

Cryptocurrency risk management using Lévy processes and time-varying volatility
Review of Quantitative Finance and Accounting·2025Open Access
Inferring the Implied Volatility of SOFR-Based Swaptions
The Journal of Derivatives·2024
Information environment and participation of foreign banks in U.S. syndicated loan market
Journal of Banking & Finance·2024Open Access
A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”
Journal of Futures Markets·2021· 2 cited
Performance of Japanese leveraged ETFs
Pacific-Basin Finance Journal·2020· 2 cited
The effect of the board of directors' banking experience on syndicated loan features
2018
Valuations of Mortality-Linked Structured Products
The Journal of Derivatives·2016· 3 cited
Valuations of Mortality-Linked Structured Products
The Journal of Derivatives·2016
Does financial statement information affect cross-border lending by foreign banks in the syndicated loan market? Evidence from a natural experiment
Journal of Accounting and Public Policy·2015· 12 cited
A digest : Constant maturity CDS and its rigorous valuation : The title of the original paper is "Valuation of Constant Maturity Credit Default Swaps." (Financial Modeling and Analysis)
2011· 1 citedOpen Access
A digest: Constant maturity CDS and its rigorous valuation (Financial modeling and analysis)
数理解析研究所講究録·2011
An Empirical Analysis of CPPI Strategies for Credit Index Tranches
The Journal of Fixed Income·2010· 3 cited
Analytical VaR and Expected Shortfall for Quadratic Portfolios
The Journal of Derivatives·2010· 15 cited
The pricing and hedging of synthetic CDOs under the conditional independence assumption
Zhōngguó cáiwù xuékān·2009
Constant Proportion Portfolio Insurance Strategies for Credit Portfolios
SSRN Electronic Journal·2009Open Access
Valuation of the interest rate guarantee embedded in defined contribution pension plans
Insurance Mathematics and Economics·2007· 14 cited
An Efficient Algorithm for Basket Default Swap Valuation
The Journal of Derivatives·2007· 11 cited
Valuations of Mortality-Linked Structured Notes
SSRN Electronic Journal·2007Open Access
The Implementation of a Rating-Risk Based Credit Risk Model
SSRN Electronic Journal·2003· 1 citedOpen Access

Frequent Co-authors

Ann Ling‐Ching Chan(3), Yi‐Ting Hsieh(3), Ming‐Hua Hsieh(3), Shou-Hsun Tsai(3), Edward Lee(2), Mi‐Hsiu Chiang(2), Hsin‐Yu Chiu(2), Peter Miu(2), Mark Wong(1), Sharon S. Yang(1), Chun-Hua Tang(1), Jing Han(1), Hidetoshi Nakagawa(1), Nick Webber(1), An‐Ping Lin(1), Haoran Wu(1), 秀敏 中川(1), Cho-Jui Wu(1), Yuting Jian(1)