特聘教授

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姓名:林月能
職稱:特聘教授
學歷:英國曼徹斯特大學博士
專長:財務工程, 金融風險控管, 波動度資產, 另類投資
電話:+886-4-22840591-816
信箱:ynlin@dragon.nchu.edu.tw
研究室:社管大樓816
主要學歷
畢/肄業學校 國別 主修學門系所 學位 起訖年月
曼徹斯特大學 英國 會計暨財務系 博士 1995/10 ~ 1999/07

 


主要學歷
畢/肄業學校 國別 主修學門系所 學位 起訖年月
曼徹斯特大學 英國 會計暨財務系 博士 1995/10 ~ 1999/07

 

校內經歷
服務部門/系所 職稱 起訖年月
財務金融學系(Department of Finance) 教授(Professor) 2011/08
財務金融學系(Department of Finance) 副教授(Associate Professor) 2008/02 至 2011/07
財務金融學系(Department of Finance) 助理教授(Assistant Professor) 2005/02 至 2008/01
 

校外經歷
服務機關 服務部門/系所 職稱 起訖年月
英國倫敦帝國大學 商學院 訪問學者 2012/10至2013/09
國科會 園區作業基金監督管理會 國科會園區作業基金監督管理會委員 2011/05至 2013/04

 

著作與研究成果
期刊論文
 
  • Lin, Yuen-Neng, and Lin, Y. A. (2016). Using VIX futures to hedge forward implied volatility risk. International Review of Economics & Finance, 43, 88-106. (SSCI)
  • Lin, Y., and Lin, Anchor Y., 2015, "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, forthcoming. [SSCI]
  • Lin, Anchor Y., and Lin, Y.,2014, "Herding of Institutional Investors and Margin Traders on Extreme Market Movements," International Review of Economics & Finance 33, 186-198. [SSCI]
  • Yueh-Neng Lin, 2013, "VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation," Journal of Banking & Finance, Vol.37, pp.4432-4446. [SSCI]
  • Lin, B.H., Lin, Y., and Chen, Y.J., 2012, "Volatility Risk Premium Decomposition of LIFFE Equity Options," International Review of Economics & Finance, Vol.24, pp.315-326. [SSCI]
  • Lin, Y. and Chang, C., 2010, "Consistent Modeling of S&P 500 and VIX Derivatives," Journal of Economic Dynamics and Control, Vol.34, pp.2302-2319. [SSCI]
  • Lin, Y., Yeh, S.K., Chuan, S.C, and Jordan, S.J.,2010, "The Link between Intraday Signals and Call Warrant Mispricing," Service Industries Journal, Vol.30, No.13, pp.2273-2288. [SSCI]
  • Lin, Y. and Chang, C., 2009, "VIX Option Pricing," Journal of Futures Markets, Vol.29, No.6, pp.523-543. [SSCI]
  • Lin, B.H. and Lin, Y., 2009, "Synthetic Currency Cross-Hedge Using Gold Futures versus Currency Forwards under a DCC-GARCH Model," Review of Futures Markets, Vol.17, No.4, pp.357-382.
  • Lin, Y.,2009,  "Implementing the Implied Volatility Tree for S&P 500 Options: Evidence from the Kernel-Regression Volatility Surface with an Algorithm for Dealing with Bad Transition Probabilities," Journal of Financial Studies, Vol.17, No.2, pp.27-63. [TSSCI]
  • Kuo, I. and Lin, Y., 2009, "Empirical Performance of Multi-Factor Term Structure Models for Pricing and Hedging Eurodollar Futures Options," Review of Financial Economics, Vol.18, pp.23-32.
  • Kuo, I. and Lin, Y.,2009, "Evidence on Inefficiency of the Euribor Option Market," Applied Financial Economics, Vol.19, pp.1009-1017.
  • Lin, Y. and Hung, K., 2008, "Is Volatility Priced?," Annals of Economics and Finance, Vol.9, No.1, pp.11-46. [SSCI]
  • Lin, Y., 2007, "Pricing VIX Futures: Evidence from Integrated Physical and Risk-Neutral Probability Measures," Journal of Futures Markets, Vol.27, pp.1175-1217. [SSCI]
  • Lin, Y. and Lin, Anchor Y., 2007, "Pricing the Cost of Carbon Dioxide Emission Allowance Futures," Review of Futures Markets, Vol.16, pp.7-33.
  • Kuo, I. and Lin, Y.,2007,  "Pricing and Hedging Euribor Options with Multifactor Interest Rate Models," Review of Futures Markets, Vol.15, pp.355-383.
  • Lin, Y., 2006, "Relative Contributions of Price and Volatility Risk Premiums to S&P 500 Index Returns," Journal of Financial Studies, Vol.14, pp.110-141. [TSSCI]
  • Lin, Y., 2006, "Do Stochastic Volatility and/or Jumps Improve the Consistency of Risk-Neutral Distributions Implicit in the S&P 500 Index Option Market and the Cash Index Market?," Journal of Financial Studies, Vol.14, pp.34-75. [TSSCI]
  • Lin, Y., Strong, N., and Xu, X., 2001, "Pricing FTSE 100 Index Options under Stochastic Volatility," Journal of Futures Markets, Vol.21, pp.197-211. [SSCI]
研討會論文
  • Lin, Yueh-Neng (2016, June). Volatility derivatives and downside risk. The 23rd Annual Conference of the Multinational Finance Society, Stockholm University Business School, Stockholm, Sweden.
  • Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Volatility Hedging Capital Allocation on the CBOE Volatility Derivatives, Italian Academy of Management (AIDEA) Bicentenary Conference: Banking & Finance,
  • Lin, Y. and Jeremy Goh, 2013, Predictability of VIX Jump Activities in Hedge Funds Returns, Italian Academy of Management (AIDEA) Bicentenary Conference: Banking & Finance, September 19-21, in Lecce,
  • Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Volatility Hedging Capital Allocation on the CBOE Volatility Derivatives, The 22th European Financial Management Association (EFMA) Conference, June 26-29,
  • Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Use of CBOE Volatility Contracts in an Equity Portfolio, CCER-Frodham-JBF Conference on "Risk Management and Reform of Bank Regulation," April 22-23, Beijin
  • Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Volatility Hedging Capital Allocation: Evidence from the CBOE Volatility Derivatives, The 2013 Annual Meeting of the Financial Management Association Int
  • Lin,Y., "Pricing VIX Options: Evidence from Integrated S&P 500 Index Option and VIX Futures Markets," The 2011 FMA Asian Conference, 2011-04-06, Queenstown, New, pp...
  • Lin, Y.,and Anchor Y. Lin,, "Using VIX Futures as Option Market-Makers’ Short Hedge," SFM, 2010-12-17, Kaohsiung, Taiwan, pp...
專書篇章
國科會計畫
  • 105年度,計畫主持人,隱含在選擇權市場的信用風險資訊與股票報酬率(Credit Information Trading in the Option Market for Future Stock Prices),2016/08 (2)
  • 103年度,計畫主持人,VIX Option Market Making: Trading and Risk Analysis. ,2014/08 (2)
  • 99年度, 計畫主持人, 資產價格跳躍下波動度風險資訊之經濟價值, 2010年08月
  • 98年度, 計畫主持人, 波動度衍生性金融資產交易資訊之研究, 2009年08月 至 2010年07月
  • 96年度, 計畫主持人, 連結選擇權資訊與總體經濟政策與公司事件之股市波動反應, 2007年08月 至 2009年07月
其他計畫

 

校內榮譽
獲獎年度 獎項名稱 授獎單位
2015-2016 國立中興大學特聘教授 國立中興大學
2014-2015 國立中興大學懷璧獎 國立中興大學
2014 國立中興大學社管院102 年度研究優良獎 國立中興大學社管院
2011

國立中興大學傑出青年教師獎勵

(Distinguished Young Scholar Award of National Chung Hsing University)

國立中興大學
2010 國立中興大學社管院98 年度研究優良獎 國立中興大學社管院
2009 國立中興大學社管院97 年度研究優良獎 國立中興大學社管院
 
校外榮譽
獲獎年度 獎項名稱 授獎單位
2013-2015 「國科會2013年至2015年財務學門學術研習營」衍生性商品研究領域「波動率模型與其衍生性商品之定價」議題之主講員 科技部
2012-2013 頂尖大學策略聯盟選派優秀人才赴國外頂尖大學訪問

中華民國頂尖大學策略聯盟&英國倫敦帝國大學

2012 Invited Speaker of「2012 Taiwan Scientific Symposium」in Southampton, Science and Technology Division Taipei Representative Office in the U.K. 駐英國台北代表處科技組
2012 在波動度衍生性金融商品的研究成果自2012年至今被MarketsWiki列為專家參考文獻 MarketsWiki
2010 第七屆證券暨期貨金椽獎甲等獎 證券暨期貨基金會
2008 第六屆證券暨期貨金椽獎優等獎 證券暨期貨基金會
2008 寶來金控碩士論文指導優等獎 寶來金控
2008 在波動度衍生性金融商品的研究成果被芝加哥選擇權交易所(CBOE)自2008年至今列為專家參考文獻 芝加哥選擇權交易所(CBOE)

 

♦期刊編輯(Editor&Reviewer)

開始年月 Year & Month        職務名稱 Position          期刊名稱 Journal

        2013/01 (3)                     Reviewer                           Journal of Banking & Finance

        2013/01 (3)                     Reviewer                           Financial Analysts Journal

        2013/01 (3)                     Reviewer                           Journal of Futures Markets

        2013/01 (3)                     Reviewer                           Journal of Financial Studies

♦學術團體 (Academic Association)

開始年月 Year & Month         職務名稱 Position           團體名稱 Association

         2013/01 (3)                     EFA member                    European Finance Association

         2013/01 (3)                     FMA member                   Financial Management Association

         2013/01 (3)                     Program Committee         Annual Conference Multinational Finance Society