Curriculum Vitae. Carolyn W. Chang

Transcription

1 Curriculum Vitae Carolyn W. Chang Chair and Professor, Department of Finance Mihaylo College of Business and Economics California State University, Fullerton Fullerton, California 92634, USA. Phone: Fax: Education University of Southern California, Finance, MBA / Ph.D. University of Minnesota, Computer Science, B.S. National Taiwan University, Information Science, B.A. Teaching and Research Expertise International / Asia Pacific Financial Markets, Insurance and Risk Management, Financial Engineering Professional Experience Chair, Department of Finance, Mihaylo College of Business and Economics, California State University, Fullerton (CSUF) (since 2013). Professor, Department of Finance, Mihaylo College of Business and Economics, CSUF (since 1998). Senior Research Associate, School of Business, University of Hong Kong, Consultant, Annuity Division, Pacific Life Insurance Company, U.S.A, Consultant, Derivatives Department, Capital Securities, Taiwan, Associate Professor, Department of Finance and Accounting, Graduate School of Business, National University of Singapore, Associate Professor, Department of Finance, School of Business Administration and Economics, CSUF, (Tenured 1996). Lecturer, Marshall School of Business, University of Southern California, Refereed Publications 1. Carolyn W. Chang, S.K. Chang, M.M. Wen, Optimum Hurricane Futures Hedge in a Warming Environment: A Risk-Return Jump-Diffusion Approach, Journal of Risk and Insurance, forthcoming December, 2013.

2 Carolyn W. Chang CV Carolyn W. Chang, and S.K. Chang, Hurricane Derivatives: Valuation in a Warming Environment, Journal of Financial Studies, 20(2): 1-17, June Carolyn W. Chang, S.K. Chang, K.G. Lim, Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach, ASTIN Bulletin - the official journal of the International Actuarial Association, 42(1): , May Carolyn W. Chang, S.K. Chang, and W. Lu, Pricing Catastrophe Options with Stochastic Claim Arrival Intensity in Claim Time, Journal of Banking and Finance, 34(1): 24-32, January Carolyn W. Chang, S.K. Chang and W. Lu, Pricing Catastrophe Options in Discrete Operational Time, Insurance: Mathematics and Economics, 43(3): , December Carolyn W. Chang, S.K. Chang, and Y. Tian, Subordinated Binomial Option Pricing, Journal of Financial Research, 29(4): , Winter Carolyn W. Chang, and S.K. Chang, Doubly-Binomial Option Pricing with Application to Insurance Derivatives, Review of Pacific Basin Financial Markets and Policies, 8(3): , September Carolyn W. Chang, and S.K. Chang, Optimum Futures Hedge in the Presence of Clustered Supply and Demand Shocks, Stochastic Basis, and Firm s costs of Hedging, Journal of Futures Markets, 23(12): , December S.K. Chang, H. Fang, and Carolyn W. Chang, Dynamic Hedge of Oil Futures, International Journal of Management and Theory and Practice, 3(1), August Carolyn W. Chang, S.K. Chang, and K.G. Lim, Pricing and Hedging Emerging Market Derivatives: The Case of Hong Kong Derivative Warrants, Asia Pacific Journal of Finance, 3(1): 1-21, S.Y. Wang, K.G. Lim and Carolyn W. Chang, A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures using Markov Chains, Journal of International Financial Markets, Institutions and Money, 9(3): , Carolyn W. Chang, S.K. Chang, and K.G. Lim, "Information-Time Option Pricing: Theory and Empirical Evidence", Journal of Financial Economics 48(2): , May Carolyn W. Chang, S.K. Chang and M.T. Yu, "Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach", Journal of Risk and Insurance, 63(4): , December Carolyn W. Chang, S.K. Chang, and H. Fang, "Optimum Futures Hedge With Marking-to-Market and Stochastic Interest Rates", Journal of Financial Research, 19(3): , Fall Carolyn W. Chang and S.K. Chang, "Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time", Management Science, 42(7): , July Carolyn W. Chang, S.K. Chang and H. Fang, "Optimum Futures Hedge with Jump Risk and Stochastic Basis", Journal of Futures Markets, 16(4): , June Carolyn W. Chang, "A No-Arbitrage Martingale Analysis to Jump-Diffusion Valuation", Journal of Financial Research, 18(3): , Fall 1995.

3 Carolyn W. Chang CV Carolyn W. Chang and S.K. Chang, "A Discrete-Time Martingale Approach to Binomial Pricing with Stochastic Interest Rates", International Journal of Finance, 7(3): , Carolyn W. Chang, S.K. Chang and J. Loo, "Futures-Forward Price Differential in the T-Bill Markets: An Application of the Arbitrage Pricing Theory", Global Finance Journal, 5(1):55-63, Summer Carolyn W. Chang and S.K. Chang, "An Implicit Measure of the Effective Bid-Ask Spread: A Note, Journal of Financial Research, 16(1): 71-75, Spring Carolyn W. Chang, S.K. Chang, J. Loo, and Hsing Fang, "Marking-to-Market and Futures-Forward Differentials: Further Evidence From the Foreign Exchange Markets", Pacific-Basin Capital Market Research, Vol. 2, North-Holland, S.K. Chang, C.H. Loo, and Carolyn W. Chang, "The Pricing of Futures Contracts and the Arbitrage Pricing Theory", Journal of Financial Research, 13(4): , Winter Carolyn W. Chang and S.K. Chang, "Forward and Futures Prices: Evidence from the Foreign Exchange Markets", Journal of Finance, 45(4), September Carolyn W. Chang, S.K. Chang and C.W.K. Keng, "Stock Indexes, Stock Index Futures and Stock Index Futures Options - A Causality Analysis", The Belgium Journal of Operations Research, Statistics and Computer Science 28 (1988: no.4.) Research Under Review Revisit the Newsvendor Type of Inventory Control Problem Using a New Financial Paradigm, revised for resubmit at Journal of Operations Research Society. Awards, Grants and Honors 2013 Mihaylo Faculty Research Award, College of Business and Economics, CSUF 2012 George Joseph Research Award, Mercury Insurance Group 2012 President Milton Gordon Award (MGA), CSUF 2011 Mihaylo Faculty Fellowship Award, College of Business and Economics, CSUF 2011 Senior Faculty Research Award, CSUF 2011 Faculty Enhancement and Instructional Development Grant, CSUF 2010 University Missions and Goals Initiatives Award (Proposal: Global Catastrophe Risk Management Initiative) 2010 George Joseph Research Award, Mercury Insurance Group 2010 Senior Faculty Research Award, CSUF

4 Carolyn W. Chang CV Senior Faculty Research Award, CSUF 2007 University Outstanding Faculty Award, Scholar &Creative Activity, CSUF Senior Faculty Research Award, CSUF 2005 Senior Faculty Research Award, CSUF 2004 Research Grant, Center for Insurance Studies, CSUF 2000 CSUF State Special Fund for Research, Scholarship, & Creative Activities 2000 Faculty Mini-Grants for the Trade with China and S.E. Asia (TCS) Project, Center for the Study of Emerging Financial Markets, CSUF Highest Quality Rating citation by ANBAR Electronic Intelligence, Information-time option pricing theory: theory and empirical evidence th Most Requested Article, Journal of Financial Economics, Information-time option pricing theory: theory and empirical evidence 1999 Most Retrieved ECONbase Full-Text Articles, A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures using Markov Chains, Top Three in Journal of International Financial Markets, Institutions & Money Highest Quality Rating citation by ANBAR Electronic Intelligence, Optimum Futures Hedge with Marking-to-Market and Stochastic Interest Rates Faculty Enhancement and Instructional Development Grant, CSUF 1999 CSUF State Special Fund for Research, Scholarship, & Creative Activities 1998 Highest Quality Rating citation by ANBAR Electronic Intelligence, A No-Arbitrage Analysis to Jump-Diffusion Valuation National University of Singapore Outstanding University Research Award (One per School) National Taiwan University International Finance Conference Best Paper Award Research Grant, B.B. Engineering Technologies, Inc. / CSUF Foundation 1997 Financial Management Association Best Paper Award National University of Singapore Research Grant 1996 CIBER (Center for International Business Education) grant, CSU San Diego 1996 Junior/Senior/General Faculty Research Grant, CSUF 1995 Faculty Enhancement and Instructional Development Grant, CSUF

5 Carolyn W. Chang CV Affirmative Action Research Award, CSUF 1992 State Special Fund for Research, Scholarship, and Creative Activity, CSUF 1990 Junior/Senior/General Faculty Research Award, CSUF 1990 Affirmative Action Research Award, CSUF University of Southern California Fellowship. Paper Reviewer Financial Management Journal of Financial Research Journal of Risk and Insurance Quarterly Journal of Business and Economics Singapore Management Review Journal of Banking and Finance Journal of Futures Markets Insurance: Mathematics and Economics Review of Financial Markets Global Finance Journal Book Review (Selected) International Financial Management, by Cheol S. Eun and Bruce G. Resnick, McGraw-Hill Irwin, 4 th ed International Financial Management, by Cheol S. Eun and Bruce G. Resnick, McGraw-Hill Irwin, 5 th ed Research Presentations 1. Carolyn W. Chang, S.K. Chang, and M. Shi, A Market-Based Martingale Valuation Approach to Optimum Inventory Control in a Doubly-Stochastic Jump-Diffusion Economy, the 2013 Decision Science Institute Annual Meeting, Nov , 2013, Baltimore. 2. Carolyn W. Chang, S.K. Chang, and M.T. Yu, Catastrophe Reinsurance and Bonds: Valuation and Optimum Mix, the 48th Actuarial Research Conference, Philadelphia, July 31- August 1, Carolyn W. Chang and S.K. Chang, Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking News-time Approach, 7 th DFG-NSF Conference Reckoning with the Risk of Catastrophe, Washington DC, October Carolyn W. Chang and S.K. Chang, Forecasting Tropical Cyclones: A Market-Based Forward- Looking Approach, M.O.R.E. 25 Seminar, July 12-13, 2011, Bermuda. 5. Carolyn W. Chang, S.K. Chang, and K.G. Lim, Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach, the second World Risk and Insurance Economics Congress (WRIEC), July 2010, Singapore.

6 Carolyn W. Chang CV Carolyn W. Chang, S.K. Chang, and K.G. Lim, Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach, the first Global Climate Risk Initiative Forum, California State University, Fullerton, May 2010, Fullerton. 7. Carolyn W. Chang, S.K. Chang, and W. Lu, Pricing and Hedging Catastrophe-Linked Risk in Discrete Time, The SCOR-Journal of Risk and Insurance Conference on New Forms of Risk Sharing and Risk Engineering, September 20-21, 2007, Paris. 8. Carolyn W. Chang, S.K. Chang, and W. Lu, Pricing Catastrophe Insurance Derivatives in a Stochastic Binomial Tree, World Risk and Insurance Economics Congress, August 7-11, 2005, Salt Lake City. 9. Carolyn W. Chang, and S.K. Chang, Optimum Futures Hedge in the Presence of Clustered Supply and Demand Shocks, Stochastic Basis, and Firm s costs of Hedging, the 13 th Annual CBOT Asia- Pacific Futures Research Symposium, February 27-28, 2003, Shanghai, China. 10. Carolyn W. Chang, and S.K. Chang, Subordinated Binomial Tree, 2002 Hong Kong Monetary Authority Research Symposium, December 13, Hong Kong, China. 11. Carolyn W. Chang, S.K. Chang, and K.G. Lim, Pricing and Hedging Hong Kong Derivative Warrants in Information-Time, 1998 APFA/NFA Joint Conference, July 19-22, Tokyo, Japan. 12. Carolyn W. Chang, S.K. Chang, and K.G. Lim, Information-Time Option Pricing: Theory and Empirical Evidence, 1998 NTU International Finance Conference, March , Taipei, Taiwan. 13. Carolyn W. Chang, S.K. Chang, and K.G. Lim, "Information-Time Option Pricing: Theory and Empirical Evidence", 1997 Financial Management Association Meetings, October 15-18, Hawaii. 14. Carolyn W. Chang, S.K. Chang, and K.G. Lim, "Information-Time Valuation of Nikkei 225 Futures Options", 1997 Asia-Pacific Finance Conference, July 15-17, Kuala Lumpur, Malaysia. 15. Carolyn W. Chang, S.K. Chang and K. G. Lim, Theory and Empirical Evidence on the Valuation of Futures Options with Systematic Jump Risk: A Randomized Operational Time Approach, Finance and Economics Conference, Royal Melbourne Institute of Technology, April 4, 1997, Melbourne, Australia. 16. Carolyn W. Chang, S.K. Chang and M.T. Yu, "Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach", 1996 APFA/PACAP Finance Conference, July 8-10, 1996, Taipei, Taiwan. 17. Carolyn W. Chang, S.K. Chang and M.T. Yu, "Pricing Catastrophe Insurance Futures Call Spreads", 1996 Annual Western Finance Association Meetings, June 19-22, 1996, Sun River, Oregon. 18. Carolyn W. Chang, S.K. Chang and M.T. Yu, "Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach", the Chicago Board of Trade 7th Annual Asia-Pacific Futures Research Symposium, February 26-27, 1996, Singapore. 19. Carolyn W. Chang, S.K. Chang and M.T. Yu, "The Valuation of Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach", 1995 American Risk And Insurance Association Annual Meeting, August 13-16, Seattle, Washington, U.S.A.

7 Carolyn W. Chang CV Carolyn W. Chang, "Trade Arrivals, Stochastic Volatility, and the Valuation of Options: A Martingale Analysis", the 24th Annual Meeting of the Financial Management Association, October 12-15, 1994, St. Louis, Missouri, U.S.A. 21. Carolyn W. Chang and S.K. Chang, "On Optimum Futures Hedge with Price, Volatility, and Arrival Frequency Jumps", the 24th Annual Meeting of the Financial Management Association, October 12-15, 1994, St. Louis, U.S.A. 22. Carolyn W. Chang and S.K. Chang, "A Discrete-Time Martingale Approach to Binomial Pricing With Stochastic Interest Rates", the 23rd Annual Meeting of the Financial Management Association, October 13-16, 1993, Toronto, Canada. 23. Carolyn W. Chang, "Option Valuation When Aggregate Consumption and Asset Returns Follow Jump-Diffusion Processes: The No-Arbitrage Martingale Approach", the 22nd Annual Meeting of the Financial Management Association, October 21-24, 1992, San Francisco, U.S.A. 24. Carolyn W. Chang and S.K. Chang, "Subordinated Process, Stochastic Volatility and the Pricing of Options: Information-Time vs. Calendar-Time", the Annual Meetings of the Western Finance Association, June 21-24, 1992, San Francisco, U.S.A. 25. Carolyn W. Chang and S.K. Chang, "Subordinated Process, Stochastic Volatility and the Pricing of Options: Information-Time vs. Calendar-Time", 1991 Financial Management Association Meetings,, October 9-12, 1991, Chicago, U.S.A. 26. Carolyn W. Chang and S.K. Chang, "Binomial Pricing: A Generalization", the Golden Anniversary Meetings of the American Finance Association, December 28-30, 1990, Washington, D.C., U.S.A. 27. Carolyn W. Chang and S.K. Chang, "Binomial Pricing: A Generalization", the Second Annual Pacific- Basin Finance Conference, June 4-6, 1990, Bangkok, Thailand. 28. Carolyn W. Chang, S.K. Chang, J. Loo, and Hsing Fang, "Marking-to-Market and Futures-Forward Differentials: Further Evidence From the Foreign Exchange Markets", the Second Annual Pacific- Basin Finance Conference, June 4-6, 1990, Bangkok, Thailand. 29. Carolyn W. Chang, "Two Essays on the Valuation of Options: A Martingale Analysis", Doctoral Seminar at the 1989 Financial Management Association Meetings, October 18, 1989, Boston, U.S.A. Conference Session Chair / Discussant / Public Speech (Selected) 1. Speaker, Earthquake Risk, 2 nd Global Catastrophe Risk Management Forum, Mihaylo College of Business and Economics, May 13, Guest Speaker, Development of Asian Financial Markets, The Asian Financial Meltdown Conference, Center for Economic Education, California State University at Fullerton, December 9, Discussant, "Cross-Currency Bond Option Pricing", by Jason Z. Wei, University of Saskatchewan, Session on "Interest Rate Derivatives", the 24th Annual Meeting of the Financial Management Association, October 12-15, 1994, St. Louis, Missouri, U.S.A. 4. Discussant, "Testing an Alternative Nonlinear Model of the Term Structure of Interest Rates", by Olin Liu and C. Baum, Boston College, Session on "Term Structure Models" the 24th Annual Meeting of the Financial Management Association, October 12-15, 1994, St. Louis, Missouri, U.S.A.

8 Carolyn W. Chang CV Session Chair, Session on "Hedging", the 22nd Annual Meeting of the Financial Management Association, October 21-24, 1992, San Francisco, U.S.A. Professional Membership American Finance Association Western Finance Association American Risk and Insurance Association Financial Management Association Dissertation Two Essays on the Valuation of Options: A Martingale Analysis. Teaching Activities Graduate Seminar in Financial Administration Seminar in International Financial Management Undergraduate Business Finance Investments Financial Management Options and Futures Theory of Corporate Finance Asia-Pacific Financial and Securities Markets International Business Finance University Service (Selected) Chair, Department of Finance, College of Business & Economics, 13 - present Member, CSU Fullerton Fellows Program, 92 - present Senate, Academic Senate, Mihaylo College of Business & Economics, 99-01, 03-05, 06-07, Member, MCBE College MBA Steering Committee, Member, MCBE College Strategic Planning Committee, Member, MCBE College Ad-Hoc Committee on Journal Ranking, Co-Director, Global Catastrophe Risk Management Initiative, CSUF, 2009-present Chair / Member, Finance Department Personnel Committee, 99-00, / 00-01, 05-07, Member, Finance Department Executive Committee, 06-07, Chair / Member, Finance Department Selection Committee, 00-01, 05-07, / 99-00, Member, MCBE College Instruction Committee, 99-00, Chair, Finance Department Post-Promotion Increase Committee, 2008

9 Carolyn W. Chang CV 9-9 Faculty Adviser, University Honors Project, Member, University Student Academic Life Committee, Mentor, School of Business & Economics, Department Library Coordinator, Faculty Advisor, The Honorary Winners Society, Member, School Library and Computer Resource Committee, Mentor, University Educational Equity Program, Member, University Food Service Board, Member, Department Curriculum Committee, 92-93, Member, Department Scholarship Committee, Member, Department Workshop Committee, 90-94