Yuan-Chung Sheu(¤¤¤åª©)

Professor of Applied Mathematics

Contact information

Email: sheu@math.nctu.edu.tw Tel: 03-5712121 ext. 56428 Fax: 886-3-5724679 Address:

Department of Applied Mathematics, National Chiao Tung University

1001 Ta Hsueh Road, Hsinchu 30050, Taiwan

Teaching

- Fall 2012¡G

- Stochastic Differential Equations

- Probability-An Introduction
- Spring 2013¡G

- Complex Analysis-An Introduction

Curriculum Vitae

- Education

- Ph.D. in Mathematics, Cornell University, 1993.
- Research Area

- Probability Theory
- Stochastic Processes
- Financial Mathematics
- Partial Differential Equations
- Academic Experience and Honors

- Associate Professor of Mathematics, NCTU, 1993-1998.
- Professor of Mathematics, NCTU, 1999-present.
- General Member, MSRI at Berkeley, 1997-1998
- Chair, Mathematics Department, NCTU, 2001-2003.
- Associate Editor of Taiwanese Journal of Mathematics, 2004-present.
- Visiting Scholar, University of Washington, Seattle, USA, 2006-2007
- Associate Dean, College of Science, NCTU, 2005-2006, 2007-2008

Master/Ph.D. Students

Ming-Chi Chang(PhD, 2013, NCTU PostDoc.) Ming-Yao Tsai(PhD, 2012, Primordia Capital Research Limited ) Guo-Jhen Wu(M.S., 2011; Research Assistant(Academia Sinica)) ??????(M.S., 2011, NCTU(PhD Program in Finance)) Sung-Wen Yu(M.S., 2007) Guan-Yu Chen(PhD, 2006, NCTU(Assistant Professor)) Yu-Ting Chen(M.S., 2006, UBC(PhD Program)) Wei-Kou Chen(M.S., 2006; UC Irvine(PhD, 2012); U.Chicago(PostDoc)) Jang-Yi Li(M.S.,2005, Chengchi University(PhD Program in Finance)) Chia-Wen Chang(M.S., 2006) Jin-Kou Zhuang(M.S., 2006, high-tech company,Chengchi University(M.S. Program in Risk Manegement) ) Kuan-Yu Shih(M.S., 2001, NCTU(PhD Program in Finance)) Jou-Hui Hsin(M.S., 2001, high school teacher) Li-Shu Chen(M.S., 2001, high school teacher) Tseng-Tz Fu(M.S., 1997, NCU(PhD, 2007))Publications

A Hausdroff measure classification of G-Polar sets for the superdiffusions.Probab. Theory Relat. Fields, 95, 521-533 (1993).Asymptotic behaviour of superprocesses.Stochastics and Stochastics Reports, Vol. 49, 239-252 (1994).Removable boundary singularities for solutions of some nonlinear differential equations.Duke Math., 74, 701-711 (1994).On positive solutions of some nonlinear differential equation-a probablistic approach.Stochastic Processes and their Applications, 59, 43-53 (1995).On states of exit measures for superdiffusions.Ann. Probab., 24, 268-279 (1996).Life time and compactness of range for super-Brownian motion with a general branching mechanism.Stochastic Processes and their Applications, 70, 129-141 (1997).On a problem of Dynkin.Proceedings of the AMS, 127, 3721-3728 (1999).A Hausdorff measure classification of polar lateral boundary sets for superdiffusions.Mathematical Proceedings of Cambridge Philosophical Society, 128, 549-560 (2000).On the Log-Sobolev Constant for the Simple Random Walk on the n-cycle: The Even Cases.Journal of Functional Analysis, 202, 473-485 (2003).The least cost super replication portfolio for short puts and calls in Boyle-Vorst option pricing model with transition costAdvances in Quantitative Analysis and Accounting, 5, 1-22 (2007).(jointly with Guan-Yu Chen and Ken Palmer)An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model.Finance and Stochastics, 11, 323-355 (2007). ( jointly with Yu-Ting Chen and Cheng-Few Lee )The least cost super replicating portfolio in the Boyle-Vorst discrete-time option pricing model with transaction costs.International Journal of Theoretical and Applied Finance, Vol. 11, No.1, 55-85(2008).(jointly with Guan-Yu Chen and Ken Palmer)An integral equation approach for defaultable bond prices with applications to credit spreads.J. Appl. Prob. 46, 71-84 (2009). (jointly with Yu-Ting Chen and Cheng-Few Lee)A generalized renewal equation for two-sided jump-diffusion models.Stochastic Analysis and Applications, 27,897-910 (2009). (jointly with Yu-Ting Chen)A note on r-balayages of matrix-exponetial L?vy processes.Elect. Comm. in Probab. 14(2009), 165-175 (jointly with Yu-Ting Chen)A Generalized Model for Optimum Future Hedge.Handbbok of Quantitative Finance and Accounting, 873-852(2010), Lee,Cheng-Few, Lee, John(Eds.), Springer. ( jointly with Jang-Yi Lee, Kehluh Wang, and Cheng-Few Lee )On the discounted penalty at ruin in a jump-diffusion model.Taiwanese Journal of Mathematics 14, 1337-1350(2010) (jointly with Yu-Ting Chen).On optimal stopping problems for matrix-exponential L\'{e}vy processes.Journal of Applied Probability , 49,531-548(2012), (jointly with Ming-Yao Tsai).The cutoff phenomenon for Ehrenfest chains.Stochastic Processes and Their Applications 122 (2012), 2830-2853. (jointly with Guan-Yu Chen and Yang-Jen Fang).A note on Gerber-Shiu function for hyper-exponential jump-diffusion processes.(jointly with Yu-Ting Chen and Ming-Chi Chang, Elect. Comm. in Probab.18 (2013), No.2, 1-8.Free boundary problems and perpetual American strangles.(jointly with Ming-Chi Chang), Quantitative Finance 13(2013), No.08, 1149-1155.

Last modified date:2013/01/24