Huei-Wen Teng
Name Huei-Wen Teng
Title Associate Professor
Education Ph.D. in Statistics, Pennsylvania State University, 2010
Research expertise Financial Statistics, Statistical Computing, Bayesian Inference, Financial Eengineering
Office Tel No. 03-5712121 Ext. 57092
Fax 03-5729915
Office Room 415, Management Building 1
Personal Website
Personal site
Year Paper Title
2020 Huei-Wen Teng and Xiang-An Zhao, On pricing quanto options with spherical Monte Carlo simulation, Journal of Futures and Options, 2020
2020 Huei-Wen Teng and Cheng-Der Fuh, Simulating false alarm probability in K-distributed sea clutter, Communications in Statistics - Simulation and Computation, 2020
2019 Yuh-Dauh Lyuu, Huei-Wen Teng*, Yao-Te Tseng, Sheng-Xiang Wang, A systematic and efficient simulation scheme of the Greeks for financial derivatives, Quantitative Finance, 2019
2018 Efficient Simulation of Value-at-Risk under A Jump Diffusion Model: A new method for moderate deviation events, Computational Economics, 51(4), 2018
2016 Sanford Luo, Huei-Wen Teng*, and Yu-Hsuan Lee, Forecasting Mortality Using Imputed Data: The Case of Taiwan, Asia-Pacific Journal of Risk and Insurance, vol. 10, 1, pp. 1-20, 2016
2016 Huei-Wen Teng*, Cheng-Der Fuh, and Chun-Chieh Chen, On an Automatic and Optimal Importance Sampling Approach with Applications in Finance, Quantitative Finance, vol. 16, 8, pp. 1259-1271, 2016
2015 Huei-Wen Teng, Wen-Liang Hung*, and Yen-Ju Chao, Bayesian Markov Chain Monte Carlo Imputation for the Transiting Exoplanets with an Application in Clustering Analysis, Journal of Applied Statistics, vol. 42, 5, pp. 1120-1132, 2015
2015 Wolfgang Karl Härdle, Brenda López-Cabrera, and Huei-Wen Teng*, State Price Densities Implied from Weather Derivatives, Mathematics and Economics, vol. 64, pp. 106-125, 2015
2015 Huei-Wen Teng*, Ming-Hsuan Kang, and Cheng-Der Fuh, On Spherical Monte Carlo Simulations for Multivariate Normal Probabilities, Advances in Applied Probability, vol. 47, 3, pp. 817-836, 2015
2014 Cheng-Der Fuh* and Huei-Wen Teng, Discussion of “Multiscale Change Point Inference" by Frick, Munk and Sieling, Journal of the Royal Statistical Society: Series B, vol. 76, 3, pp. 554-555, 2014
2013 Chun-Cheih Chen, Cheng-Der Fuh, and Huei-Wen Teng*, Efficient Option Pricing with Importance Sampling, Journal of the Chinese Statistical Association, vol. 51, 3, pp. 253-273, 2013
2011 Yuh-Dauh Lyuu and Huei-Wen Teng*, Unbiased and Efficient Greeks of Financial Options, Finance and Stochastics, vol. 15, 1, pp. 141-181, 2011
2010 Cheng-Der Fuh*, Huei-Wen Teng, and Ren-Her Wang, On-Line VWAP Trading Strategies, Sequential Analysis, vol. 29, 3, pp. 292-310, 2010
2009 Tze-Chuan Yang*, Huei-Wen Teng, and Murali Haran, The impacts of social capital on infant mortality in The U.S.: A spatial investigation, Applied Spatial Analysis and Policy, vol. 2, 3, pp. 211-227, 2009
Year Participator Project Category Project Title Job Title Unit
2010 Research Projects
2011 Research Projects
2012 Research Projects
2013 Research Projects
2014 Research Projects
2014 Research Projects
2015 Research Projects
2016 Research Projects
2017 Research Projects
2018 Research Projects
2019 Research Projects
2021 Research Projects
2020 Research Projects
2019 Research Projects
Year Honor Category
2022 Outside School Honor
2018 School Honor