Mi-Hsiu Chiang
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
Mi-Hsiu Chiang has a total of 8 co-authors. Here are the top co-authors by number of shared publications:
- Chang-Yi Li
Xiamen University
1 shared publication - Chia-Hsiang Weng
Hong Kong Polytechnic University
1 shared publication Hsin-Yu Chiu
Natl Pingtung Univ, Dept Finance, Pingtung, Taiwan
1 shared publication- Ming-Che Chuang
Department of Finance, Feng Chia University, Taichung City, Taiwan
1 shared publication - Shih-Kuei Lin
Department of Money and Banking, National Chengchi University, Taipei, Taiwan
1 shared publication - Son-Nan Chen
Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai 200240, China
1 shared publication
Latest Publications
- 1 September 2021
- Published by Elsevier in Pacific-Basin Finance Journal
- Vol. 68
Predictive ability of similarity-based futures trading strategies
- 1 September 2021
- Published by Elsevier in Pacific-Basin Finance Journal
- Vol. 68
Predictive ability of similarity-based futures trading strategies
- 19 November 2018
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 26 (2) , 50-69
Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps
Much known about Treasury inflation-protected securities (TIPS) is related to the hedge they offer against inflation, but little is known about their protection against deflation—in the form of a deflation protection option (DPO). In this article, a pricing framework that builds on a Heath–Jarrow–Morton forward-rate economy with codependent inflation- and interest-rate jumps is derived to value this embedded DPO. The model prices for TIPS resulting from this pricing framework are found to most closely fit the 10-year notes issued following the 2008 crisis. Considering these notes accounted for over 70% of the total TIPS-market trading activity, this result underscores the importance of properly assessing DPO value in times of deflationary fears compounded by rising real yields, negligence of which may well be liable for the post-crisis mispricing in TIPS.
- 19 November 2018
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 26 (2) , 50-69
Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps
Much known about Treasury inflation-protected securities (TIPS) is related to the hedge they offer against inflation, but little is known about their protection against deflation—in the form of a deflation protection option (DPO). In this article, a pricing framework that builds on a Heath–Jarrow–Morton forward-rate economy with codependent inflation- and interest-rate jumps is derived to value this embedded DPO. The model prices for TIPS resulting from this pricing framework are found to most closely fit the 10-year notes issued following the 2008 crisis. Considering these notes accounted for over 70% of the total TIPS-market trading activity, this result underscores the importance of properly assessing DPO value in times of deflationary fears compounded by rising real yields, negligence of which may well be liable for the post-crisis mispricing in TIPS.
- 20 February 2018
- Published by Springer Nature in Review of Quantitative Finance and Accounting
- Vol. 52 (1) , 159-196
Are investors always compensated for information risk? Evidence from Chinese reverse-merger firms
- 20 February 2018
- Published by Springer Nature in Review of Quantitative Finance and Accounting
- Vol. 52 (1) , 159-196
Are investors always compensated for information risk? Evidence from Chinese reverse-merger firms
- 10 September 2014
- Published by Springer Nature in Review of Quantitative Finance and Accounting
- Vol. 46 (3) , 459-482
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
- 10 September 2014
- Published by Springer Nature in Review of Quantitative Finance and Accounting
- Vol. 46 (3) , 459-482
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy