傅承德

学历信息:爱荷华州立大学统计与数学专业(双学位)博士

研究方向:计量金融学、金融时间序列、数值模拟和重要抽样、隐马尔可夫模型之统计推论

电子邮件:cdfu@fudan.edu.cn

简介

论文

傅承德,复旦大学泛海国际金融学院金融学(教学轨)教授。

他的研究领域与专长包括计量金融学、金融时间、数值模拟和重要抽样、马尔可夫模型之变点检测、隐马尔可夫模型之统计推论、马尔可夫模型之极限定理等。

1989年至2006年,傅教授分别担任过台湾中央研究院统计科学研究所副研究员与研究员,并于2006年起担任台湾中央大学统计研究所讲座教授一职。除此之外,他还是多所知名大学的客座教授,包括斯坦福大学、加州伯克利大学、哥伦比亚大学、上海交通大学、新加坡国立大学等。

他拥有台湾中央大学数学系学士学位、南伊利诺伊大学数学硕士学位,并于1989年获得美国爱荷华州立大学统计与数学双博士学位。傅教授拥有多项代表性成果,主持并参与过多个学术研究项目,他的论文被发表在诸多顶级学术期刊上。


  • Fuh, C. D. “Bootstrapping the autocorrelation coefficient of Markov chains.” J.S.P.I., vol. 32, 291-301, 1992.
  • Athreya, K. B. and Fuh, C. D. “Bootstrapping Markov chains: countable case.” J.S.P.I., vol. 33, 311-331, 1992.
  • Athreya, K. B. and Fuh, C. D. “Central limit theorem for a double array of Harris chains.” Sankhy ̄a, vol. 55, 1-11, 1993.
  • Fuh, C. D.“Statistical inquiry for Markov chains by bootstrap method.” Statistica Sinica, vol. 3, 53-66, 1993.
  • Fuh, C. D. “Bootstrapping Markov chains.” J.C.S.A., vol. 28, 139-169, 1990. (in Chi- nese).
  • Fuh, C. D. “Asymptotically efficient allocation schemes in multi-armed bandit problem.’ J.C.S.A., vol. 30, 147-159, 1992. (in Chinese).
  • Fuh, C. D. “On the first passage time probability for a Markov random walk.” J.C.S.A., vol. 32, 507-516, 1994. (in Chinese).
  • Fuh, C. D. “Corrected diffusion approximations for ruin probabilities in Markov random walk.” Advances in Applied Probability, vol. 29, 695-712, 1997.
  • Fuh, C. D. and Fan, T. H. “A Bayesian bootstrap for finite state Markov chains.” Sta- tistica Sinica, vol. 7, 1005-1019, 1997.
  • Fuh, C. D. and Hung, W. L. “Bootstrap method for censored Markov chains.” Proc. Nat. Sci. Council ROC(A) vol. 22, 1-7, 1998.
  • Fuh, C. D. and Lai, T. L. “Wald’s equations, first passage times and moments of ladder variables in Markov random walks.” Journal of Applied Probability, vol. 35, 566-580, 1998.
  • Fuh, C. D., Fan, T. H. and Hung, W. L. “Importance resampling for Markov chains.” Stochastic Models, vol. 14, 1007-1026, 1998.
  • Fuh, C. D. “ Paley-type inequality related to the central limit theorem for Markov chains.” Sankhy ̄a A, vol. 61, 89-100, 1999.
  • Fuh, C. D., Fan, T. H. and Hung, W. L. “Balanced importance resampling for Markov chains.” J.S.P.I., vol. 83, 221-241, 2000.
  • Fuh, C. D. and Zhang, C. H. “Poisson equation, maximal inequalities and r-quick con- vergence for Markov random walks.” Stochastic Processes and their Applications, vol. 87, 53-67, 2000.
  • Fuh, C. D. and Hu, I. “Asymptotically efficient strategies for a stochastic scheduling problem with order constraints.” Annals of Statistics, 28, 1670-1695, 2000.
  • Fuh, C. D. and Shepp, L. “An ergodic Markov chain arising in Monte Carlo simulations.” International Journal of Mathematics, Game Theory, and Algebra, 11, 49-54, 2000.
  • Chao, M. T. and Fuh, C. D. “Bootstrap method for the up and down test on pyrotechnics 
sensitivity analysis.” Statistica Sinica, vol. 11, 1-21, 2001.
  • Fuh, C. D. and Yeh, Y. N. “Random perturbation in games of chance.” Studies in 
Applied Mathematics, 107, 207-215, 2001.
  • Fuh, C. D. and Hu, I. Discussion of the paper “Sequential Analysis: Some Classical 
Problems and New Challenges” by Tze Leung Lai. Statistica Sinica, vol. 11, 355-357, 
2001.
  • Alsmeyer, G. and Fuh, C. D. “Limit theorems for iterated random functions by regener- 
ative methods.” Stochastic Processes and their Applications, vol. 96, 123-142, 2001.
  • Fuh, C. D. and Lai, T. L. “Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks.” Advances in Applied Proba- 
bility, vol. 33, 652-673, 2001.
  • Yu, I. T., Wang, Z. H., Cheng, S. W. and Fuh, C. D. “Reliability Analysis for Pyrotech- nics Products (An Application of Statistical Methods in Reliability to Electro-Explosive Devices).” J.C.S.A., vol. 40, 333-360, 2002. (in Chinese).
  • Fuh, C. D., Lee, J. S. and Liaw, C. M. “The design aspect of the Bruceton test for pyrotechnics sensitivity.” Journal of Data Science, vol. 1, 83-101, 2003.
  • Fuh, C. D. “SPRT and CUSUM in hidden Markov models.” Annals of Statistics, vol. 31, 942-977, 2003.
  • Fuh, C. D., Hu, I. and Lin, S. K. “Empirical performance and asset pricing in hidden Markov models.” Communications in Statistics-Theory and Methods, vol. 32, 2477-2512, 2003.
  • Chao, M. T. and Fuh, C. D. “Why wild values occur in pyrotechnics sensitivity analysis.” Propellants, Explosives, Pyrotechnics, vol. 28, 216-218, 2003.
  • Fuh, C. D. “On Bahadur efficiency of the maximum likelihood estimator in hidden Markov models.” Statistica Sinica, vol. 14, 127-144, 2004.
  • Hung, W. L., Lee, J. S. and Fuh, C. D. “Fuzzy clustering based on intuitionistic fuzzy relations.” The International Journal of Uncertainty, Fuzziness and Knowledge-based Systems, vol. 12, 513-529, 2004.
  • Lin, S. K., Fuh, C. D. and Ko, T. J. “A bootstrap method with importance resampling to evaluate value-at-risk.” Journal of Financial Studies, vol. 12, 81-116, 2004.
  • Fuh, C. D. and Hu, I. “Efficient importance sampling for events of moderate deviations with applications.” Biometrika, vol. 91, 471-490, 2004.
  • Fuh, C. D. “Uniform Markov renewal theory and ruin probabilities in Markov Random Walks.” Annals of Applied Probability, vol. 14, 1202-1241, 2004.
  • Fuh, C. D. “Asymptotic operating characteristics of an optimal change point detection in hidden Markov models.” Annals of Statistics, vol. 32, 2305-2339, 2004.
  • Fuh, C. D. and Ip, E. H. “Bootstrap and Bayesian bootstrap clones for censored Markov chains” J.S.P.I., vol. 128, 459-474, 2005.
  • Fuh, C. D. “Efficient likelihood estimation in state space models” Annals of Statistics, vol. 34, 2026-2068, 2006.
  • Lin, S. K., Wang, R. H. and Fuh, C. D. “Risk management for linear and non-linear assets-A bootstrap method with importance resampling to evaluate value-at-risk. Asia- Pacific Financial Markets, 13, 261-295, 2006.
  • Fuh, C. D. and Yang, Y. L. “A Bootstrap method to calculate Value-at-Risk in emerging markets under stochastic volatility models” J.C.S.A., vol. 45, 106-129, 2007.
  • Fuh, C. D. and Hu, I. “Estimation in hidden Markov models via efficient importance sampling.” Bernoulli, vol. 13, 492-513, 2007.
  • Chan, H. P., Fuh, C. D. and Hu, I. “Optimal strategies for a class of sequential control problems with precedence relations.” Annals of Statistics, vol. 35, 1722-1748, 2007.
  • Fuh, C. D. “Asymptotic expansions on moments of the first ladder height in Markov 
random walks with small drift.” Advances in Applied Probability, vol. 39, 826-852, 
2007.
  • Fuh, C. D. and Hu, I. “Discussion of modeling and predicting extrapolated probabilities 
with outlooks.” Statistica Sinica, vol. 18, 44-46, 2008.
  • Lee, Y. H., Ip, E. H. and Fuh, C. D. “A strategy for controlling item exposure in multidi- mensional computerized adaptive testing.” Educational & Psychological Measurement, vol. 68, 215-232, 2008.
  • Fuh, C. D. and Mei, Y. “Optimal stationary binary quantizer for decentralized quickest change detection in hidden Markov models.” Won Best Paper Award, Information Fusion 2008. http://www.fusion2008.org/bpa.html
  • Aston, J., Fuh, C. D. and Luo, S.F. Discussion on “Is average run length to false alarm always an informative criterion?” by Yajun Mei, Sequential Analysis, vol. 27, 381-384, 2008.
  • Chang, C., Fuh, C. D. and Hsu, Y. H. “ESO compensation: the roles of default risk, employee sentiment, and insider information.” Journal of Corporate Finance, vol. 14, 630-641, 2008.
  • Wang, R. H., Lin, S. K. and Fuh, C. D. “An importance sampling method to evaluate Value-at-Risk for assets with jump risks.” Asia-Pacific Journal of Financial Studies, vol. 38(5), 745-772, 2009.
  • Fuh, C. D. and Pai, S. Y. “Arbitrage detection from stock data: an empirical study.” Handbook of Quantitative Finance, Chapter 106, 1577-1592, Ed. C. F. Lee and A. Lee., Springer-Verlag, New York, 2010.
  • Fuh, C. D. “Corrigendum to efficient likelihood estimation in state space models.” Annals of Statistics, vol. 38, 1282-1285, 2010.
  • Fuh, C. D., Teng, H. W. and Wang, R. H. “On-line VWAP trading strategies.” Sequential Analysis, special SQA issue dedicated to the 75th birthday of Albert Shiryaev, vol. 29, 292-310, 2010.
  • Yu, I. T. and Fuh, C. D. “Estimation of time to hard failure distributions using a three- stage method.” IEEE Trans. on Reliability, vol. 59, 405-412, 2010.
  • Wang, R. H., Aston, J. and Fuh, C. D. “The role of new information in option pricing: estimation issues for the state space model.” Journal of Computational Economics, vol. 36, 283-307, 2010.
  • Chen, L. J. and Fuh, C. D. “A study of employee stock options and the exercise deci- sion.” International Research Journal of Finance and Economics vol. 67, 142-159, 2011. (EconLit)
  • Fuh, C. D., Hu, I., Hsu, Y. H. and Wang, R. H. “Efficient simulation of Value at Risk with heavy-tailed risk factors.” Operations Research, vol. 59, 1395-1406, 2011.
  • Fuh, C. D. and Pang, T. X. “Self-normalized central limit theorem for Markov random walks.” Advances in Applied Probability, vol. 44, 452-478, 2012.
  • Fuh, C. D., Ho, K. W., Hu, I. and Wang, R. H. “Option pricing in a Black-Scholes model with Markov switching.” Journal of Data Science, vol. 10, 483-509, 2012.
  • Chang, C., Chen, L. J. and Fuh, C. D. “The pricing of risk and sentiment: A study of executive stock options.” Financial Management, vol. 42, 79-99, 2013.
  • Chen, C. C., Fuh, C. D. and Teng H. W. “Efficient option pricing with importance sampling.” J.C.S.A., vol. 51, 253-273, 2013.
  • Chen, L. J., Chen, C. C., Hsu, T. Y. and Fuh, C. D. “Asymmetric dependence between the exchange rates and the stock markets.” J.C.S.A., vol. 51, 274-291, 2013.
  • Fuh, C. D., Luo, S. F. and Yen, J. F. “Pricing discrete path-dependent options under jump-diffusion models.” Journal of Banking and Finance, vol. 37, 2702-2713, 2013.
  • Chang, C., Fuh, C. D. and Lin, S. K. “A tale of two regimes: theory and empirical evi- 
dence for a Markov-switch jump diffusion model of equity returns and derivative pricing 
implications.” Journal of Banking and Finance, vol. 37, 3204-3217, 2013.
  • Fuh, C. D. and Teng, H. W. Discussion of “Multiscale change point inference” by Frick 
et. al. J. R. Statist. Soc. B, vol. 76, 554-555, 2014.
  • Teng, H. W., Kang, M. H. and Fuh, C. D. “On spherical Monte Carlo methods for 
calculating multivariate normal probabilities.” Advances in Applied Probability, vol. 47, 
817-836, 2015.
  • Fuh, C. D. and Mei, Y. “Quickest change detection and Kullback-Leibler divergence for 
two-state hidden Markov models.” IEEE Transactions on Signal Processing, vol. 63, 
4866-4878, 2015.
  • Teng, H. W., Fuh, C. D. and Chen, C. C. “Optimal importance sampling via automatic 
Newton’s method with applications in finance.” Quantitative Finance, vol. 16, 1259- 
1271, 2016.
  • Chang, C., Fuh, C. D. and Kao, C. L. “Reading between the ratings: Modeling residual 
credit risk and yield overlap.” Journal of Banking and Finance, vol. 81, 114-135, 2017.
  • Fuh, C. D. and Luo, S. F. “On buy-and-hold mean-variance portfolio with strategic exit.” 
Quantitative Finance, vol. 18, 1365-1377, 2018.
  • Fuh, C. D., Teng, H. W. and Wang, R. H. “Efficient simulation of Value-at-Risk under 
a jump diffusion model: a new method for moderate deviation events.” Computational 
Economics, vol. 51, 973-990, 2018.
  • Chang, C., Cheng, H. W. and Fuh, C. D. “Ensuring more is better: on the simultaneous 
application of stock and options data to estimate the GARCH options pricing model.” 
Journal of Derivatives, accepted, 2018.
  • Fuh, C. D. and Tartakovsky, A. G. “Asymptotic Bayesian theory of quickest change de- 
tection for hidden Markov models.” IEEE Transactions on Information Theory, accepted, 2018.