主辦單位：臺灣期貨交易所、工商時報
   時間：2024年11月29日(五) 9:30～16:30 （9:00開放進場）
   地點：台大醫院國際會議中心

發表人：輔仁大學金融與國際企業學系/邱嘉洲助理教授

主題：期現貨移動平均交換選擇權Future and Spot Moving Average Exchange Options

摘要：
本研究主要介紹期現貨交叉避險 (Cross Hedge) 交易進一步保護的新金融商品契約及其定價，此新金融商品契約稱為期現貨交換選擇權。這樣的新金融商品契約特別適用在指數期貨與個別股票之間交叉避險交易。
 本文首先提供新金融商品契約 — 期現貨交換選擇權的定價及相關風險係數，以利投資人使用。之後，考量機構投資人的需求，進一步提供期現貨 (幾何、算術) 移動平均交換選擇權的商品契約型式。而且提供此新金融商品契約的定價及其解析公式，快速計算此新金融商品權利金及相關風險係數，以供機構投資人運用。

關鍵詞：交換選擇權、移動平均、期現貨交換選擇權、期現貨移動平均交換選擇權、歐式選擇權

Abstract 
This study mainly introduces the new financial product contract and its pricing to protect futures and spot cross-hedging transactions further. This new financial product contract is called future and spot exchange options. Such new financial product contracts benefit cross-hedging trades between index futures and individual stocks.
This article first provides the pricing and related risk coefficients of the new financial product contract - futures and spot exchange options, for the convenience of investors. After that, considering the needs of institutional investors, we further provide another contract type of future and spot (geometric, arithmetic) moving average exchange options. It also provides the pricing and analytical formula of this new financial product contract. It quickly calculates the premiums and related risk coefficients of this new financial product for use by institutional investors.

Keywords: exchange options, moving average, futures and spot exchange options, futures and spot moving average exchange options, European options

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發表人：輔仁大學金融與國際企業學系/胡聚男助理教授、金融碩二高佳煒、高銘淞教授

主題：台灣證券業金融科技專利權之應用與效益評估Application and effects of FinTech patents in Taiwan’s securities industry

摘要：

本研究蒐集2003-2023年我國19家證券業 (含期貨商) 專利權資料，並將專利權進一步分為發明專利、新型專利與設計專利，藉此作為我國證券業者的金融科技發展程度。本文採用聯立方程式模型，將專利權 (累積) 數量、獲利能力與獲利穩定性作為內生變數，利用一般化動差法處理模型內生性問題。實證結果顯示資產規模大且專利品質佳的證券業者，確實傾向擁有較多的專利權；而專利權總數對於證券業者的獲利表現不呈統計顯著，但有助於提高獲利穩定性。值得注意的是，若將專利權細分為發明、新型與設計專利，可以發現三者皆有助於獲利穩定性，但發行與新型專利累積數可能較有助於證券業者獲利的提升，而設計專利累積數則反而會降低證券業者獲利表現。故建議我國證券業者發展金融科技時，不但需要長期累積研發動能，並需要聚焦於對經營績效影響相對正向的發行或新型專利，以彰顯金融科技的益處。

關鍵字：證券業、專利權、金融科技、聯立方程式模型、一般化動差法

Abstract

We collect the patent data of 19 securities firms (including futures dealers) in Taiwan from 2003 to 2023 to evaluate the development of FinTech of Taiwan’s securities firms. In addition, we classify the patent types into three categories – invention patent, utility model patent, and design patent. This study uses a simultaneous equations model to deal with the endogeneity problem of the three dependent variables in the model, which are the numbers of (accumulative) patents, profitability, and income stability. The generalized method of moments (GMM) estimates the model's parameters. Empirical results show that asset size and patent quality positively correlate with firms’ FinTech development. Besides, the number of patents seems uncorrelated with firms’ profitability but positively correlates with income stability. It is worth noting that the effects of the three types of patents are different. Even though all of them positively impact income stability, invention patents and utility model patents are beneficial for profitability, while design patents might decrease firms’ profitability. Therefore, we suggest that securities firms not only develop FinTech in the long term but also focus on the invention and utility model patents, which might bring more favorable results.

Keywords: securities industry, patents, FinTech, simultaneous equations model, GMM