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陈南 教授

职位:

教授

教育背景:

BSc, MSc (Peking University)
MPhil, PhD (Columbia University)

研究领域:

* Quantitative Methods in Finance and Risk Management
* Monte Carlo Simulation
* Applied Probability

Email:

nchen@se.cuhk.edu.hk

个人简介:

Nan Chen is a professor in the Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong. His research interests are quantitative methods in finance and risk management, Monte Carlo simulation, and applied probability. He has published in top journals and referred conference proceedings in the fields of operations research and quantitative finance, such as Review of Financial Studies, Operations Research, Mathematics of Operations Research, Mathematical Finance, Finance and Stochastics, Journal of Economic Dynamics and Control. The previous research topics included credit spread modeling, stochastic     differential game in convertible security pricing, Monte Carlo methods in American option pricing and the related sensitivity analysis, simulation of stochastic differential equations, and exotic option pricing under jump diffusion models. Currently, he is mainly focusing on modeling of systemic contagion and liquidity risk, complex social and financial network, and Monte Carlo method in stochastic control and learning. Part of his research is supported by the scheme of General Research Fund, Hong Kong Research Grant Council.         
Prof. Chen received his Ph.D. in operations research from Columbia University in 2006, and M.S. and B.S. in probability and statistics from Peking University, Beijing, China in 2001 and 1998, respectively. He was a second place price recipient of the Best Student Research Paper Award, Financial Services Section, INFORMS, 2006. He served as associate editor for Operations Research Letters from 2007-2008. He is now an associate editor of International Review of Finance and has chaired/been a member of the  program committees of several international conferences on quantitative finance and Monte Carlo simulation. 
Prof. Chen now serves as director of the Bachelor of Engineering Program in Financial Technology at CUHK. The program is the first of its kind in Hong Kong to offer comprehensive undergraduate education in FinTech. He is also deputy director of Master of Science Program in Financial Engineering at CUHK Shenzhen.


学术著作:
C. M. Leung, N. Chen, and Y. K. Kwok, "Game Options Analysis of the Information Role of Call Policies in Convertible Bonds", Applied Mathematical Finance, Vol. 22, pp. 297-335, 2015.

 

E. J. Baurdoux, N. Chen, B. A. Surya, and K. Yamazaki, "Optimal Double Stopping of a Brownian Bridge", Advances in Applied Probability, Vol. 47, pp. 1212-1234, 2015.

 

N. Chen, P. Glasserman, B. Nouri and M. Pelger, “Contingent Capital,Tail Risk, and Debt-induced Collapse”. Working Paper Series No. 4, Office of Financial Research, US Treasury Department. 2013

 

N. Chen and Y. Liu, “American Option Sensitivity Estimation via a Generalized IPA Approach”, Operations Research, Vol.62, pp.616-632, 2014.

 

N. Chen and Z.Huang, “Localization and Exact Simulation of Brownian Motion Driven Stochastic Differential Equations”, Mathematics of Operations Research, Vol.38, pp. 591-616, 2013.

 

N. Chen and Z. Huang, “Brownian Meanders, Importance Sampling and Unbiased Simulation of Diffusion Extremes”, Operations Research Letters, 40, pp.554-563, 2012.

 

N. Chen, M. Dai and X. Wan, “A Non-Zero-Sum Game Approach for Convertible Bonds:Tax Benefits, Bankrupt Cost and Early/ Late Call”, Mathematical Finance, Vol.23, pp.57-93, 2011.

 

N. Cai, N. Chen and X. Wan, “Occupation Times of Jump- Diffusion Processes with Double Exponential Jumps and the Pricing of Options”, Mathematics of Operations Research, 35, pp. 412-437, 2010.

 

N. Cai, N. Chen and X. Wan, “Pricing double-barrier options under a flexible jump diffusion model”, Operations Research Letters, 37, pp.163-167, 2009.

 

N. Chen and S. Kou, “Credit Spread, Implied Volatility, and Optimal Capital Structures with Jump Risk and Endogenous Defaults”, Mathematical Finance, 19, pp. 343-378, 2009.

 

N. Chen and P. Glasserman, “Malliavin Greeks without Malliavin Calculus”, Stochastic Processes and their Applications, 177, pp.1689-1723, 2007.

 

N. Chen and P. Glasserman, “Additive and Multiplicative Duals for American Option Pricing”, Finance and Stochastics, 11, pp. 153-179, 2007.