BSc, MSc (Peking University)
MPhil, PhD (Columbia University)
* Quantitative Methods in Finance and Risk Management
* Monte Carlo Simulation
* Applied Probability
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.