Department of Systems Engineering & Engineering Management

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Chen, Nan (陳南)

	Assistant Professor BE (Probability and Statistics, Peking University) MS (Probability and Statistics, Peking University) MPhil, PhD (Operations Research, Columbia)

	Office:	William M.W. Mong Engineering Building
	Phone:	(852) 2609-8237
	Fax:	(852) 2603-5505
	E-mail:	nchen@se.cuhk.edu.hk
	Homepage:	To be available

Professor Chen Nan graduated from the Department of Probability and Statistics at Peking University in 1998, and he received his Master of Science degree in Probability and Statistics in 2001 at Peking University, his Master of Philosophy and Ph. D degrees in 2006 at the Columbia University, USA. He joined the Department of System Engineering and Engineering Management at the Chinese University of Hong Kong in 2006. He is now serving as associate editor in Operations Research Letters.

Research Interests

Financial Engineering
Monte-Carlo simulation

　

Awards

Second Place Prize of Best Student Research Papers. Section of Financial Service, INFORMS, 2006.

　

Selected Publications

N. Chen and P. Glasserman, "Additive and Multiplicative Duals for American Option Pricing", Finance and Stochastics, Vol. XI, 2, pp. 153-179.

N. Chen and P. Glasserman, "Malliavin Greeks without Malliavin Calculus", Forthcoming in Stochastic Processes and their Applications.

N. Chen and S. Kou, "Credit Spread, Implied Volatility, and Optimal Capital Structures with Jump Risk and Endogenous Defaults", Submitted to Mathematical Finance, Second round review.

　

Refereed Conference Proceedings

N. Chen and L. J. Hong, "Monte Carlo method in financial engineering". Forthcoming in Proceedings of the 2007 Winter Simulation Conference.

　

Working Paper

N. Chen and S. Kou, "Economics of Herd Behavior: Local Conformity, Global Diversity and Punctuated Equilibrium Effect".

N. Chen, S. Kou and M. Sirbu, "Convertible Bonds: Pricing and Optimal Strategies".

N. Chen, "Exact simulation of stochastic differential equations"

N. Cai, N. Chen and Z. Bao, "Double barrier option pricing under hypoexponential jump diffusion process"

　

Email: dept@se.cuhk.edu.hk Tel: +852 2609-8313 Fax: +852 2603-5505
Address: Room 609, William M. W. Mong Engineering Building, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong