Prof. CHEN, Nan 陳 南 教授

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

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

Office :  Room 709A, William M.W. Mong
             Engineering Building
Tel      :  (852) 3943-8327
Email  :

=> Prof . Chen's personal home page


Professor Chen Nan graduated from the Department of Probability and Statistics at Peking University in 1998, and he received his MSc degree in Probability and Statistics in 2001 at Peking University, his MPhil and PhD degrees in 2006 at Columbia University, USA.  He joined the Department of Systems Engineering and Engineering Management at The Chinese University of Hong Kong in 2006.


Awards and Grants

Best Student Research Paper Award (Second Place), Financial Services Section, INFORMS, 2006
General Research Fund (GRF): Exact Simulation Method for Stochastic Differential Equations and Its Applications in Financial Engineering, 2008-2010, HK$358,000.
General Research Fund (GRF): Computational Methods for Option Pricing under Stochastic Volatility Jump Diffusion Models, 2009-2011, HK$716,000.
Exemplary Teaching Award, Faculty of Engineering, The Chinese University of Hong Kong, 2009.
General Research Fund (GRF): Monte Carlo Simulation in Financial Risk Management of Derivative Portfolios, 2010-2012, HK$668,000.
General Research Fund (GRF): Financial Systemic Risk, 2014-2016, HK$500,000.(Co-PI: David D. Yao, Columbia University)
General Research Fund (GRF): A Computational Approach for Stochastic Dynamic Programming and Its Applications in Financial Engineering, 2015-2017, HK$717,000.


Awards Received by His Student

Xin Liu, Finalist (top 5), Best Student Research Paper Competition, Section of Financial Service, INFORMS, 2015.
Xin Liu, Second Place Prize, Best Student Research Paper Competition, The 3rd Asian Quantitative Finance Conference, 2015.
Xiangwei Wan, Second Place, Best Student Research Award, Financial Services Section, INFORMS, 2010
Xiangwei Wan, Outstanding Thesis Competition Award, Faculty of Engineering, The Chinese University of Hong Kong


Selected Publications


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.


Ad hoc reviewer of Mathematical Finance, Finance and Stochastics, Operations Research, Annals of Applied Probability, etc.

Risk Analysis Track Coordinator, The 2009 Winter Simulation Conference.

Associate Editor, Operations Research Letters, 2007-2008.