Department of Systems Engineering & Engineering Management

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Chen, Nan (陳南)

	Assistant Professor BS (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 Columbia University, USA. He joined the Department of System Engineering and Engineering Management at the Chinese University of Hong Kong in 2006. He was an associate editor in Operations Research Letters from 2007 to 2008.

Research Interests

   Financial Engineering
   Monte-Carlo simulation
   Applied probability

　

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.

　

Journal Publications

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

N. Chen and P. Glasserman, "Malliavin Greeks without Malliavin Calculus", Stochastic Processes and their Applications, 117, 11, pp. 1689-1723 ,2007.

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

　

Refereed Conference Proceedings and Book Chapters

N. Chen and L. J. Hong, "Monte Carlo Method in Financial Engineering". Proceedings of the 2007 Winter Simulation Conference, pp. 919-931.

N. Chen, "Integration by Parts Method for Computing Sensitivities ". Forthcoming in Encyclopedia of Quantitative Finance, edited by Rama Cont, Johns Wiley & Sons, Ltd., West Sussex, UK.

N. Chen and Z. Huang, "A Wiener Measure Approach to Pricing Extreme Value Related Derivatives", Forthcoming in Proceedings of the 2009 Winter Simulation Conference.
　

Working Paper

N. Chen, "Exact Simulation of Brownian Motion Driven Stochastic Differential Equations", Submitted.

N. Cai, N. Chen and X. Wan, "Pricing Occupation Time Related Derivatives with Jump Risk", Submitted.

N. Chen and X. Wan, "A Non-zero-sum Game of Convertible Bonds: Tax Benefits, Bankrupt Cost and Late Call", Working Paper.

N. Chen and Z. Huang, "Brownian Meanders, Importance Sampling and Diffusion Extremes Simulation", Working Paper.

　

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