Prof. CHEN, Nan 陳 南 教授

Prof. CHEN, Nan 陳 南 教授
BSc, MSc (Peking University)
MPhil, PhD (Columbia University)

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

Office: Room 709A, William M.W. Mong Engineering Building
Tel: (852) 3943-8237

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

A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion(with N. Yang and X. Wan). Journal of Econometrics, Vol. 209, pp. 256-288, 2019

Contingent Capital,Tail Risk, and Debt-induced Collapse (with P. Glasserman, B. Nouri and M. Pelger). Review of Financial Studies, Vol. 30, pp. 3921-3969, 2017.

An Optimization View of Financial Systemic Risk Modeling: The Network Effect and the Market Liquidity Effect (with X. Liu and D.D.Yao). Operations Research, Vol. 64, pp. 1089-1108, 2016.

American Option Sensitivity Estimation via a Generalized IPA Approach (with Y. Liu). Operations Research, Vol. 62, pp. 616 -632, 2014.

Localization and Exact Simulation of Brownian Motion Driven Stochastic Differential Equations (with Z. Huang). Mathematics of Operations Research, Vol. 38, pp. 591-616, 2013

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

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call (with M. Dai and X. Wan). Mathematical Finance, Vol. 23, pp. 57-93, 2010.

Credit Spread, Implied Volatility, and Optimal Capital Structures with Jump Risk and Endogenous Defaults (with S. Kou). Mathematical Finance, Vol. 19, pp. 343-378, 2009.

Malliavin Greeks without Malliavin Calculus (with P. Glasserman). Stochastic Processes and their Applications, Vol. 117, pp. 1689-1723, 2007.

Additive and Multiplicative Duals for American Option Pricing (with P. Glasserman). Finance and Stochastics, Vol. 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.

Department of Systems Engineering and Engineering Management, CUHK