陈南 项目主任

业界导师

教育背景

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

研究领域
Quantitative Methods in Finance and Risk Management Monte Carlo Simulation Applied Probability
电子邮件
nchen@se.cuhk.edu.hk
个人简介

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.

 

学术著作

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.