Prof. CHEN, Nan 陳 南 教授
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) 3943-8237
Email: nchen@se.cuhk.edu.hk
Biography
Professor Chen Nan graduated from the Department of Probability and Statistics at Peking University in 1998, and he received his M.Sc. degree in Probability and Statistics in 2001 at Peking University, his M.Phil. and Ph.D. 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. He served as associate editor for Operations Research Letters from 20072008. He is now an associate editor of International Review of Finance, Digital Finance and has chaired/been a member of the program committees of several international conferences on quantitative finance and Monte Carlo simulation.
Prof. Chen now serves as director of the Bachelor of Engineering Program in Financial Technology at CUHK. The program is the first of its kind in Hong Kong to offer comprehensive undergraduate education in FinTech. He is also director of Master of Science Program in Financial Engineering at CUHK Shenzhen.
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.
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.
GRF: Monte Carlo Simulation in Financial Risk Management of Derivative Portfolios, 2010-2012, HK$668,000.
GRF: Financial Systemic Risk, 2014-2016, HK$500, 000.(CoPI: David D. Yao, Columbia University)
GRF: A Computational Approach for Stochastic Dynamic Programming and Its Applications in Financial Engineering, 2015-2017, HK$717, 000.
GRF: Simulation from Characteristic Functions, 2016-2018, HK$744,000.
GRF: Dynamic Portfolio Selection and Option Pricing with Market Frictions, 2018-2021, HK$7632, 421.
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.
Operations Research, 57(5), 1236-1249, 2009.
X. Cai, X.Y. Wu, and X. Zhou, “Single-machine scheduling with general costs under compound-type distributions”. Journal of Scheduling, 10(1), 77-84, 2007.
X. Cai, X.Y. Wu and X. Zhou, “Dynamically Optimal Policies for Stochastic Scheduling Subject to Preemptive-Repeat Machine Breakdowns”. IEEE Transactions on Automation Science and Engineering, 2 (2),158-172, 2005.
X. Cai, X.Q. Sun, and X. Zhou, “Stochastic Scheduling Subject to Machine Breakdowns: The Preemptive-Repeat Model with Discounted Reward and Other Criteria”, Naval Research Logistics, 51, 800-817, 2004.
X. Cai, K.L. Teo, X.Q. Yang, and X.Y. Zhou, “Portfolio Optimization under a Minimax Rule”, Management Science, 46, 957-972, 2000.
X. Cai, C.-Y. Lee, and T.L. Wong, “Multi-Processor Task Scheduling to Minimize the Maximum Tardiness and the Total Completion Time”. IEEE Transactions on Robotics and Automation, 16, 824-830, 2000.
X. Cai and S. Zhou, “Stochastic Scheduling on Parallel Machines Subject to Random Breakdowns to Minimize Expected Costs for Earliness and Tardy Jobs”, Operations Research, 47, 422-437, 1999.
PROFESSIONAL SERVICE
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.