All Stories

  1. The principle of not feeling the boundary for the SABR model

    Article • Quantitative Finance, September 2018, Taylor & Francis

    Prof Nan Chen

  2. Exact Simulation of the SABR Model

    Article • Operations Research, August 2017, INFORMS

    Prof Nan Chen

  3. An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect

    Article • Operations Research, May 2016, INFORMS

    Prof Nan Chen

  4. Monte Carlo sensitivities of optimal control

    Article • Operations Research, June 2014, INFORMS

    Prof Nan Chen

  5. Exact simulation of SDEs

    Article • Mathematics of Operations Research, August 2013, INFORMS

    Prof Nan Chen

  6. Sensitivity Computations via Integration by Parts

    Article • May 2010, Wiley

    Prof Nan Chen

  7. Occupation time of a jump-diffusion process

    Article • Mathematics of Operations Research, May 2010, INFORMS

    Prof Nan Chen

  8. Monte Carlo simulation in financial engineering

    Article • December 2007, Institute of Electrical & Electronics Engineers (IEEE)

    Prof Nan Chen

  9. American Option Sensitivities Estimation via a Generalized IPA Approach

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Prof Nan Chen

  10. CoCos, Bail-In, and Tail Risk

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Prof Nan Chen