All Stories

  1. Explicit pathwise expansion for multivariate diffusions with applications

    Article • Advances in Applied Probability, September 2025, Cambridge University Press

    Prof Nan Chen

  2. Digital and Social Activeness of Urban Older Adults are Complementary

    Article • March 2025, Springer Science + Business Media

    Prof Nan Chen

  3. Non-Cooperative Multi-Agent Reinforcement Learning Exploiting Population Dynamics

    Article • IEEE Transactions on Network Science and Engineering, January 2025, Institute of Electrical & Electronics Engineers (IEEE)

    Prof Nan Chen

  4. Information Relaxation and a Duality-Driven Algorithm for Stochastic Dynamic Programs

    Article • Operations Research, November 2024, INFORMS

    Prof Nan Chen

  5. Robust Risk Quantification via Shock Propagation in Financial Networks

    Article • Operations Research, January 2024, INFORMS

    Prof Nan Chen

  6. Not all market participants are alike when facing crisis: Evidence from the 2015 Chinese stock market turbulence

    Article • Pacific-Basin Finance Journal, December 2023, Elsevier

    Prof Nan Chen

  7. Patience is a Virtue: Optimal Investment in the Presence of Market Resilience

    Article • SSRN Electronic Journal, January 2023, Elsevier

    Prof Nan Chen

  8. A new delta expansion for multivariate diffusions via the Itô-Taylor expansion

    Article • Journal of Econometrics, April 2019, Elsevier

    Prof Nan Chen

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

    Article • Quantitative Finance, September 2018, Taylor & Francis

    Prof Nan Chen

  10. Approximate arbitrage-free option pricing under the SABR model

    Article • Journal of Economic Dynamics and Control, October 2017, Elsevier

    Prof Nan Chen

  11. Exact Simulation of the SABR Model

    Article • Operations Research, August 2017, INFORMS

    Prof Nan Chen

  12. Contingent Capital, Tail Risk, and Debt-Induced Collapse

    Article • Review of Financial Studies, July 2017, Oxford University Press (OUP)

    Prof Nan Chen

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

    Article • Operations Research, May 2016, INFORMS

    Prof Nan Chen

  14. Optimal double stopping of a Brownian bridge

    Article • Advances in Applied Probability, December 2015, Cambridge University Press

    Prof. Kazutoshi Yamazaki, Prof Nan Chen

  15. Unbiased Monte Carlo computation of smooth functions of expectations via Taylor expansions

    Article • December 2015, Institute of Electrical & Electronics Engineers (IEEE)

    Prof Nan Chen

  16. Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

    Article • Applied Mathematical Finance, May 2015, Taylor & Francis

    Prof Nan Chen

  17. Monte Carlo sensitivities of optimal control

    Article • Operations Research, June 2014, INFORMS

    Prof Nan Chen

  18. Exact simulation of SDEs

    Article • Mathematics of Operations Research, August 2013, INFORMS

    Prof Nan Chen

  19. Brownian meanders, importance sampling and unbiased simulation of diffusion extremes

    Article • Operations Research Letters, November 2012, Elsevier

    Prof Nan Chen

  20. A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS

    Article • Mathematical Finance, June 2011, Wiley

    Prof Nan Chen

  21. Sensitivity Computations via Integration by Parts

    Article • May 2010, Wiley

    Prof Nan Chen

  22. Occupation time of a jump-diffusion process

    Article • Mathematics of Operations Research, May 2010, INFORMS

    Prof Nan Chen

  23. CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

    Article • Mathematical Finance, June 2009, Wiley

    Prof Nan Chen

  24. Pricing double-barrier options under a flexible jump diffusion model

    Article • Operations Research Letters, May 2009, Elsevier

    Prof Nan Chen

  25. Monte Carlo simulation in financial engineering

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

    Prof Nan Chen

  26. Malliavin Greeks without Malliavin calculus

    Article • Stochastic Processes and their Applications, November 2007, Elsevier

    Prof Nan Chen

  27. Additive and multiplicative duals for American option pricing

    Article • Finance and Stochastics, January 2007, Springer Science + Business Media

    Prof Nan Chen

  28. American Option Sensitivities Estimation via a Generalized IPA Approach

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Prof Nan Chen

  29. CoCos, Bail-In, and Tail Risk

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Prof Nan Chen