Chen, Nan

Professor

Department of Systems Engineering and Engineering Management

The Chinese University of Hong Kong

Director

Bachelor of Engineering Programme in Financial Technology, CUHK

Centre for Financial Enginnering, CUHK

Master of Science Programme in Financial Engineering, CUHK(Shenzhen)

  • Office: Room 709A, William M.W. Mong Engineering Building
  • Phone: (852) 3943-8237       Fax: (852) 2603-5505
  • Email: @se.cuhk.edu.hk
  • Main
  • Biography
  • Teaching
  • Publications
  • Students
    • Full CV [Link] (as of 04/2020)
    Education
    • Ph.D.: Dept. of Industrial Engineering and Operations Research, Columbia University, May 2006.
    • M.Phil.: Dept. of Industrial Engineering and Operations Research, Columbia University, June 2005.
    • M.S.: Dept. of Probability and Statistics, Peking University, June 2001.
    • B.S.: Dept. of Probability and Statistics, Peking University, June 1998.
    Working Experience
    • Director (09/2017-Present): Centre for Financial Enginnering, The Chinese University of Hong Kong.
    • Director (01/2017-Present): Bachelor of Engineering Programme in Financial Technology, The Chinese University of Hong Kong.
    • Director (12/2017-Present): Master of Science Program in Financial Engineering, The Chinese University of Hong Kong.
    • Professor (02/2019-Present): Dept. of Systems Engineering & Engineering Management, The Chinese University of Hong Kong.
    • Associate Professor (08/2012-02/2019): Dept. of Systems Engineering & Engineering Management, The Chinese University of Hong Kong.
    • Assistant Professor (08/2006-07/2012): Dept. of Systems Engineering & Engineering Management, The Chinese University of Hong Kong.
    • Adjunct Associate Professor (09/2014-Present): School of Science & Engineering, Chinese University of Hong Kong, Shenzhen.
    • Research Fellow (09/2013-Present): CUHK Shenzhen Research Institute.
    • Visiting Associate Professor (06/2013-01/2014): Dept. of Industrial Engineering and Operations Research, Columbia University.
    • Visiting Scholar (08/2007): Dept. of Industrial Engineering and Operations Research, Columbia University, USA. Hosted by Prof. Steven Kou.
    • Visiting Scholar (06/2007): Laboratory of Probabilistic Modeling, Stochastics and Mathematical Finance, Osaka University, Japan. Hosted by Prof. Arturo Kohatsu-Higa.
    Awards and Grants

    Grants

    • 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.
    • 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.
    • General Research Fund (GRF): Simulation from Characteristic Functions, 2016-2018, HK$744, 000.
    • General Research Fund (GRF): Dynamic Portfolio Selection and Option Pricing with Market Frictions, 2018-2021, HK$763, 000.
    • General Research Fund (GRF): Probability Density Expansion of Multivariate Jump-Diffusion Processes and Its Applications in Finance, 2020-2023.
    • General Research Fund (GRF): Duality-Based Dynamic Programming: A Model-Free Learning Approach to Stochastic Control Problems, 2023-2026.

    Awards

    • Best student Research Paper Award (Second Place), Financial Services Section, INFORMS, 2006.
    • Exemplary Teaching Award, Faculty of Engineering, The Chinese University of Hong Kong, 2009.
    • Exemplary Teaching Award, Faculty of Engineering, The Chinese University of Hong Kong, 2017.
    • 江蘇省第十七屆哲學社會科學優秀成果獎二等獎，江蘇省政府，2023. (成果共同完成人: 楊念(南京大學)、萬相偉(上海交通大學)).
    Industrial Projects
    • 人工智能下的債券違約預測和風險評級 (合作單位：山西證券股份有限公司，主要合作者：陳婧(香港中文大學(深圳))，瀋彥(山西證券)).
      該項目獲得上海證券交易所證券信息技術研究發展中心2021年度行業共研課題三等獎(73個參評項目中一等獎4項，二等獎6項，三等獎8項), 2021.
    • Robust optimization in trading strategy design with Applied Simulation Research Limited (Co-I: Dohyun Ahn). 09/2022-09/2023.
    • 长三角科技创新共同体联合攻关项目"金融市场AI资金交易技术研究与应用"项目专家顾问委员会成员. 03/2023-12/2025.
    Public Services
    • Panel Member, Insurance Appeals Tribunal, Financial Services and the Treasury Bureau, Hong Kong SAR Government. (香港特區政府財經事務及庫務局保險事務上訴審裁處成員), 07/2023-07/2025.
    • Member, Payment Systems and Stored Value Facilities Appeals Tribunal, Financial Services and the Treasury Bureau, Hong Kong SAR Government. (香港特區政府財經事務及庫務局支付系統及儲值支付工具上訴審裁處成員), 11/2019-11/2025.
    • Member, Engineering Panel of the Research Grants Council, University Grants Committee, Hong Kong SAR Government.(香港特區政府大學教育資助委員會研究資助局工程學科小組成員) 03/2020-31/10/2025.
    Professional Service and Editorship
    • Member, Institute for Operations Research and the Management Sciences(INFORMS).
    • Member, Society for Industrial and Applied Mathematics(SIAM).
    • Member, Bachelier Finance Society.
    • Member of Organizing Committee, 2024 INFORMS Simulation Society Research Workshop, Hong Kong, June 2024
    • Member of Scientific Committee, the 12th Bachelier World Congress, Rio de Janeiro, 2024.
    • Member of Organizing Committee, Conference of Recent Developments in Quantitative Finance, Hong Kong Polytechnic University, August 2023.
    • Co-organizer, Finance Cluster, INFORMS Annual Meeting, Pheonix, 2023.
    • Co-organizer, the 11th Bachelier World Congress, Hong Kong, 2022.
    • Member of Steering Committee, the 4th Asian Quantitative Finance Conference, Osaka, 2016.
      Member of Steering Committee, the 5th Asian Quantitative Finance Conference, Seoul, 2017.
      Member of Steering Committee, the 6th Asian Quantitative Finance Conference, Guangzhou 2018.
    • Plenary Speaker, the 2018 Conference of Quantitative Methods in Finance, Sydney, 2018.
    • Plenary Speaker, the 4th Asian Quantitative Finance Conference, Osaka, 2016.
      Plenary Speaker, the 5th Asian Quantitative Finance Conference, Seoul, 2017.
      Plenary Speaker, the 6th Asian Quantitative Finance Conference, Guangzhou 2018.
    • Plenary Speaker, the 2015 Conference of Quantitative Methods in Finance, Sydney, 2015.
    • Chair of Organization Committee, the 3rd Asian quantitative Finance Conference, Hong Kong, 2015. [Link]
    • Stream Coordinator of Financial Optimization, the 20th Conference of the International Federation of Operational Research Society, Barcelona, 2014.
    • Stream Coordinator of Financial Optimization, the 26th European Conference on Operational Research, Rome, 2013.
    • Risk Analysis Track Coordinator, the 2009 Winter Simulation Conference, Washington, 2009.
    • Associate Editor, Operations Research, 01/2024-.
    • Associate Editor, Mathematical Finance, 01/2020-.
    • Associate Editor, Operations Research Letters, 01/2007-12/2008.
    • Associate Editor, International Review of Finance, 06/2018-.
    • Associate Editor, Digital Finance, 06/2018-.

    • Ad hoc reviewer of Management Science, Operations Research, Mathematical Finance, Finance and Stochastics, Mathematics of Operations Research, SIAM Journal of Financial Mathematics, SIAM Journal of Control and Optimization, Annals of Applied Probability, Journal of Applied Probability, Discrete Event Dynamic Systems, Journal of Economic Dynamics and Control, Journal of Theoretical and Applied Finance, Quantitative Finance, Review of Derivative Research, Journal of Optimization, Naval Logistics Research, Optimization, Statistics Sinica, Stochastic Processes and their Applications, Stochastics, Transactions on Modeling and Computer Simulation, IEEE Transactions on Signal and Information Processing over Networks.