Chen Nan

Chen, Nan

Undergraduate Level

SEEM 4720: Computational Finance (Spring 2015-present)

The course provides a solid and comprehensive introduction to the applications of computational methods in financial derivative pricing. It covers two important numerical techniques: Monte Carlo simulation and finite differences. Using MATLAB as a means of illustration, the course focuses on developing numerical problem-solving capabilities for the students.
SEEM4640: Financial Decision and Pricing Models (Fall 2013, Fall 2014)

Basic characteristics of financial derivatives such as options, futures and forward contracts; understanding of the market mechanism of these fundamental instruments; risk management and financial derivatives; the fundamental concepts of no-arbitrage and risk neutral valuation principle; the binomial model and Black-Scholes-Merton pricing theory.
SEEM 2520: Fundamentals in Financial Engineering (Fall 2006--Fall 2012)

Overview of financial systems and the importance of financial markets and institution; understanding of the characteristics of interest rates, bonds, stocks and foreign exchanges; special emphasis on risk, return and their relationship; introduction to derivative markets and understanding their roles in risk management; basic principles of financial engineering; banking and financial institution management.

PhD Level

SEEM5670: Advanced Models in Financial Engineering (Fall 2009--Fall 2017)

The course introduces some basic concepts of stochastic calculus, an important mathematical tool used in financial engineering, and based on it, treats systematically the theory of risk neutral pricing. It will discuss extensively various applications in option pricing and financial modeling. Finally, the course offers a brief introduction to numerical methods in finance.

SEEM5570: Numerical Methods in Finance (Spring 2018, Co-teaching with Prof. Li Lingfei)

This course emphasizes the use of numerical methods for solving financial problems. The numerical methods include: binomial trees, Monte Carlo simulation, stochastic programming, linear/quadratic control models and semidefi nite programming techniques. Those techniques will be applied, among other things, to: option pricing, index tracking, portfolio optimization, interest rate models, and asset/liability management.

Master Level

SEEM 5870: Computational Finance (Spring 2006--Spring 2016)

The course establishes a theoretical foundation for computational finance, covering three main principles of the subject: efficient market hypothesis, capital asset pricing model, and no arbitrage. A variety of applications of these principles, from investment opportunity evaluation to derivative security pricing, will be investigated thoroughly. The latter part of the course will concentrate on the development of some numerical methods, such as binomial trees, and finite difference methods. These methods are popularly applied in risk management of options, futures, and other derivatives.
MFE5110: Stochastic Models (Fall 2015)

This course introduces basic techniques for modelling and analyzing systems in the presence of uncertainty. It will cover Poisson processes, Discrete and Continuous Markov chains, Martingales, Brownian motions, Stochastic Calculus and applications in financial engineering.