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

• SEEM 4720: Computational Finance (Spring 2015--Spring 2020)

  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.

• SEEM 4640: 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 and Financial Technology (Fall 2006--now)

  This course introduces financial markets and institutions and covers various types of securities and derivatives. It explores fundamental tools for investment analysis, valuation methods for assessing risk and return, and basic applications of machine learning in finance. The course is designed to equip students with a solid foundation for pursuing advanced FinTech studies.

• FTEC 3001: Financial Innovation and Structured Products (Fall 2017-now)

  The course of Financial Innovation and Structured Products provides a quantitative introduction to derivative markets. In it, we will focus on (i) the fundamental mechanics of futures, swaps and option markets, (ii) risk neutral evaluation theory of asset pricing, (iii) numerical procedures related to derivatives evaluation and risk managements, (iv) the principle of financial engineering and structured product design and their applications, and (v) financial crisis and regulation.

• SEEM 5670: 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 discusses various applications in option pricing and financial modeling, and offers a brief introduction to numerical methods in finance.

• SEEM 5570: Numerical Methods in Finance (Spring 2018-now)

  This course introduces several important numerical methods in finance. The focuses will be on Monte Carlo simulation, stochastic optimization, approximate dynamic programming, and reinforcement learning, generative models, and their applications in financial engineering.

• 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. Applications range from investment opportunity evaluation to derivative security pricing. The latter part concentrates on numerical methods such as binomial trees and finite difference methods, widely applied in risk management of derivatives.

• MFE 5110: Stochastic Models (Fall 2015)

  This course introduces basic techniques for modelling and analyzing systems in the presence of uncertainty. It covers Poisson processes, discrete and continuous Markov chains, martingales, Brownian motions, stochastic calculus and applications in financial engineering.