Chen, Nan


Department of Systems Engineering and Engineering Management

The Chinese University of Hong Kong


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:

Research Interests
  • Quantitative Methods in Finance and Risk Management
  • Monte Carlo Simulation
  • Applied Probability


My Google Scholar Citations  Citations: 1172, h-index: 15, i10-index: 17. (as of 18/07/2023)

My Social Science Research Network (SSRN)

Working Papers

  • N. Chen and M. Liu. (2023). Adversarial Reinforcement Learning: A Duality-Based Approach to Solving Overlearning Issue in Deep Learning Approximation for Optimal Control.
  • N. Chen, Y. Xu, R. Zhang, and M. Zhong. (2023). A Two Timescale Evolutionary Game Approach to Multi-Agent Reinforcement Learning.
  • N. Chen, M. Dai, Q. Ding, and C. Yang. (2023). Patience is a Virtue: Optimal Investment in the Presence of Market Resilience. Major Revision with Management Science. [full pdf] [abstract]
  • N. Chen, X. Wan, and N. Yang. (2024). Explicit Pathwise Expansion for Multivariate Diffusions and Its Application. Submitted
  • N. Chen and H. Xu. (2024). The Complementary Role of Digital Engagement in Social Activeness of Elderly Life: Evidence from Urban Region of China

Published Papers

    Archival Journals

  • C. Sui, N. Chen, and M. Yang. Not All Market Participants Are Alike When Facing Crisis: Evidence from the 2015 Chinese Stock Market Turbulence. Pacific-Basin Finance Journal. Vol.82, 102164, 2023. [full pdf] [abstract]
  • D. Ahn, N. Chen, and K.-K. Kim. Robust Risk Quantification via Shock Propagation in Financial Networks. Operations Research.Vol. 72, pp. 1-18, 2023. [full pdf] [abstract]
  • N. Chen, X. Ma, Y. Liu, and W. Yu. (2024). Information Relaxation and A Duality-Driven Algorithm for Stochastic Dynamic Programs. Accepted by Operations Research. [full pdf] [abstract]
  • A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion (with N. Yang and X. Wan). Journal of Econometrics Vol.209, pp. 256-288, 2019. [full pdf] [abstract]
    ---江蘇省第十七屆哲學社會科學優秀成果獎二等獎 (This paper won Second place prize of the 17th Jiangsu Provincial Philosophy and Social Science Outstanding Research Achievement Award), 2023.
  • The Principle of Not Feeling the Boundary for the SABR Model (with N. Yang). Quantative Finance Vol.19, pp. 427-436, 2019. [full pdf] [abstract]
  • Approximate Arbitrage-Free Option Pricing under the SABR Model (with N. Yang, Y. Liu and X. Wan). Journal of Economic Dynamics and Control, Vol.83, pp.198-214, 2017. [full pdf] [abstract]
  • Contingent Capital,Tail Risk, and Debt-induced Collapse (with P. Glasserman, B. Nouri and M. Pelger). Review of Financial Studies Vol.30, pp.3921-3969, 2017. [full pdf] [abstract] [ supplement appendix]
    ---A preliminary version of this paper was circulated under the title of CoCos, Bail-in, and Tail Risk. Click this link to the working paper series of Office of Financial Research, The Treasury Department, US.
    ---Accepted for presentation at the 2014 Western Finance Association Meeting (Acceptance rate: 144/1667).
  • ---Accepted for presentation at the 2016 Annual Meeting of American Economic Association (Acceptance rate:<25%).
  • Exact Simulation of the SABR Model (with N. Cai, Y. Song). Opeartions Research, Vol.65, pp.931-951, 2017. [full pdf] [abstract]
  • An Optimization View of Financial Systemic Risk Modeling: The Network Effect and the Market Liquidity Effect (with X. Liu and D.D.Yao). Opeartions Research, Vol.64, pp.1089-1108, 2016. [full pdf] [abstract]
    ---Xin Liu was selected to finalists (top 5) of the Best Student Research Paper Competition, Session of Financial Service, INFORMS,2015.
    ---Xin Liu won second prize of the Best Student Research Paper Competition, the 3rd Asian Quantitative Finance Conference, 2015.
  • Game Options Analysis of the Information Role of Call Policies in Convertible Bonds (with C. M. Leung and Y. K. Kwok). Applied Mathematical Finance, Vol. 22, pp. 297-335,2015. [full pdf] [abstract]
  • Optimal Double Stopping of a Brownian Bridge (with E. J. Baurdoux, B. A. Surya and K. Yamazaki). Advances in Applied Probability, Vol. 47, pp. 1212-1234,2015. [full pdf] [abstract]
  • American Option Sensitivity Estimation via a Generalized IPA Approach (with Y. Liu). Operations Research, Vol.62, pp.616–632, 2014. [full pdf] [abstract]
  • Localization and Exact Simulation of Brownian Motion Driven Stochastic Differential Equations (with Z. Huang). Mathematics of Operations Research, Vol. 38, pp. 591-616, 2013. [full pdf] [abstract]
  • Brownian Meanders, Importance Sampling and Unbiased Simulation of Diffusion Extremes (with Z. Huang). Operations Research Letters, 40, pp.554-563, 2012. [full pdf] [abstract]
  • A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call (with M. Dai and X. Wan).  Mathematical Finance, Vol. 23, pp.57-93, 2010. [full pdf] [abstract]
    ---Second place prize of the Best Student Research Paper Award Competition of the Financial Services Section, INFORMS, 2010.
  • Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (with N. Cai and X. Wan). Mathematics of Operations Research, Vol. 35, pp. 412-437, 2010. [full pdf] [abstract]
  • Credit Spread, Implied Volatility, and Optimal Capital Structures with Jump Risk and Endogenous Defaults (with S. Kou). Mathematical Finance, Vol. 19, pp. 343-378, 2009. [full pdf] [abstract]
    ---Second place prize of the Best Student Research Paper Award Competition of the Financial Services Section, INFORMS, 2006.
  • Pricing Double Barrier Options under a Flexible Jump Diffusion Model (with N. Cai and X. Wan). Operations Research Letters, Vol. 37, pp. 163-167, 2008. [full pdf] [abstract]
  • Malliavin Greeks without Malliavin Calculus (with P. Glasserman). Stochastic Processes and their Applications, Vol. 117, pp. 1689-1723, 2007. [full pdf] [abstract]
  • Additive and Multiplicative Duals for American Option Pricing (with P. Glasserman). Finance and Stochastics, Vol. 11, pp. 153-179, 2007. [full pdf] [abstract]
  • Refereed Conference Proceedings

  • Unbiased Monte Carlo Computation of Smooth Functions of Expectations via Taylor Expansions (with J. Blanchet and P.W. Glynn). Proceedings of the 2015 Winter Simulation Conference, pp.360-367, IEEE. [full pdf] [abstract]
  • Unbiased Simulation of Distributions with Explicitly Known Integral Transforms (with D. Belomestny and Y. Wang). Monte Carlo and Quasi-Monte Carlo Methods 2014, pp.229-244, Springer Proceedings in Mathematics & Statistics. [full pdf] [abstract]
  • Sensitivity Estimation of SABR Model via Derivative of Random Variable (with Y. Liu). Proceedings of the 2011 Winter Simulation Conference, pp.3871-3881, IEEE.
  • Pathwise Derivative Method on Single-Asset American Option Sensitivity Estimation (with Y. Liu). Proceedings of the 2010 Winter Simulation Conference, pp.2721-2731, IEEE.
  • A Wiener Measure Approach to Pricing Extreme Value Related Derivatives (with Z. Huang). Proceedings of the 2009 Winter Simulation Conference, pp. 1261-1271,IEEE.
  • Monte Carlo Simulation in Financial Engineering (with L.J. Hong). Proceedings of the 2007 Winter Simulation Conference, pp. 919-931, IEEE.
  • Refereed Book Chapters

  • Sensitivity Computations: Integration by Parts. Encyclopedia of Quantitative Finance, edited by Rama Cont, Johns Wiley & Sons, Ltd., West Sussex, UK, pp. 1636-1639. [full pdf] [abstract]