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
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Nan Chen is Professor of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. His research interests are quantitative methods in finance and risk management, Monte Carlo simulation, and applied probability. He has published in top journals and referred conference proceedings in the fields of operations research and quantitative finance, such as Review of Financial Studies, Journal of Econometrics, Operations Research, Mathematics of Operations Research, Mathematical Finance, Finance and Stochastics, Journal of Economic Dynamics and Control. The previous research topics included credit spread modeling, stochastic differential game in convertible security pricing, Monte Carlo methods in American option pricing and the related sensitivity analysis, simulation of stochastic differential equations, and exotic option pricing under jump diffusion models. Currently, he is mainly focusing on modeling of systemic contagion and liquidity risk, complex social and financial network, and Monte Carlo method in stochastic control and learning. Part of his research is supported by the scheme of General Research Fund, Hong Kong Research Grant Council.

Prof. Chen received his Ph.D. in operations research from Columbia University in 2006, and M.S. and B.S. in probability and statistics from Peking University, Beijing, China in 2001 and 1998, respectively. He was a second place price recipient of the Best Student Research Paper Award, Financial Services Section, INFORMS, 2006. He served as associate editor for Operations Research Letters from 2007-2008. He is now an associate editor of Mathematical Finance, International Review of Finance, Digital Finance and has chaired/been a member of the program committees of several international conferences on quantitative finance and Monte Carlo simulation.

Prof. Chen now serves as director of the Bachelor of Engineering Program in Financial Technology at CUHK. The program is the first of its kind in Hong Kong to offer comprehensive undergraduate education in FinTech. He is also director of Master of Science Program in Financial Engineering at CUHK Shenzhen. For public service, Prof. Chen is now a member of the Payment Systems and Stored Value Facilities Appeals Tribunal in Hong Kong. He is also a member of Engineering Panel of the Research Grants Council (RGC), Hong Kong.

陳南現任香港中文大學系統工程與工程管理系教授。他的研究興趣包括金融風險管理中的定量方法,蒙特卡洛模擬和應用概率。有二十餘篇文章發表在 Review of Financial Studies, Journal of Econometrics, Operations Research, Mathematics of Operations Research, Mathematical Finance, Finance and Stochastics, Journal of Economic Dynamics and Control 等運籌和數理金融領域的頂級期刊和會議論文集。陳教授之前的研究課題涵蓋信用利差模型, 可轉換證券定價的隨機微分博弈,美式期權定價的蒙特卡洛方法及其敏感性分析,隨機微分方程模擬,跳擴散模型中的奇異期權定價。當前,他主要關注於系統性傳染和流動性風險的建模,複雜的社交和金融網絡,以及蒙特卡洛方法在隨機控制和學習中的應用。他的部分研究得到了香港研究資助局優配研究金的資助 (七次)。

陳南教授分別於1998年和2001年獲得北京大學概率統計專業學士學位和碩士學位,並於2006年獲得哥倫比亞大學運籌專業博士學位。 2006年獲得INFORMS 金融服務領域最佳學生論文二等獎。 2007-2008年擔任Operations Research Letters副編輯,現擔任Mathematical Finance, International Review of Finance, Digital Finance 副編輯, 同时陳南教授組織參與了多次定量金融和蒙特卡洛模擬領域的國際學術會議。


Selected Publications

  • 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
  • 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.
  • An Optimization View of Financial Systemic Risk Modeling: The Network Effect and the Market Liquidity Effect (with X. Liu and D.D.Yao). Operations Research, Vol. 64, pp. 1089-1108, 2016.
  • American Option Sensitivity Estimation via a Generalized IPA Approach (with Y. Liu). Operations Research, Vol. 62, pp. 616–632, 2014.
  • Localization and Exact Simulation of Brownian Motion Driven Stochastic Differential Equations (with Z. Huang). Mathematics of Operations Research, Vol. 38, pp. 591-616, 2013
  • 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.
  • 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.
  • 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.
  • Malliavin Greeks without Malliavin Calculus (with P. Glasserman). Stochastic Processes and their Applications, Vol. 117, pp. 1689-1723, 2007.
  • Additive and Multiplicative Duals for American Option Pricing (with P. Glasserman). Finance and Stochastics, Vol. 11, pp. 153-179, 2007.