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


Nan Chen is Professor of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. His research interests include financial engineering and FinTech, particularly 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, and so on. 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, exotic option pricing under jump diffusion models, the dual methods for stochastic dynamic programs. Currently, he is mainly focusing on modeling of systemic contagion and liquidity risk, complex social and financial network, single- and multi-agent reinforcement learning, Monte Carlo methods in stochastic control and learning, and Ito-Taylor expansions for jump diffusion models. 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 Operations Research, Mathematical Finance, International Review of Finance, Digital Finance and has chaired/been a member of the program committees of a variety of 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 and a panel member of the Insurance 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工程和金融科技,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,隨機動態規劃的對偶方法,和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,單智能體和多智能體強化學習,蒙特卡洛方法在隨機控制和學習中的應用, 以及多元跳躍擴散模型的Ito-Taylor展開。他的研究多次得到了香港研究資助局優配研究金的資助。

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年取得哥倫比亞大學運籌專業博士學位,博士論文的部分內容在INFORMS 金融服務領域榮獲最佳學生論文二等獎。 2007-2008年擔任Operations Research Letters副編輯,現擔任Operations Research, Mathematical Finance, International Review of Finance, Digital Finance等數家雜誌副編輯, 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,擔任會議主席和學術委員會委員。陳教授的研究團隊在多元擴散模型的Ito-Taylor展開上的研究於2022年獲得江蘇省第十七屆哲學社會科學優秀成果獎二等獎。

陳南教授現在為香港中文大學金融科技學工程學士學位項目主任,它是香港首個致力於在金融科技領域提供全面的本科教育的項目。陳教授同時擔任香港中文大學深圳校區金融工程理學碩士項目主管。在社會服務方面,陳教授被受邀任命為香港支付系統及儲值支付工具上訴審裁處委員以及財經事務及庫務局保險事務上訴審裁處成員。陳教授同時也是香港研究資助局工程學學科小組委員之一。陳教授亦積極參與研究成果轉化,他與山西證券股份有限公司的合作項目“人工智能下的債券違約預測和風險評級”在上海證券交易所證券信息技術研究發展中心2021年度行業共研課題評審中獲得三等獎。他也是上海市科委長三角科技創新共同體聯合攻關項目專家顧問委員會成員。

Selected Publications

  • Robust Risk Quantification via Shock Propagation in Financial Networks(with D. Ahn and K.-K. Kim). Forthcoming in Operations Research, 2023
  • 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.