Zhanyu Chen

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Loan Prime Rate Options

Number of pages: 36 Posted: 12 Jun 2020 Last Revised: 04 Aug 2020
Zhanyu Chen, Kai Zhang and Hongbiao Zhao
London School of Economics & Political Science (LSE), UBS Investment Bank and Shanghai University of Finance and Economics
Downloads 439 (103,380)

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Loan prime rate (LPR); Loan prime rate option; Skellam market model; Implied intensity; Intensity smile; Intensity frown; Intensity skew; China's markets

2.

Market Probability of Interest Rate Tick Movements

Number of pages: 43 Posted: 09 Aug 2022 Last Revised: 09 Sep 2022
Anxin Liu, Zhanyu Chen, Kai Zhang and Hongbiao Zhao
Shanghai University of Economics and Finance, London School of Economics & Political Science (LSE), UBS Investment Bank and Shanghai University of Finance and Economics
Downloads 61 (536,452)

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Policy rate, China's markets, Loan prime rate (LPR), Loan prime rate option, Delta negative binomial models, Delta negative binomial (DNB) distribution, Risk-neutral probability mass distribution, Incomplete market, Optimal martingale measure, Minimal entropy measure

3.

A Skellam Market Model for Loan Prime Rate Options

Journal of Futures Markets
Number of pages: 38 Posted: 10 May 2022
Zhanyu Chen, Kai Zhang and Hongbiao Zhao
London School of Economics & Political Science (LSE), UBS Investment Bank and Shanghai University of Finance and Economics
Downloads 29 (711,793)

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Loan prime rate (LPR), Loan prime rate option, Skellam market model, Implied intensity, Intensity smile, Intensity frown, Intensity skew, Prescheduled macroeconomic announcements, China's markets