Zhanyu Chen

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

612

TOTAL CITATIONS

0

Scholarly Papers (3)

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), JPMorgan Chase & Co and Shanghai University of Finance and Economics
Downloads 528 (109,748)

Abstract:

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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.

A Skellam Market Model for Loan Prime Rate Options

Journal of Futures Markets, 42(3), 525-551, 2022​​
Number of pages: 38 Posted: 10 May 2022 Last Revised: 28 Jul 2023
Zhanyu Chen, Kai Zhang and Hongbiao Zhao
London School of Economics & Political Science (LSE), JPMorgan Chase & Co and Shanghai University of Finance and Economics
Downloads 84 (608,687)

Abstract:

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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

3.

Market Probability of Interest Rate Tick Movements

Journal of Derivatives, 2025
Posted: 09 Aug 2022 Last Revised: 22 Sep 2024
Anxin Liu, Zhanyu Chen, Kai Zhang and Hongbiao Zhao
Shanghai University of Economics and Finance, London School of Economics & Political Science (LSE), JPMorgan Chase & Co and Shanghai University of Finance and Economics

Abstract:

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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, Convexity adjustment