Shatin, N.T.
Hong Kong
http://www.se.cuhk.edu.hk/people/nchen.html
The Chinese University of Hong Kong (CUHK)
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contingent convertibles, bail-in, tail risks, rollover risk
Systemic risk, contagion, liquidity risk, financial network
Contingent convertible debt, bail-in debt, capital structure, too big to fail
SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method
American option, price sensitivities, Monte Carlo simulation, stochastic optimization, perturbation analysis
convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities
closed-form density expansion, delta expansion, Ito-Taylor expansion, multivariate diffusions, maximum likelihood estimation
stochastic dynamic programming; information relaxation; Monte Carlo method; optimal execution; inventory management
SABR model, Probability of hitting zero, Principle of not feeling the boundary, Time-changed Bessel process
convertible bonds, call provision, signaling equilibrium, game options
Fire sales, heterogeneous responses, market participants, redemption pressure.
Risk quantification, Financial network, Robust optimization, Information uncertainty
