Nan Chen

The Chinese University of Hong Kong (CUHK)

Shatin, N.T.

Hong Kong

Hong Kong

http://www.se.cuhk.edu.hk/people/nchen.html

SCHOLARLY PAPERS

12

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CITATIONS
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17

Scholarly Papers (12)

1.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 522 (51,179)
Citation 2

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contingent convertibles, bail-in, tail risks, rollover risk

2.

An Optimization View of Financial Systemic Risk Modeling: The Network Effect and the Market Liquidity Effect

Number of pages: 56 Posted: 08 Jul 2014 Last Revised: 29 Sep 2014
Nan Chen, Xin Liu and David Yao
The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University
Downloads 321 (91,474)

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Systemic risk, contagion, liquidity risk, financial network

3.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

Columbia Business School Research Paper No. 13-90
Number of pages: 49 Posted: 29 Nov 2013 Last Revised: 18 Jun 2015
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 266 (111,935)

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Contingent convertible debt, bail-in debt, capital structure, too big to fail

4.

American Option Sensitivities Estimation via a Generalized IPA Approach

Number of pages: 40 Posted: 04 May 2011 Last Revised: 27 Feb 2012
Nan Chen and Yanchu Liu
The Chinese University of Hong Kong (CUHK) and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 161 (180,051)

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American option, price sensitivities, Monte Carlo simulation, stochastic optimization, perturbation analysis

5.

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Number of pages: 45 Posted: 26 Nov 2010
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 144 (197,590)

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convertible bonds, stochastic non-zero-sum game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

6.

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Journal of Economic Dynamics and Control, Vol. 83, 2017
Number of pages: 22 Posted: 20 Oct 2016 Last Revised: 13 Sep 2017
Department of Finance and Insurance, Nanjing University, The Chinese University of Hong Kong (CUHK), Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 138 (204,464)

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SABR model; Approximate solution; Arbitrage-free option pricing; Perturbation method

7.

A New Delta Expansion for Multivariate Diffusions via the Ito-Taylor Expansion

Number of pages: 75 Posted: 18 Oct 2017 Last Revised: 10 Jan 2019
Nian Yang, Nan Chen and Xiangwei Wan
Department of Finance and Insurance, Nanjing University, The Chinese University of Hong Kong (CUHK) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 65 (334,956)

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closed-form density expansion, delta expansion, Ito-Taylor expansion, multivariate diffusions, maximum likelihood estimation

8.

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Number of pages: 38 Posted: 29 Nov 2013
Hong Kong University of Science & Technology (HKUST), The Chinese University of Hong Kong (CUHK) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 53 (370,027)

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convertible bonds, call provision, signaling equilibrium, game options

9.

The Principle of Not Feeling the Boundary for the SABR Model

Number of pages: 21 Posted: 01 Mar 2018
Nan Chen and Nian Yang
The Chinese University of Hong Kong (CUHK) and Department of Finance and Insurance, Nanjing University
Downloads 44 (400,120)

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SABR model, Probability of hitting zero, Principle of not feeling the boundary, Time-changed Bessel process

10.

Density Approximations for Multivariate Diffusions via an Itô-Taylor Expansion Approach

Number of pages: 44 Posted: 16 Oct 2017
Nian Yang, Nan Chen and Xiangwei Wan
Department of Finance and Insurance, Nanjing University, The Chinese University of Hong Kong (CUHK) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 2 (621,223)

Abstract:

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Density Approximations, Maximum Likelihood Estimation, Multivariate Time-Inhomogeneous Diffusions,Closed-Form Expansion, Itô-Taylor Expansion, Convergence

11.

A Nonzero‐Sum Game Approach to Convertible Bonds: Tax Benefit, Bankruptcy Cost, and Early/Late Calls

Mathematical Finance, Vol. 23, Issue 1, pp. 57-93, 2013
Number of pages: 37 Posted: 10 Jan 2013
Nan Chen, Min Dai and Xiangwei Wan
The Chinese University of Hong Kong (CUHK), National University of Singapore (NUS) - Department of Mathematics and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 1 (633,216)
Citation 1
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convertible bonds, stochastic game, Nash equilibrium, tax benefit, credit risk, late and early calls, variational inequalities

12.

Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk

Mathematical Finance, Vol. 19, Issue 3, pp. 343-378, July 2009
Number of pages: 36 Posted: 30 Jun 2009
Nan Chen and S. G. Kou
The Chinese University of Hong Kong (CUHK) and affiliation not provided to SSRN
Downloads 1 (633,216)
Citation 14
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