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

9

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CITATIONS
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Top 18,661

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17

Scholarly Papers (9)

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 234 (53,521)
Citation 2

Abstract:

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 D. 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 152 (88,182)

Abstract:

Systemic risk, contagion, liquidity risk, financial network

3.

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 110 (169,537)

Abstract:

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

4.

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 102 (179,032)

Abstract:

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

5.

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 100 (145,587)

Abstract:

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

6.

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

Number of pages: 38 Posted: 29 Nov 2013
Hong Kong Baptist University (HKBU) - Department of Mathematics, The Chinese University of Hong Kong (CUHK) and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 33 (327,208)

Abstract:

convertible bonds, call provision, signaling equilibrium, game options

7.

A Nonzero‚ÄźSum 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 (522,451)
Citation 1

Abstract:

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

8.

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 (522,451)
Citation 14

Abstract:

9.

Approximate Arbitrage-Free Option Pricing Under the SABR Model

Number of pages: 33 Posted: 20 Oct 2016
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 0 (273,023)

Abstract:

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