cv of lin chen, who developed "chen model", a three factor model of the term structure of interest rates

Chen model

The model

The first stochastic mean and stochastic volatility model was described by Lin Chen in 1996. The model and its different versions are still popular in the market today. The model is a short-rate model. In general, it has dynamics

, , .

References

Lin Chen (1996). Interest Rate Dynamics, Derivatives Pricing, and Risk Management. Springer.

Lin Chen (1996). Stochastic Mean and Stochastic Volatility -- A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives. Blackwell Publishers.

Jessica James and Nick Webber (2000). Interest Rate Modelling. Wiely Finance.

Rajna Gibson,François-Serge Lhabitant and Denis Talay (2001). Modeling the Term Structure of Interest Rates: A Review of the Literature. RiskLab, ETH.

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  • 1 decade ago
    Favorite Answer

    Lin Chen

    Prof. Chen holds a PhD in economics/finance from Harvard University and MA in organizational studies from Stanford University. He also has degrees in physics and computer science from two leading universities in China.

    Since 1993, Chen has worked for Merrill Lynch, Credit Lyonnais, Federal Reserve Board, Hedge Fund, Singapore, Harvard. Prof. Chen was also president of a private college in China for one year.

    Prof. Chen's areas of expertise include: Financial Engineering, Computational Finance, Computational Statistics, Pattern Recognition, Agent-Based Simulations, and Theory of Complexity

    Prof. Chen’s major scholarly works include: Interest Rates Dynamics, Derivatives Pricing, and Risk Management. (Springer-Verlag, 1996), Stochastic Mean and Stochastic Volatility: A Three-Factor Model of the Term Structure of Interest Rates and Its Applications in Derivatives Pricing and Risk Management (Financial Markets, Institutions and Instruments, Vol. 5, No.1, 1-89. Oxford, UK and Cambridge, USA: Blackwell Publishers, 1996.)

    In these works, Prof Chen developed then the first and now the semi classic three factor model of the term structure of interest rates. Different variants of Chen model are being used in financial institutions worldwide, In this article, a literature survey of continuous time finance for the last 30 plus years, Chen was listed along with Cox-Ingersoll-Ross, Duffie, Hull&White, JM as a key contributor to term structure modeling (please see the tables on pages 1582 and 1584). This database of mathematical finance also includes Chen’s work. This recent doctoral dissertation is devoted to the comparative study of Chen model and an extended Chen model.

    Prof. Chen has been invited to deliver speeches or present papers by many international organizations, universities, financial institutions, and government agencies. He also speaks at numerous conferences, such as the ASSA Meetings, (Chicago), Risk Training Courses (Sydney, Hong Kong, and Tokyo), Conference on Mathematical Finance, University of Aarhus (Denmark), European Financial Management Association Meeting (France), Computational Economics Association Meeting (Geneva), North American Econometric Society Meeting (Iowa), etc. In this list of speakers of a recent conference, Prof Chen was listed among the top practitioners in the world.

    Prof. Chen is frequently consulted by financial institutions and consulting firms worldwide, including Citibank, Swiss Bank Corporation, Credit Lyonnais, Chase Manhattan Bank, Goldman Sachs, Solomon Brothers, GE Capital, Swiss Reinsurance, McKinsey&Company, and Bain&Company, on the matters related to trading strategy, financial planning, risk management, securities pricing, business simulations, and corporate strategy.

    Professor Chen has taught the following courses in finance and economics at undergraduate,MBA/EMBA and PhD levels: Continuous-Time Theory of Finance, Computational Finance, Financial Econometrics, Risk Management, Credit Risk Modeling, Management of Financial Institutions, Monte Carlo Simulations in Financial Engineering, Managerial Economics, Investments, Fixed Income Securities, Financial Economics, Applied Economics,and Microeconomics.

    Prof. Chen is an exceptionally gifted scholar. As a sophomore majored in computer science, Mr. Chen was so obsessed with Albert Einstein that he started to teach himself theoretical physics. In three months, he had studied all the courses for a 4-year Bachelor program in physics. His story was then reported by a national newspaper in China. Even more impressive, Mr. Chen took another three months to finish all the coursework required for a PhD in theoretical physics.

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    4 years ago

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    Lv 4
    5 years ago

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  • 5 years ago

    This is good

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