Lhabitant

Chen model

Model
The average first-stochastic and stochastic volatility model has been described by Chen Lin in 1996. The model and its various versions are still very popular on the market today. The model is a model of short rate. In general, it has the dynamics




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References
Chen Lin (1996). Dynamics of interest rates, prices of derivatives and risk management. Springer.
Chen Lin (1996). Stochastic volatility and stochastic medium - A three-factor model of the structure of interest rates and its application to the pricing of derivatives of interest rates. Blackwell Publishing.
Jessica James and Nick Webber (2000). Modelling interest rates. Wiely Finance.
Rajna Gibson, Francois-Serge Lhabitant and Denis Talay (2001). Modeling the structure of interest rates: A review of the literature. RiskLab, ETH.

Lin Chen

Prof. Chen holds a Ph.D. in economics / finance from Harvard University and a master's degree in organizational studies at Stanford University. He also has degrees in physics and computer science from two major universities in China.

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

Prof. Chen areas of expertise include: financial engineering, computational finance, computational statistics, pattern recognition, Agent-Based Simulation and Complexity Theory

Prof. Chen major scholarly works include: Interest Rates Dynamics, prices of derivatives and risk management. (Springer-Verlag, 1996), stochastic volatility and stochastic medium: A three-factor model of the structure of interest rates and its applications to derivatives pricing and risk management (financial markets, institutions and instruments, flight . 5, No. 1, 1-89. Oxford, UK and Cambridge, USA: Blackwell Publishers, 1996.)

In this work, Professor Chen then developed the first and now the semi-classical three-factor model of term structure of interest rates. Different variants of the model used by Chen in the world financial institutions, in this article, a review of the literature of finance in continuous time for the last 30 plus years, Chen has been listed with Cox-Ingersoll-Ross, Duffie , Hull & White, JM as a key contributor to the modeling of term structure (please see tables on pages 1582 and 1584). This database of mathematical finance also includes the work of Chen. This dissertation is devoted to recent comparative study of the model of Chen and Chen extended a model.

Professor Chen has been invited to deliver speeches or to produce documents by many international organizations, universities, financial institutions and government agencies. He also speaks at numerous conferences such as the ASSA meetings (Chicago), the risk of training courses (Sydney, Hong Kong and Tokyo), Conference on Financial Mathematics, University of Aarhus (Denmark), European Financial Management Association Reunion (France), Computational Economics Association meeting (Geneva), North American Econometric Society Meeting (Iowa), etc. In the list of speakers in a recent conference, Professor Chen has been ranked among the best practitioners in the world .

Professor 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 matters related to negotiation strategy, financial planning, risk management, valuation of securities, business simulations and business strategy.

Professor Chen has taught the following courses in finance and eco.