Nan Chen

Finance · with Glasserman · 2007–2009

A researcher in the Science corpus: 2 papers; trusts 9 researchers and is trusted by 8 researchers here, as inferred from the citation graph.

Subfields

• Finance — 27 citations into it; #4,568 of 10,518 by trust here, #7,920 by citations
• Economics and Econometrics — 7 citations into it; #11,285 of 23,481 by trust here, #22,128 by citations

Whom Nan Chen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Rama Cont
2. Eric Benhamou
3. Peter Tankov
4. Mark H. A. Davis
5. Paul Glasserman
6. Kay Giesecke
7. Steven Kou
8. Pierre Collin-Dufresne
9. Robert S. Goldstein
10. Emmanuel Gobet

Who trusts Nan Chen overall

1. Ilya M. Sobol
2. Shakir Mohamed
3. Sergei S. Kucherenko
4. Steven Kou
5. Mihaela Rosca
6. Zhiguo He
7. Michael Figurnov

Papers from Nan Chen's perspective

Ordered by how strongly the researchers Nan Chen trusts endorse each paper. Same corpus, a different order for every researcher.

1. Monte Carlo Methods in Financial Engineering
2. Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus
3. Financial Modelling with Jump Processes
4. Stochastic processes with applications to finance
5. Handbook of Mathematical Functions with Formulas, Graphs,
6. Optimal Malliavin Weighting Function for the Computation of the Greeks
7. Malliavin Monte Carlo Greeks for jump diffusions
8. The Pricing of Options and Corporate Liabilities
9. A Jump-Diffusion Model for Option Pricing (Management Sciences)
10. Financial Modelling with Jump Processes

Their papers

• Malliavin Greeks without Malliavin calculus (2007) — 83 citations
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009) — 176 citations