Chen Nan

Nan Chen

Information about the author Nan Chen will soon be added to the site.
Found 8 papers in total
Exact Simulation of the SABR Model
Exact Simulation of the SABR Model
2017
The stochastic alpha‐beta‐rho (SABR) model becomes popular in the...
An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
2016
Financial institutions are interconnected directly by holding debt claims against each...
Localization and Exact Simulation of Brownian Motion‐Driven Stochastic Differential Equations
Localization and Exact Simulation of Brownian Motion‐Driven Stochastic Differential Equations
2013
Generating sample paths of stochastic differential equations (SDE) using the Monte...
Reliability modeling and analysis for a novel design of modular converter system of wind turbines
Reliability modeling and analysis for a novel design of modular converter system of wind turbines
2013
Converters play a vital role in wind turbines. The concept of modularity is gaining in...
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
2012
Computing expected values of functions involving extreme values of diffusion processes...
Performance analysis of queue length monitoring of M/G/1 systems
Performance analysis of queue length monitoring of M/G/1 systems
2011
This study investigates the statistical process control application for monitoring...
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
2010
In this paper, we provide Laplace transform-based analytical solutions to pricing...
Pricing double-barrier options under a flexible jump diffusion model
Pricing double-barrier options under a flexible jump diffusion model
2009
In this paper we present a Laplace transform-based analytical solution for pricing...
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