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CREDIT SPREADS, OPTIMAL CAPITA...
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Chen, Nan
20
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6
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4
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3
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3
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Management science : journal of the Institute for Operations Research and the Management Sciences
4
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3
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ECONIS (ZBW)
34
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan
;
Kou, Steven
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
Saved in:
2
Two problems in financial engineering
Chen, Nan
-
2006
Persistent link: https://www.econbiz.de/10003965291
Saved in:
3
Three essays on asymmetric information and corporate defaults
Chen, Nan
-
2004
Persistent link: https://www.econbiz.de/10003776800
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4
Additive and multiplicative duals for American option pricing
Chen, Nan
;
Glasserman, Paul
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
Saved in:
5
An efficient multivariate control charting mechanism based on SPRT
Ou, Yanjing
;
Chen, Nan
;
Khoo, Michael B. C.
- In:
International journal of production research
53
(
2015
)
7
,
pp. 1937-1949
Persistent link: https://www.econbiz.de/10010510179
Saved in:
6
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Chen, Nan
;
Huang, Zhengyu
- In:
Operations research letters
40
(
2012
)
6
,
pp. 554-563
Persistent link: https://www.econbiz.de/10009717283
Saved in:
7
A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
Yang, Nian
;
Chen, Nan
;
Wan, Xiangwei
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 256-288
Persistent link: https://www.econbiz.de/10012302594
Saved in:
8
An optimization view of financial systemic risk modeling : network effect and market liquidity effect
Chen, Nan
;
Liu, Xin
;
Yao, David D.
- In:
Operations research
64
(
2016
)
5
,
pp. 1089-1108
Persistent link: https://www.econbiz.de/10011594656
Saved in:
9
Contingent capital, tail risk, and debt-induced collapse
Chen, Nan
;
Glasserman, Paul
;
Nouri, Behzad
;
Pelger, Markus
- In:
The review of financial studies
30
(
2017
)
11
,
pp. 3921-3969
Persistent link: https://www.econbiz.de/10011755830
Saved in:
10
The principle of not feeling the boundary for the SABR model
Chen, Nan
;
Yang, Nian
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 427-436
Persistent link: https://www.econbiz.de/10012194662
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