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福坦莫导师

chen, ren-raw


    邮件：rchen@fordham.edu phone number: 212-636-6471 office location: 45 columbus avenue, room 606 new york, ny 10023
教授综述
field:finance and business economics
ren-raw chen specializes in modeling term structure of interest rates and credit risks, automating pricing models for trading desks and rating agencies, deriving closed-form solutions, implementing lattice and monte carlo simulations, and complex calibrations. professor chen has published papers in major finance and professional journals. he has implemented pric...
field:
field:finance and business economics
ren-raw chen specializes in modeling term structure of interest rates and credit risks, automating pricing models for trading desks and rating agencies, deriving closed-form solutions, implementing lattice and monte carlo simulations, and complex calibrations. professor chen has published papers in major finance and professional journals. he has implemented pric...
field: finance and business economics
ren-raw chen specializes in modeling term structure of interest rates and credit risks, automating pricing models for trading desks and rating agencies, deriving closed-form solutions, implementing lattice and monte carlo simulations, and complex calibrations. professor chen has published papers in major finance and professional journals. he has implemented pricing models for financial companies, including credit derivatives pricing models for lehman brothers, structural default models for moody's kmv, convertible bond and fixed-income derivatives models for grand cathy securities corporation, and a two-factor hjm model for polypaths software.professor chen received his phd in finance from the university of illinois at urbana-champaign. he has taught at rutgers, the state university of new jersey; university of pittsburgh; national taiwan university; and hong kong university. he has worked at jp morgan, lehman brothers, grand cathy securities corporation, moody's kmv, black rock and morgan stanley
学科：金融与商业经济
陈教授专门从事构建利率及信用风险方面的模型，为交易平台及评级机构设计自动定价模型，导出隐函数表达式、应用莱迪思与蒙特卡洛模拟矩阵，以及复杂的校对。陈教授曾在重要的金融及专业期刊上发表过文章。他为金融公司建立不同的价格模型，包括为雷曼兄弟设计的信用衍生品定价模型、为穆迪kmv设计的信用系统模型、为凯西证券公司设计的可转换债券及固定收益衍生工具模型、以及为polypaths软件公司设计的双因素hjm软件。陈教授曾在伊利诺伊大学厄本那香槟分校获得金融学博士学位，他分别再罗格斯大学、新泽西州立大学、匹兹堡大学、台湾大学以及香港大学教书。也在jp摩根、雷曼兄弟、凯西大证券公司、穆迪kmv、黑石以及摩根斯坦利就职。
现任
教授的课程
研究领域
financial modeling; derivatives; credit risk; term structure of interest rates 金融建模;衍生品; 信用风险; 利率的期限结构
教育背景
工作经历
荣誉
学术论文
著作
“an explicit, multi-factor credit default swap pricing model with correlated factors,” with xiaolin cheng, frank fabozzi,

  • and bo liu, journal of financial and quantitative analysis, march 2008.

  • “optimal strike prices of stock options for effort-averse executives,” with oded palmon, sasson bar-yosef, and itzhak venezia, journal of banking and finance, february 2008, vol. 32 (2), pp. 229~239.

“market risk of mortgage-backed securities with consistent measures,” with h. liao and tyler yang, journal of real estate finance and economics, vol. 35, no. 1, 2008.
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