Lin Chen

Lin Chen

Lin Chen is a Harvard-educated economist.

In 1994, Dr. Chen developed then the first and now the semi classic three factor model of the term structure of interest rates. Different variants of Chen model are being used in financial institutions worldwide. In this centennial review of modern finance (Continuous-Time Methods in Finance: A Review and an Assessment (http://ideas.repec.org/p/fth/colubu/00-03.html)), Lin Chen is listed along with Robert C. Merton, O. Vesicek, John C. Cox, Stephen A. Ross, Darrell Duffie, John Hull, Robert A. Jarrow, and Francis Longstaff as a leading scholar in term-structure modeling.

Another contribution of Dr. Chen to the financial industry and academia is to develop the so-called Modeling without Programming techniques. Specifically, Prof. Chen invented sophisticated techniques to implement advanced algorithms and models in financial engineering, computational finance and actuarial science, (such as Monte Carlo simulations, EVT, Copulas, and MCMC) in Excel spreadsheets using Excel’s functions only. These advanced models are normally implemented by serious programming tools such as C, JAVA or Matlab. Prof. Chen’s contribution makes it possible for those who can’t code to learn advanced models in finance and insurance.

Besides being a practitioner and academic in finance, Prof. Chen is also a talented physicist and accomplished artist. In 2002, Lin Chen made a national headline in his home country as a highest paid college president in China. However, his ambitious campaign to introduce American style college to China was aborted abruptly as he fell a victim of bad journalism in China.

References

* cite book | author = Jessica James and Nick Webber | year = 2000 | title = Interest Rate Modeling
publisher = Wiley Finance
*
*cite book | author=Sunderasan |title=Continuous-Time Methods in Finance: A Review and an Assessment (http://ideas.repec.org/p/fth/colubu/00-03.html)

ee also

*Financial engineering
*Mathematical finance


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