Lin Chen
From Wikipedia, the free encyclopedia
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 centanial reivew 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 systemic techniques to implement advanced algorithms and models in financial engineering, computational finance and actuaries, (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.
[edit] References
- Jessica James and Nick Webber (2000). Interest Rate Modeling. Wiley Finance.
- Rajna Gibson,François-Serge Lhabitant and Denis Talay (2001). Modeling the Term Structure of Interest Rates: A Review of the Literature. RiskLab, ETH.
- Sunderasan. Continuous-Time Methods in Finance: A Review and an Assessment (http://ideas.repec.org/p/fth/colubu/00-03.html).
