Full name: Bin Chen
Formal name: B. Chen
Function: PhD student
Email: B.Chen@cwi.nl
Telephone +31(0)20 592 4247
Room: L141
Research groups:
(MAC2) Scientific Computing and Control Theory
Formal name: B. Chen
Function: PhD student
Email: B.Chen@cwi.nl
Telephone +31(0)20 592 4247
Room: L141
Research groups:
(MAC2) Scientific Computing and Control Theory
Career
| 2010 - 2012 | PhD student MAC2 - Scientific Computing and Control Theory |
| 2008 - 2009 | PhD student MAS2 - Scientific Computing and Control Theory |
Recent Publications
| B. Chen, L.A. Grzelak, C.W. Oosterlee. Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives. Journal of Computational Finance, 2012. |
| B. Chen, C.W. Oosterlee, J.A.M. van der Weide. A low-bias simulation scheme for the SABR stochastic volatility model. International Journal of Theoretical and Applied Finance, 2012. |
| B. Chen, C.W. Oosterlee, S. van Weeren. Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model. International Journal of Theoretical and Applied Finance 13, 1019–1046, 2010. |
