• CHEN, Son-Nan

    Affiliate Professor

  • Email:

    snchen@saif.sjtu.edu.cn

  • 　　

    　　

  • Support Staff:

    Iris Lei

  • Support Staff Email:

    hlei@saif.sjtu.edu.cn

  • Research Interests

    Options Futures and Financial Derivatives, Investment Analysis and Portfolio Theory, International Finance, Corporate Finance, Capital Markets Theory, Statistics, Econometrics.

Son-Nan Chen is an Affiliate Professor at Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. He was a Full-Time Term Professor at SAIF. Before joining SAIF, he was Chairman and Chair Professor of Finance and Director of Research Center on Financial Engineering in Chengchi University. Before returning to Asia, Professor Chen was a tenured Professor of Finance at the University of Maryland, College Park.
 
Professor Chen's research focuses on options, futures and derivatives products, investment analysis and portfolio theory, international finance, corporate finance, capital market theory, statistics and econometrics. He has published a good number of research papers in top academic journals, such as Journal of Finance, Journal of Financial and quantitative Analysis (JFQA), Management Science, Journal of Futures Markets, Journal of Derivatives ,Insurance: Mathematics and Economics, Quantitative Finance, European Journal of Finance, etc. He has acted as editors for journals like Advances in Investment Analysis, Portfolio Management and Global Finance Journal and etc. 
 
Professor Chen also serves on professional associations, such as American Finance Association and Financial Management Association. 
 
Professor Chen offers courses "Financial Engineering", "Risk Management", "Derivative Securities", "Structured Product Design and Innovation (SPDI): Case  Study",  and "Alternative Investments and Hedge Fund Strategies" at SAIF. He has also published more than ten books on options, Financial Engineering, Fixed-income Securities, Structured Products Design and Innovation, Credit Risk Derivatives, Risk Management, Bond and Interest Rate Structured Products, etc.

Professor Chen holds a Ph.D. in Financial Economics, Mathematical Statistics and Econometrics (1976) from University of Georgia.


Journal Publications

1. Chen, Son Nan, and Pao Peng Hsu, 2025, The Business Cycle’s Impact on Volatility Forecasting: Recapturing Intrinsic Jump Components, Risks.

2. Chen, Son Nan, Pao Peng Hsu, and Kuo Yuan Liang, 2024, Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching, European Journal of Finance.

3. Chen, Sonnan, and Yuchi Gu, 2021, Jump, diffusion, and long-term volatility risks with incremental information in VIX assets, Journal of Derivatives.

4. Chen, Sonnan, and Yuchi Gu, 2021, Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property, Review of Quantitative Finance and Accounting.

5. Chen, Son Nan, Pao Peng Hsu, and Kuo Yuan Liang, 2019, Option pricing and hedging in different cyclical structures: a two-dimensional Markov-modulated model, European Journal of Finance.

6. Chen, Son Nan, and Pao Peng Hsu, 2018, Pricing inflation-indexed derivatives with default risk, European Journal of Finance.

7. Tang, Mei Ling, Son Nan Chen, Gene C. Lai, and Ting Pin Wu, 2018, Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee, Insurance: Mathematics and Economics.

8. Chen, Son Nan, and Pao Peng Hsu, 2018, Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model, International Review of Economics and Finance.

9. Chiang, Mi Hsiu, Chang Yi Li, and Son Nan Chen, 2016, Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy, Review of Quantitative Finance and Accounting.

10. Li, Chang Yi, Son Nan Chen, and Shih Kuei Lin, 2016, Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium, European Journal of Finance.

11. Chen, Son Nan, Pao Peng Hsu, and Chang Yi Li, 2016, Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion, Quantitative Finance.

12. Chang, Jui Jane, Son Nan Chen, Chun Chao Wang, and Ting Pin Wu, 2014, Barrier Caps and Floors under the LIBOR Market Model with Double Exponential Jumps, Journal of Derivatives.

13. Hsieh, Tsung Yu, Chi Hsun Chou, and Son Nan Chen, 2014, Valuation of guaranteed contracts set relative to cross-currency stochastic rates of return, Asia-Pacific Journal of Financial Studies.

14. Chen, Son Nan, Mi Hsiu Chiang, Pao Peng Hsu, and Chang Yi Li, 2014, Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model, Finance Research Letters.

15. Chang, Jui Jane, Son Nan Chen, and Ting Pin Wu, 2013, Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM, Journal of Futures Markets.

16. Chang, Jui Jane, Son Nan Chen, and Ting Pin Wu, 2012, A Note to Enhance the BPW Model for the Pricing of Basket and Spread Options, Journal of Derivatives.

17. Tang, Mei Ling, and 松男 陈, 2012, Estimation Risk and Optimal Portfolio Construction in a Lognormal-Securities Market: A Simple Rule, Journal of Financial Studies.

18. Wu, Ting Pin, and Son Nan Chen, 2011, Valuation of CMS spread options with nonzero strike rates in the LIBOR market model, Journal of Derivatives.

19. Wu, Ting Pin, and Son Nan Chen, 2010, Modifying the LMM to price constant maturity swaps, Journal of Derivatives.

20. Chiu, Yu fen, Son Nan Chen, and Ming hua Hsieh, 2010, Fast algorithms for pricing ratchet equity indexed annuities, International Research Journal of Finance and Economics.

21. 謝, 宗佑, and 松男 陳, 2010, Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model, 財務金融學刊.

22. Wu, Ting Pin, and Son Nan Chen, 2009, Analytical valuation of barrier interest rate options under market models, Journal of Derivatives.

23. Wu, Ting Pin, and Son Nan Chen, 2009, Valuation of interest rate spread options in a multifactor LIBOR market model, Journal of Derivatives.

24. Wu, Ting Pin, and Son Nan Chen, 2008, Valuation of floating range notes in a LIBOR market model, Journal of Futures Markets.

25. Chen, Son Nan, Shyan Yuan Lee, Hui Hwang Tsai, and Wei Hsiung Wu, 2008, Extend The Debt As It Is Not Deeply Out-Of-The-Money, Economics Bulletin.

26. 陈,, 松男, 2008, Quanto Average Rate Options in a Lognormal Interest Rate Model, 台湾财务金融学刊.

27. Wu, Ting Pin, and Son Nan Chen, 2007, Cross-currency equity swaps in the BGM model, Journal of Derivatives.

28. Wu, Ting Pin, and Son Nan Chen, 2007, Equity swaps in a LIBOR market model, Journal of Futures Markets.

29. 陳松男(Son-Nan Chen), 1999, 在间断性避险及交易成本下的选择权评价模型：以实务观点修正理论, 風險管理學報.

30. Chen, Son Nan, and Kisuk Jeon, 1998, Mean reversion behavior of the returns on currency assets, International Review of Economics and Finance.

31. Byun, Jong Cook, and Son Nan Chen, 1997, The effect on a firm's financing and investment decisions of differential taxation as barriers to international investment, Review of Quantitative Finance and Accounting.

32. Byun, Jong Cook, and Son Nan Chen, 1996, International real interest rate parity with error correction models, Global Finance Journal.

33. Chen, Son Nan, and Hoyoon Jang, 1994, On selectivity and market timing ability of U.S.-based international mutual funds: Using refined Jensen's measure, Global Finance Journal.

34. Chen, Son Nan, S. J. Chang, and William T. Moore, 1994, The effect of uncertain inflation on firm value in a multiperiod economy, Review of Quantitative Finance and Accounting.

35. Chang, S. J., and Son Nan Chen, 1991, Information effects of earnings and dividend announcements on common stock returns: Are they interactive?, Journal of Economics and Business.

36. Chen, Son‐Nan ‐N, 1991, Optimal Asset Abandonment and Replacement: Tax and Inflation Considerations, Financial Review.

37. Chang, Eric C., Chao Chen, and Son‐Nan Chen, 1990, Risk and return in copper, platinum, and silver futures, Journal of Futures Markets.

38. Chang, S. J., and Son‐Nan ‐N Chen, 1989, A Study of Call Price Behavior under a Stationary Return Generating Process, Financial Review.

39. Chen, Son-Nan, 1987, Simple optimal asset allocation under uncertainty, Journal of Portfolio Management.

40. Keown, Arthur J., JOHN M. PINKERTON, and SON NAN CHEN, 1987, Portfolio Selection Based Upon P/E Ratios: Diversification, Risk Decomposition and Implications, Journal of Business Finance and Accounting.

41. Chen, Son Nan, 1986, An Intertemporal Capital Asset Pricing Model Under Heterogeneous Beliefs, Journal of Economics and Business.

42. Chen, Son‐Nan ‐N, and Arthur J. Keown, 1985, GROUP EFFECTS AND BETA NONSTATIONARITY, Journal of Business Finance and Accounting.

43. Pari, Robert A., and Son-Nan Chen, 1985, Estimation risk and optimal portfolios, Journal of Portfolio Management.

44. Aggarwal, Reena, and Son‐Nan ‐N Chen, 1985, THE SPEED OF ADJUSTMENT OF STOCK PRICES TO NEW INFORMATION, Financial Review.

45. Subramanian, N., and Son‐Nan ‐N Chen, 1985, OPTIMAL PORTFOLIO REVISION INTERVAL AND ITS DETERMINANTS, Financial Review.

46. Chen, Son‐Nan ‐N, and William T. Moore, 1985, UNCERTAIN INFLATION AND OPTIMAL PORTFOLIO SELECTION: A SIMPLIFIED APPROACH, Financial Review.

47. Moore, William T., and Son‐Nan ‐N Chen, 1984, Implementation of Optimal Portfolio Selection Under Uncertain Inflation, Financial Review.

48. Chen, Son Nan, 1984, Capital budgeting and uncertain inflation, Journal of Economics and Business.

49. Chen, Son‐Nan ‐N, and William T. Moore, 1984, MULTI‐PERIOD ASSET PRICING: THE EFFECTS OF UNCERTAIN INFLATION, Financial Review.

50. Pari, Robert A., and Son‐Nan ‐N Chen, 1984, An Empirical Test of the Arbitrage Pricing Theory, Journal of Financial Research.

51. Moore, William T., and Son Nan Chen, 1984, The decision to lease or purchase under uncertainty: A bayesian approach, Engineering Economist.

52. Moore, William T., and Son Nan Chen, 1983, The value of perfect information in capital budgeting decisions with unknown cash flow parameters, Engineering Economist.

53. CHEN, SON‐NAN , and STEPHEN J. BROWN, 1983, Estimation Risk and Simple Rules for Optimal Portfolio Selection, Journal of Finance.

54. Chen, Son‐Nan ‐N, and William T. Moore, 1983, PROJECT ABANDONMENT UNDER UNCERTAINTY: A BAYESIAN APPROACH, Financial Review.

55. Chen, Son Nan, and William T. Moore, 1982, Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach, Journal of Financial and Quantitative Analysis.

56. Chen, Son Nan, and Cheng F. Lee, 1982, Bayesian and mixed estimators of time varying betas, Journal of Economics and Business.

57. Pari, Robert A., and Son‐Nan ‐N Chen, 1982, An Empirical Test of the Arbitrage Pricing Theory, Financial Review.

58. Chen, Son Nan, 1982, An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas, Journal of Financial and Quantitative Analysis.

59. Chen, Son‐Nan ‐N, and William T. Moore, 1982, INVESTMENT DECISIONS UNDER UNCERTAINTY: APPLICATION OF ESTIMATION RISK IN THE HILLIER APPROACH, Financial Review.

60. Chen, Son Nan, and Arthur J. Keown, 1982, Differencing interval and autocorrelation effects on portfolio diversification: Additive versus multiplicative assumptions, Journal of Economics and Business.

61. Chen, Son-Nan, and Cheng F. Lee, 1981, The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions, Management Science.

62. CHEN, SON‐NAN, and ARTHUR J. KEOWN, 1981, Risk Decomposition and Portfolio Diversification When Beta is Nonstationary: A Note, Journal of Finance.

63. CHEN, SON‐NAN, and ARTHUR J. KEOWN, 1981, An Examination of the Relationship between Pure Residual and Market Risk: A Note, Journal of Finance.

64. Chen, Son Nan, 1981, Beta nonstationarity, portfolio residual risk and diversification, Journal of Financial and Quantitative Analysis.

65. Chen, Son Nan, 1980, Time Aggregation, Autocorrelation, And Systematic Risk Estimates--Additive Versus Multiplicative Assumptions, Journal of Financial and Quantitative Analysis.

66. Chen, Son‐Non, and John D. Martin, 1980, BETA NONSTATIONARITY AND PURE EXTRA‐MARKET COVARIANCE EFFECTS ON PORTFOLIO RISK, Journal of Financial Research.

67. Chen, Son‐Nan ‐N, 1979, RE‐EXAMINING THE MARKET MODEL GIVEN EVIDENCE OF HETEROSKEDASTICITY, Journal of Financial Research.

68. Lee, Cheng F., and Son‐Nan ‐N Chen, 1979, A Random Coefficient Model for Reexamining Risk Decomposition Method and Risk-Return Relationship Test, Financial Review.

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