Dr. Ren-Raw Chen

Professor of Finance, Fordham University

Links

Vita

Teaching Materials

Works of my students

Working papers (postscript/pdf files, right-click to save)

11. An Artificial Intelligence Approach to the Valuation of American-style Derivatives: A Use of Particle Swarm Optimization

10. Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis, 2014.

9. On the Ex-Ante Cross-Sectional Relation Between Risk and Return Using Option-Implied Information, Dec. 2009.

8. The Economic Cost of Myopic Goning Concern Practice, Sept, 2009.

7. Default Prediction of Various Structural Models, July 2006.

6. Analytical Bounds for Treasury Bond Futures Prices version: November, 2005.

5. The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models version: October, 2003.

4. Stochastic Volatility and Jumps in Interest Rates: An Empirical Analysis version: January, 2002.

3. An Empirical-Distribution-Based Option Pricing Model: Insights Into The Volatility Smile Puzzle version: August, 2001.

2. Credit Spread Bounds and Their Implications for Credit Risk Modeling version: June, 2001.

1. Valuing Bond Futures and the Quality Option version: February, 1997

Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure:Estimates and Tests From a Kalman Filter Model