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- Chen_model abstract "In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" (short rate model) as it describes interest rate movements as driven by three sources of market risk. It was the first stochastic mean and stochastic volatility model and it was published in 1994 by economist Lin Chen, a Harvard doctorate, former US Federal Reserve Board economist, and professor of Yonsei University of Korea and Nanyang Tech University of Singapore.The dynamics of the instantaneous interest rate are specified by the stochastic differential equations:In an authoritative review of modern finance (Continuous-Time Methods in Finance: A Review and an Assessment), Chen model is listed along with the models of Robert C. Merton, Oldrich Vasicek, John C. Cox, Stephen A. Ross, Darrell Duffie, John Hull, Robert A. Jarrow, and Emanuel Derman as a major term structure model.Different variants of Chen model are still being used in financial institutions worldwide. James and Webber devote a section to discuss Chen model in their book; Gibson et al. devote a section to cover Chen model in their review article. Andersen et al. devote a paper to study and extend Chen model. Gallant et al. devote a paper to test Chen model and other models; Wibowo and Cai, among some others, devote their PhD dissertations to testing Chen model and other competing interest rate models.".
- Chen_model wikiPageExternalLink JobMarketPaper.pdf.
- Chen_model wikiPageExternalLink eprints.eemcs.utwente.nl.
- Chen_model wikiPageID "7512317".
- Chen_model wikiPageRevisionID "583248094".
- Chen_model hasPhotoCollection Chen_model.
- Chen_model subject Category:Finance_theories.
- Chen_model subject Category:Fixed_income_analysis.
- Chen_model subject Category:Interest_rates.
- Chen_model subject Category:Mathematical_finance.
- Chen_model subject Category:Short-rate_models.
- Chen_model type Abstraction100002137.
- Chen_model type Charge113306870.
- Chen_model type Cognition100023271.
- Chen_model type Cost113275847.
- Chen_model type Explanation105793000.
- Chen_model type FinanceTheories.
- Chen_model type HigherCognitiveProcess105770664.
- Chen_model type InterestRate113319032.
- Chen_model type InterestRates.
- Chen_model type Outgo113275288.
- Chen_model type Possession100032613.
- Chen_model type Process105701363.
- Chen_model type PsychologicalFeature100023100.
- Chen_model type Rate113325010.
- Chen_model type Relation100031921.
- Chen_model type Theory105989479.
- Chen_model type Thinking105770926.
- Chen_model type TransferredProperty113252973.
- Chen_model comment "In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" (short rate model) as it describes interest rate movements as driven by three sources of market risk.".
- Chen_model label "Chen model".
- Chen_model label "Модель Чена".
- Chen_model label "陈模型".
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- Chen_model sameAs Q4740922.
- Chen_model sameAs Q4740922.
- Chen_model sameAs Chen_model.
- Chen_model wasDerivedFrom Chen_model?oldid=583248094.
- Chen_model isPrimaryTopicOf Chen_model.