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Li Chen

Personal Details

First Name:Li
Middle Name:
Last Name:Chen
Suffix:
RePEc Short-ID:pch120
http://www.princeton.edu/~lichen
412A Devereux Ave. Princeton, NJ 08540
(609)2582798

Research output

as
Jump to: Working papers

Working papers

  1. Li Chen & Damir Filipovic, 2003. "Modeling Credit Risk by Affine Processes," Finance 0303006, EconWPA.
  2. Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003. "Consistency Problems For Jump-Diffusion Models," Finance 0304003, EconWPA.
  3. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance 0305003, EconWPA.
  4. Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003. "Projecting the Forward Rate Flow on a Finite Dimensional Manifold," Finance 0303007, EconWPA.
  5. Li Chen & H. Vincent Poor, 2003. "Information Asymmetry, Corporate Debt Financing and Optimal Investment Decisions: A Reduced Form Approach," Finance 0312008, EconWPA.
  6. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.
  7. Li Chen & H. Vincent Poor, 2003. "Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates," Finance 0303008, EconWPA.
  8. Li Chen & Damir Filipovic, 2003. "Credit Derivatives in an Affine Framework," Finance 0307002, EconWPA.
  9. Li Chen & Damir Filipovic, 2003. "Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk," Finance 0303009, EconWPA.
  10. Li Chen & H. Vincent Poor, 2002. "A General Characterization of Quadratic Term Structure Models," Finance 0211008, EconWPA.
  11. Li Chen & H. Vincent Poor, 2002. "Parametric Estimation of Quadratic Term Structure Models of Interest Rate," Econometrics 0301001, EconWPA.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Li Chen & Damir Filipovic, 2003. "Modeling Credit Risk by Affine Processes," Finance 0303006, EconWPA.

    Cited by:

    1. Li Chen & Damir Filipovic, 2003. "Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk," Finance 0303009, EconWPA.

  2. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance 0305003, EconWPA.

    Cited by:

    1. Li Chen & H. Vincent Poor, 2003. "Information Asymmetry, Corporate Debt Financing and Optimal Investment Decisions: A Reduced Form Approach," Finance 0312008, EconWPA.
    2. Li Chen & Damir Filipovic, 2003. "Credit Derivatives in an Affine Framework," Finance 0307002, EconWPA.
    3. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.
    4. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.

  3. Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003. "Projecting the Forward Rate Flow on a Finite Dimensional Manifold," Finance 0303007, EconWPA.

    Cited by:

    1. Andrea Roncoroni & Stefano Galluccio & Paolo Guiotto, 2010. "Shape factors and cross-sectional risk," Post-Print hal-00736733, HAL.

  4. Li Chen & H. Vincent Poor, 2003. "Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates," Finance 0303008, EconWPA.

    Cited by:

    1. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    2. Likuan Qin & Vadim Linetsky, 2014. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing," Papers 1411.3075, arXiv.org, revised Sep 2015.
    3. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
    4. Satoshi Yamashita & Toshinao Yoshiba, 2011. "Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process," IMES Discussion Paper Series 11-E-20, Institute for Monetary and Economic Studies, Bank of Japan.
    5. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
    6. Peng Cheng & Olivier Scaillet, 2007. "Linear-Quadratic Jump-Diffusion Modeling," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 575-598.
    7. Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
    8. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    9. Si Cheng & Michael R. Tehranchi, 2015. "Polynomial term structure models," Papers 1504.03238, arXiv.org, revised Aug 2016.
    10. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    11. Li Chen & Damir Filipovic, 2003. "Modeling Credit Risk by Affine Processes," Finance 0303006, EconWPA.
    12. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
    13. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.

  5. Li Chen & Damir Filipovic, 2003. "Credit Derivatives in an Affine Framework," Finance 0307002, EconWPA.

    Cited by:

    1. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013. "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-28.
    2. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.
    3. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5.

  6. Li Chen & Damir Filipovic, 2003. "Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk," Finance 0303009, EconWPA.

    Cited by:

    1. Li Chen & Damir Filipovic, 2003. "A Simple Model for Credit Migration and Spread Curves," Finance 0305003, EconWPA.
    2. Alexander Lipton & Ioana Savescu, 2012. "Pricing credit default swaps with bilateral value adjustments," Papers 1207.6049, arXiv.org.

  7. Li Chen & H. Vincent Poor, 2002. "A General Characterization of Quadratic Term Structure Models," Finance 0211008, EconWPA.

    Cited by:

    1. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (5) 2003-01-12 2003-04-09 2003-04-09 2003-04-09 2003-12-14. Author is listed
  2. NEP-RMG: Risk Management (4) 2002-12-02 2003-04-09 2003-04-09 2003-07-13
  3. NEP-FIN: Finance (3) 2003-05-18 2003-12-14 2003-12-14
  4. NEP-CFN: Corporate Finance (2) 2002-12-02 2003-12-14
  5. NEP-ECM: Econometrics (2) 2003-01-12 2003-04-12
  6. NEP-MFD: Microfinance (2) 2003-05-18 2003-12-14
  7. NEP-MAC: Macroeconomics (1) 2003-04-09

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