Home >> Experts >>Chen, Son-nan
Chen, Son-nan

Term Professor
Shanghai Advanced Institute of Finance


Educational Background

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


Chen Son-nan was Professor of Finance in University of Maryland at College Park and he was the Chairman of Ph.D. dissertation Committee at College Park from 1981 to present. He has also been Professor of Finance in National Chengchi University (Taiwan).

Honors / Achievements

During Professor Chen’s teaching work, he won various teaching awards for his executive achievement in both teaching and research. He has been recognized as one of the most frequent contributors to financial research in the U.S., appearing in Financial Management(Autumn 1988), pp.100-108.

Short BIO

Professor Chen’ s research focus on Options, Futures and Derivatives Products, Investment Analysis and Portfolio Theory, International Finance, Corporate Finance, Capital Market Theory and Statistics and Econometrics. He has published great numbers of research papers in top academic journals, such as Journal of Finance, Journal of Economics and Business. Furthermore, he has been invited as editors for many famous journals, for example: Advances in Investment Analysis, Portfolio Management and Global Finance Journal etc.

Because of his excellent academic achievement, Professor Chen was invited as member of professional associations, such as American Finance Association, Financial Management Association and so on. Also, he was invited to giving lectures in government institutes and well known universities, such as Board of Trade, Peking Univ., Fudan Univ. etc.



    Son-Nan Chen, M.L.Tang, M.S.Jiang (2012), Estimation Risk and Optimal Portfolio Construction in a Lognormal-Securities Market: A Simple Rule, 台湾财务金融学刊.

    Jui-Jane Chang, Son-Nan Chen, Ting-Pin Wu (2012), A Note to Enhance the BPM Method of Pricing Basket and Spread Options, Journal of Derivatives.

    Ting-Pin Wu, Son-Nan Chen (2011), Valuation of CMS Spread Options With Nonzero Strike Rates in the LIBOR Market Model, Journal of Derivatives.

    Son-Nan Chen, T. P. Wu (2010), Modifying the LMM to Price Constant Maturity Swaps, Journal of Derivatives.

    Son-Nan Chen, T.Hsieh (2010), Pricing interest Rate Guarantee Embedded in Defined Contribution Pension Plan under the Libor Market Model, Journal of Financial Studies.

    Son-Nan Chen (2010), Explaining the Implied Volatility skew from Rational Speculation Perspective: Calibration on the Taiwan Stock Index Option Market, Journal of Futures and Options.

    Ting-Pin Wu and Son-Nan Chen (2010), valuation of CMS Spread Options with Nonzero Strike, Journal of Derivatives, The Journal of Derivatives,2011.

    Son-Nan Chen 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.

Working Paper

  • Barrier Caps and Floors under the LIBOR Market Models with Double Exponential Jumps