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1

Cross-Currency Equity Swaps in the BGM Model

Wu, Ting-Pin, Chen, Son-Nan

Journal:

The Journal of Derivatives

Year:

2007

Language:

english

File:

PDF, 1.14 MB

english, 2007

2

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

Chang, Jui-Jane, Chen, Son-Nan, Wang, Chun-Chao, Wu, Ting-Pin

Journal:

The Journal of Derivatives

Year:

2014

Language:

english

File:

PDF, 1.94 MB

english, 2014

3

Modifying the LMM to Price Constant Maturity Swaps

Wu, Ting-Pin, Chen, Son-Nan

Journal:

The Journal of Derivatives

Year:

2010

Language:

english

File:

PDF, 520 KB

english, 2010

4

Analytical Valuation of Barrier Interest Rate Options Under Market Models

Wu, Ting-Pin, Chen, Son-Nan

Journal:

The Journal of Derivatives

Year:

2009

Language:

english

File:

PDF, 606 KB

english, 2009

5

Pricing inflation-indexed derivatives with default risk

Chen, Son-Nan, Hsu, Pao-Peng

Journal:

European Journal of Finance

Year:

2018

Language:

english

File:

PDF, 1.36 MB

english, 2018

6

Beta Nonstationarity, Portfolio Residual Risk and Diversification

Journal:

Journal of Financial and Quantitative Analysis

Year:

1981

Language:

english

File:

PDF, 1.11 MB

english, 1981

7

A Note to Enhance the BPW Model for the Pricing of Basket and Spread Options

Chang, Jui-Jane, Chen, Son-Nan, Wu, Ting-Pin

Journal:

The Journal of Derivatives

Year:

2012

Language:

english

File:

PDF, 327 KB

english, 2012

8

Valuation of CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model

Wu, Ting-Pin, Chen, Son-Nan

Journal:

The Journal of Derivatives

Year:

2011

Language:

english

File:

PDF, 732 KB

english, 2011

9

Valuation of Interest Rate Spread Options in a Multifactor LIBOR Market Model

Wu, Ting-Pin, Chen, Son-Nan

Journal:

The Journal of Derivatives

Year:

2009

Language:

english

File:

PDF, 419 KB

english, 2009

10

Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model

Chen, Son-Nan, Hsu, Pao-Peng

Journal:

International Review of Economics & Finance

Year:

2017

Language:

english

File:

PDF, 1.05 MB

english, 2017

11

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

Tang, Mei-Ling, Chen, Son-Nan, Lai, Gene C., Wu, Ting-Pin

Journal:

Insurance: Mathematics and Economics

Year:

2017

Language:

english

File:

PDF, 576 KB

english, 2017

12

Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return

Hsieh, Tsung-Yu, Chou, Chi-Hsun, Chen, Son-Nan

Journal:

Asia-Pacific Journal of Financial Studies

Year:

2014

Language:

english

File:

PDF, 214 KB

english, 2014

13

Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

Chen, Son-Nan, Hsu, Pao-Peng, Li, Chang-Yi

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 999 KB

english, 2015

14

Estimation Risk and Simple Rules for Optimal Portfolio Selection

Son-Nan Chen and Stephen J. Brown

Journal:

The Journal of Finance

Year:

1983

Language:

english

File:

PDF, 271 KB

english, 1983

15

The Sampling Relationship between Sharpe's Performance Measure and Its Risk Proxy: Sample Size, Investment Horizon and Market Conditions

Son-Nan Chen and Cheng F. Lee

Journal:

Management Science

Year:

1981

Language:

english

File:

PDF, 379 KB

english, 1981

16

An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas

Journal:

Journal of Financial and Quantitative Analysis

Year:

1982

Language:

english

File:

PDF, 1.27 MB

english, 1982

17

Risk Decomposition and Portfolio Diversification When Beta is Nonstationary: A Note

Son-Nan Chen and Arthur J. Keown

Journal:

The Journal of Finance

Year:

1981

Language:

english

File:

PDF, 302 KB

english, 1981

18

The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization

Chen, Son-Nan, Lee, Cheng F.

Journal:

Management Science

Year:

1986

Language:

english

File:

PDF, 834 KB

english, 1986

19

Valuation of floating range notes in a LIBOR market model

Ting-Pin Wu, Son-Nan Chen

Journal:

Journal of Futures Markets

Year:

2008

Language:

english

File:

PDF, 145 KB

english, 2008

20

Risk and return in copper, platinum, and silver futures

Eric C. Chang, Chao Chen, Son-Nan Chen

Journal:

Journal of Futures Markets

Year:

1990

Language:

english

File:

PDF, 657 KB

english, 1990

21

An Examination of the Relationship between Pure Residual and Market Risk: A Note

Son-Nan Chen and Arthur J. Keown

Journal:

The Journal of Finance

Year:

1981

Language:

english

File:

PDF, 185 KB

english, 1981

22

HEDGING AND ARBITRAGE WARRANTS UNDER SMILE EFFECTS: ANALYSIS AND EVIDENCE

CHEN, SON-NAN, CHEN, AN-PIN, CHANG, CAMUS

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 533 KB

english, 2001

23

Time Aggregation, Autocorrelation, and Systematic Risk Estimates--Additive Versus Multiplicative Assumptions

Journal:

Journal of Financial and Quantitative Analysis

Year:

1980

Language:

english

File:

PDF, 385 KB

english, 1980

24

The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions

Chen, Son-Nan, Lee, Cheng F.

Journal:

Management Science

Year:

1981

Language:

english

File:

PDF, 730 KB

english, 1981

25

The Adjustment of Stock Returns to Block Trading Information

Reena Aggarwal and Son-Nan Chen

Journal:

Quarterly Journal of Business and Economics

Year:

1990

Language:

english

File:

PDF, 698 KB

english, 1990

26

Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach

Son-Nan Chen and William T. Moore

Journal:

Journal of Financial and Quantitative Analysis

Year:

1982

Language:

english

File:

PDF, 988 KB

english, 1982

27

Optimal portfolio selection and uncertain inflation

Chen, Son-Nan, Aggarwal, Reena

Journal:

The Journal of Portfolio Management

Year:

1986

Language:

english

File:

PDF, 435 KB

english, 1986

28

The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization

Son-Nan Chen and Cheng F. Lee

Journal:

Management Science

Year:

1986

Language:

english

File:

PDF, 1.60 MB

english, 1986

29

Quanto Interest-Rate Exchange Options in a Cross-Currency Libor Market Model

Hsieh, Tsung-Yu, Chou, Chi-Hsun, Chen, Son-Nan

Journal:

Asian Economic and Financial Review

Year:

2015

Language:

english

File:

PDF, 452 KB

english, 2015

30

The effect of uncertain inflation on firm value in a multiperiod economy

Son-Nan Chen, S. J. Chang, William T. Moore

Journal:

Review of Quantitative Finance and Accounting

Year:

1994

Language:

english

File:

PDF, 761 KB

english, 1994

31

GROUP EFFECTS AND BETA NONSTATIONARITY

Son-Nan Chen, Arthur J. Keown

Journal:

Journal of Business Finance & Accounting

Year:

1985

Language:

english

File:

PDF, 561 KB

english, 1985

32

The Effect on a Firm's Financing and Investment Decisions of Differential Taxation as Barriers to International Investment

JONG Byun, SON-NAN Chen

Journal:

Review of Quantitative Finance and Accounting

Year:

1997

Language:

english

File:

PDF, 249 KB

english, 1997

33

Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

Jui-Jane Chang, Son-Nan Chen, Ting-Pin Wu

Journal:

Journal of Futures Markets

Year:

2012

Language:

english

File:

PDF, 1.29 MB

english, 2012

34

Mean reversion behavior of the returns on currency assets

Son-Nan Chen, Kisuk Jeon

Journal:

International Review of Economics & Finance

Year:

1998

Language:

english

File:

PDF, 1.08 MB

english, 1998

35

On selectivity and market timing ability of U.S.-based international mutual funds: Using refined Jensen's measure

Son-Nan Chen, Hoyoon Jang

Journal:

Global Finance Journal

Year:

1994

Language:

english

File:

PDF, 1.00 MB

english, 1994

36

International real interest rate parity with error correction models

Jong-Cook Byun, Son-Nan Chen

Journal:

Global Finance Journal

Year:

1996

Language:

english

File:

PDF, 1.57 MB

english, 1996

37

Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model

Chen, Son-Nan, Chiang, Mi-Hsiu, Hsu, Pao-Peng, Li, Chang-Yi

Journal:

Finance Research Letters

Year:

2014

Language:

english

File:

PDF, 527 KB

english, 2014

38

The Value of Perfect Information in Capital Budgeting Decisions with Unknown Cash Flow Parameters

Moore, William T., Chen, Son-Nan

Journal:

The Engineering Economist

Year:

1983

Language:

english

File:

PDF, 372 KB

english, 1983

39

A Review of: “ PORTFOLIO AND INVESTMENT SELECTION: THEORY AND PRACTICE ”

Journal:

The Engineering Economist

Year:

1986

Language:

english

File:

PDF, 58 KB

english, 1986

40

Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy

Chiang, Mi-Hsiu, Li, Chang-Yi, Chen, Son-Nan

Journal:

Review of Quantitative Finance and Accounting

Year:

2016

Language:

english

File:

PDF, 382 KB

english, 2016

41

Pricing derivatives with modeling CO 2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium

Li, Chang-Yi, Chen, Son-Nan, Lin, Shih-Kuei

Journal:

European Journal of Finance

Year:

2015

Language:

english

File:

PDF, 547 KB

english, 2015

42

AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY

Pari, Robert A., Chen, Son-Nan

Journal:

Journal of Financial Research

Year:

1984

Language:

english

File:

PDF, 860 KB

english, 1984

43

The Decision to Lease or Purchase Under Uncertainty: A Bayesian Approach

Moore, William T., Chen, Son-Nan

Journal:

The Engineering Economist

Year:

1984

Language:

english

File:

PDF, 517 KB

english, 1984

44

RE-EXAMINING THE MARKET MODEL GIVEN EVIDENCE OF HETEROSKEDASTICITY

Journal:

Journal of Financial Research

Year:

1979

Language:

english

File:

PDF, 623 KB

english, 1979

45

Simple optimal asset allocation under uncertainty

Journal:

The Journal of Portfolio Management

Year:

1987

Language:

english

File:

PDF, 624 KB

english, 1987

46

Estimation risk and optimal portfolios

Pari, Robert A, Chen, Son-Nan

Journal:

The Journal of Portfolio Management

Year:

1985

Language:

english

File:

PDF, 302 KB

english, 1985

47

Option pricing and hedging in different cyclical structures: a two-dimensional Markov-modulated model

Chen, Son-Nan, Hsu, Pao-Peng, Liang, Kuo-Yuan

Journal:

European Journal of Finance

Year:

2018

File:

PDF, 1.50 MB

2018

48

Option pricing and hedging in different cyclical structures: a two-dimensional Markov-modulated model

Chen, Son-Nan, Hsu, Pao-Peng, Liang, Kuo-Yuan

Journal:

European Journal of Finance

Year:

2018

Language:

english

File:

PDF, 1.50 MB

english, 2018

49

Valuation of Quanto Floating Range Notes under the Cross-Currency LIBOR Market Model

Chou, Chi-Hsun, Hsieh, Tsung-Yu, Chen, Son-Nan

Journal:

International Journal of Economics and Finance

Year:

2015

File:

PDF, 512 KB

2015