Lin Chen

Lin Chen is a Harvard-educated economist.
He is both practitioner and academic (a Pracademic). As practitioner he was a financial engineer for Credit Lyonnais, Merrill Lynch, an economist for Federal Reserve and a partner for hedge funds and software firms. As an academic, he has taught at Singapore University, Harvard University, American University of Beirut and Yonsei University of Korea.
In 1994, Dr. Chen developed the first three-factor model of the term structure of interest rates, Chen model. Different variants of Chen model are still being used in financial institutions worldwide. In an authoritative review of modern finance (Continuous-Time Methods in Finance: A Review and an Assessment, Lin Chen is listed along with Robert C. Merton, Oldrich Vasicek, John C. Cox, Stephen A. Ross, Darrell Duffie, John Hull, Robert A. Jarrow, and Emanuel Derman as a leading scholar in term-structure modeling. In the latest comparative study of competing interest rate models( http://econweb.rutgers.edu/lcai/lili_files/JobMarketPaper.pdf), Chen model is found to perform 'the best".
Another contribution of Dr. Chen to the financial industry and academia is to develop the so-called 'Modeling without Programming' technique. Specifically, Prof. Chen invented sophisticated technique to implement advanced algorithms and models in financial engineering, computational finance, Mathematical finance and actuarial science, (such as QMC, EVT, Copulas, LSMC and MCMC) in Excel spreadsheet with Excel’s functions only. These advanced models are normally implemented by serious programming tools such as C, JAVA or Matlab. Prof. Chen’s contribution makes it possible for those who can not code to learn and to use advanced modeling in finance and insurance.

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