Chen model

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 Lin Chen, financial economist and environmental economist, professor of American University, Yonsei University 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 Lin

Chen Lin may refer to:

In fiction

Lin Chen (playwright)

Lin Chen (Chinese: 林晨; pinyin: Lín Chén) was a playwright and one of the important pioneers of Singapore theatre. Chen was born in Singapore in 1919, his alma mater were Tao Nan Primary School and The Chinese High School.

Chen's first exposure to the dramatic arts was watching a play titled The Military Hospital by the Singapore Amateur Drama Society. The 18-year-old was deeply moved by the drama performance, and soon joined the Society. He had also worked in the comics and wood carving industries from 1937 until he joined World Bookshop in the 1950s. After his retirement in 1980, he joined the People’s Association as an instructor for drama groups. Chen’s theatrical training was accumulated from years of experience.

Writing short stories and essays under different pseudonyms, he also wrote scripts for local radio stations and Rediffusion. In addition, he participated actively in directing and writing for the theatres.

From its inception in 1955, Chen was the resident playwright for the Singapore Arts Theatre and directed 162 dramas from 1954 to 1991. His work The Woman Who Broke the Mirror was included in the local secondary school curriculum.