Ron is a senior lecuter in risk management and financial mathematics at UEL. He obtained his PhD in Financial Mathematics at Birkbeck, University of London in 2010. Before joining UEL, Ron worked as a risk specialist in Standard & Poors (London) as well as a lecturer and a tutor in University of Leicester, SOAS, University of London, Birkbeck, University of London and London Foundaton Campus. Ron is also a assoicate member of London Mathematical Society and research member of RBFs and Finance Group.

 1.) Referee of the internationl journal of Computer Mathematics

2.) Associate Member of London Mathematical Society

3.) Research Member of RBFs and Finance Group 

Remarks: RBF and Finace Group is a joint research group that applies Radial Basis Functions, a numerical method, in the financial mathematics research. This group comprises Birkbeck, University of London, University of Leicester and University of Uppsala. 

MSc in Risk Management

• FE3040
• FEM211
• FE3005 
• FE2035 

Finance:

1.) Option pricing problems under Multidimensional Levy processes and additive processes.

2.) Risk Management, especially on modeling Credit Valuation Adjustment (CVA)

3.) High Frequency Trading

Mathematics:

1.) Radial Basis Functions

2.) Levy processes and Stochastic Calculus

3.) Extrapolation Methods in Multidimensions

Working papers    

Chan, R. Pricing options under Jump-diffusion models by adaptive radial basis functions. 2011. http://econpapers.repec.org/paper/eidwpaper/06 2f10.htm.

Chan, R., and Brummelhuis, R. Highly accurate evaluation of European and American options under the Carr-Geman-Madan-Yor and the Variance Gamma processes by using multiquadric radial basis function. 2011. Submitted to Applied Mathematical Finance. 

Chan, R., and Hubbert, S. A numerical study of radial basis function based methods for options pricing under the one dimension Jump-diffusion model. 2011. http://arxiv.org/-abs/1011.5650. Submitted to the international Journal of Computer Mathematics.

Chan, R.  A cubic B-spline collocation method for European and American options under the Levy processes. 2012.

Chan R. Stochastic volatility and jumps with a non-exponential waiting time.  2012.

Chan R. Pricing American exotic option under Levy processes with Radial Basis Function multinomial network.  2012.

Chan R. Fast valuation of Convertible bond under Levy processes with Cubic Spline Basis Function multinomial network.  2012.

Chan R. Multiquadric basis function multinomial method on pricing options under one dimensional additive processes.  2012

1.) Referee of the internationl journal of Computer Mathematics

2.) Associate Member of the London Mathematical Society

3.) Research Member of RBF and Finance Group