Dr Tat Chan
Senior Lecturer of Finance and Programme Leader of Finance
STAMP, School of Business and Law
Ron is Senior Lecuter in Risk Management and Financial Mathematics at UEL. He obtained his PhD in Financial Mathematics at Birkbeck, University of London in December 2010. Before joining UEL, Ron worked as a risk specialist at Standard & Poors (London) as well as a lecturer and a tutor at University of Leicester, SOAS, Birkbeck, University of London and London Foundaton Campus. Ron is also an associate member of London Mathematical Society and a research member of RBFs and Finance Group.
(2014) "Options pricing under the one-dimensional Jump-diffusion model using the radial basis function interpolation scheme," in Review of Derivatives Research, 17:2, 161—189. (with S. Hubbert).
- (2014) “Adaptive radial basis function methods for pricing options under Jump-diffusion models,” accepted for publication in Computational Economics.
- (2014) "A radial basis function scheme for option pricing in exponential Lèvy models," in Applied Mathematics Finance, 21:3, 238—269 (with R. Brummelhuis).
(2016) "Complex Fourier Series in Option Pricing.
(2016) "A fast Fourier-RBF method for option pricing American-type options under exponential Lèvy models and stochastic volatility models with jumps", submitted to Journal of Econometrics.
1.) Option pricing problems
2.) Risk management
3.) Model calibration techniques
1.) Numerical methods in nonlinear analysis
2.) Orthogonal polynomials