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Dr Tat Lung (Ron) Chan

Senior Lecturer in Mathematical Finance

STAMP, School of Business and Law

Ron is Senior Lecturer in Financial Mathematics at UEL. He obtained his PhD in Financial Mathematics at Birkbeck, University of London in December 2010. Before joining UEL in  2012, 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 Foundation Campus. Ron is also an associate member of London Mathematical Society and a research member of RBFs and Finance Group.




    External Examiner for The Westminster University Business School for finance subjects and dissertations.

    Overview

    Computational finance, deep Learning and numerical methods

    WORKING PAPERS:

    1. (2016) "Complex Fourier Series in Option Pricing.

    2. (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.


    Collaborators

    • test

    Research

    Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme

    Tat Lung (Ron) Chan and Simon Hubbert. 2014. Review of Derivatives Research. https://repository.uel.ac.uk/download/abe323f9cea583b7352060ad9e7fc1d581796c06712f8195f7b65d7fc19e90b7/503913/6607.pdf.

    Publications


    Funding

    Finance:

    1.) Option pricing problems

    2.) Risk management

    3.) Model calibration techniques

    Mathematics:

    1.) Numerical methods in nonlinear analysis

    2.) Orthogonal polynomials  

     



    Interests

    Portfolio


    Teaching