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.
(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.
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.
1.) Option pricing problems
2.) Risk management
3.) Model calibration techniques
1.) Numerical methods in nonlinear analysis
2.) Orthogonal polynomials