Talk:Chen model
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The 'Chen model' is totally unknown to theorists and practitioners in quantitative finance. It is a trivial extension of known models. This is a fake article probably set up by Chen for publicity purposes. I think it should be deleted.
The Chen model was not "the first stochastic mean and stochastic volatility model". The Cox, Ingersoll, and Ross working paper had single factor and multiple factor models with stochastic mean and stochastic volatility in 1977. —Preceding unsigned comment added by 71.191.110.185 (talk) 22:41, 12 September 2007 (UTC)
You guys are spreading a rumor here. CIR model is a trivial three factor model (non trivial one factor model), but Chen model is a genuine and non trivial three factor model. I hope you guys understand the difference. Think about it, how can it possible that a top journal published Chen model if the same or similar model has already published 20 years ago. — Preceding unsigned comment added by Saop (talk • contribs) 11:48, 20 October 2012 (UTC)
3 factor[edit]
It looks like a three-factor model, not a 1 factor model —Preceding unsigned comment added by 83.98.244.180 (talk) 09:44, 24 October 2007 (UTC)
- The said factor is probably the Brownian motion with increments dWt. That is, just one source of randomness (the same Brownian motion everywhere) - one factor AdamSmithee 13:05, 24 October 2007 (UTC)
What does this mean?[edit]
For the uninitiated can someone please explain in everyday language what this means, why it is important, to what are the equations applied and what is the significance and value of the results. Perhaps one or more worked examples might help. Velela (talk) 23:00, 10 November 2008 (UTC)
- same feeling. is this model stable? any known estimated parameters. Jackzhp (talk) 23:39, 18 July 2009 (UTC)
- +1. A readily understandable overview would be very welcome --New Thought (talk) 20:40, 8 June 2012 (UTC)
The references for the main article include some books and articles which have reviews and estimations of Chen model. They are quite technical although.
All models discussed in that review are major models[edit]
as there are still many models which are not discussed. Got it?
More information about Lin Chen[edit]
Professor Lin Chen
Prof. Chen developed the semi-classical model of the term structure of interest rates. Different variants of Chen model are still being used in many financial institutions to guide trading in bonds and derivatives. In this article (Continuous-Time Methods in Finance:
A Review and an Assessment by Sundaresan), a literature survey of continuous time finance for the last 30 plus years, Chen was listed along with Cox-Ingersoll-Ross, Duffie, Hull&White, HJM as a key contributor to term structure modeling.