陈松男

陈松男教授现任上海交通大学上海高级金融学院教授。

教育背景：

博士学位：佐治亚大学金融学、数理统计与计量经济学， 1976
硕士学位：佐治亚大学统计学和数学， 1972
学士学位：台湾大学会计和金融， 1964

陈松男教授曾在马里兰大学执教近二十年，并兼任金融系博士研究所主任七年，由于教学和研究成果突出，连续多次荣获杰出教授奖。之后，转任台湾政治大学金融学系主任和讲席教授兼金融工程研究中心主任、台湾金融工程师学会理事长、台湾财政部顾问和台湾宝来金融集团衍生品首席顾问。

      陈松男教授的研究方向包括金融工程、金融风险管理、衍生证券、金融创新、投资组合管理与资产配置、固定收益证券和利率衍生品。

     陈松男教授学术造诣颇深，多篇研究论文在Journal of Finance, JFQA, Management Science, Journal of Futures Markets和Journal of Derivatives等世界一流学术刊物发表，还应邀担任Advances in Investment Analysis等刊物的编辑，并出版了多本金融学相关的专业书籍。

     陈松男教授也是美国金融学会、金融管理协会等国际学术协会的成员，曾受邀到中国商务部、复旦大学、北京大学等重要的国家金融商业机构和知名学府进行演讲。

     陈松男教授讲授《金融工程》、《金融风险管理》、《衍生证券》、《结构式金融产品设计与应用：案例分析》、《另类投资》等课程。

学术成果：

1. Chen, Son-Nan, Pao-Peng Hsu, and Chang-Yi Li, 2015, Pricing credit-risky bonds and spread options with modeling the credit-spread term structures under the two-dimensional Markov-modulated jump-diffusion, Quantitative Finance.

2. Li, Chang-Yi, Son-Nan Chen, and Shih-Kuei Lin, 2015, Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium, European Journal of Finance.

3. Chang, Jui- Jane, Son-nan Chen, Chun-chao Wang, and Ting-pin Wu, 2014, Barrier Caps and Floors under the LOBOR Market Models with Double Exponential Jumps, Journal of Derivatives.

4. Hsieh, Tsung-Yu, Chi-Hsun Chou, and Son-Nan Chen, 2014, Valuation of Guaranteed Contracts Set Relative to Cross-Currency Stochastic Interest Rates of Return, Asia-Pacific Journal of Financial Studies.

5. Chen, Son-Nan, Mi-Hsiu Chiang, Pao-Peng Hsu, and Chang-Yi Li, 2014, Valuation of Quanto Options in A Markovian Regime-Switching Market: A Markov-Modulated Gaussian HJM Model, Finance Research Letters.

6. Chiang, Mi-Hsiu, Chang-Yi Li, and Son- Nan Chen, 2014, Pricing Currency Options under Double Exponential Jump Diffusion in a Markov-Modulated HJM Economy, Review of Quantitative Finance and Accounting.

7. Chang, Jui-Jane, Son-Nan Chen, and Ting-Pin Wu, 2013, Currency-Protected Swaps and Swaptions with Nonzero Spread in Multi-Currency LMM, Journal of Futures Markets.

8. Chang, Jui-Jane, Son-Nan Chen, and Ting-Pin Wu, 2012, A Note to Enhance the BPW Method for the Pricing of Basket and Spread Options, Journal of Derivatives.

9. Tang, Mei-Ling, Son-Nan Chen, and Mi-Hsiu Chiang, 2012, Estimation Risk and Optimal Portfolio Construction in a Lognormal-Securities Market: A Simple Rule, 台湾财务金融学刊.

10. Wu, Ting-Pin, Jui-Pin Fu, and Son-Nan Chen, 2011, Valuation of Quanto Interest Rate Exchange Options, 台湾财务金融学刊.

11. Wu, Ting-Pin, and Son-Nan Chen, 2011, Valuation of CMS Spread Options With Strike Rates in the LIBOR Market Model, Journal of Derivatives.

12. Wu, Ting-Pin, and Son-Nan Chen, 2010, Modifying the LMM to Price Constant Maturity Swaps, Journal of Derivatives.

13. Wu, Ting-Pin, Jui-Pin Fu, and Son-Nan Chen, 2010, Valuation of Asian Interest Rate Option in the BGM Model, 台湾财务金融学刊.

14. Hsieh, Tsung-Yu, and Son-Nan Chen, 2010, Pricing interest Rate Guarantee Embedded in Defined Contribution Pension Plan under the Libor Market Model, 台湾财务金融学刊.

15. Wu, Ting-Pin and Son-Nan Chen, 2009, Analytical Valuation of Barriers Interest Rate Options under Market Models, Journal of Derivatives.

16. 傅瑞彬、陈松男、吴庭斌, 2009, 选择权卖方有利可图吗：加价利益的观点, 台大管理论丛.

17. Wu, Ting-Pin, and Son-Nan Chen, 2009, Valuation of Interest Rate Spread Options in a Multifactor LIBOR Marker Model, Journal of Derivatives.

18. Chen, Son-Nan, 2008, Extend the debt as it is not deeply out-of-money, Economics Bulletion.

19. Wu, Ting-Pin, and Son-Nan Chen, 2008, Quanto Average Rate Options in a Lognormal Interest Rate Model, 台湾财务金融学刊.

20. Wu, Ting-Pin, and Son-Nan Chen, 2008, Valuation of Floating Range Notes in a LIBOR Market Model, Journal of Futures Markets.

21. Wu, Ting-Pin, and Son-Nan Chen, 2007, Cross-Currency Equity Swaps with the BGM Model, Journal of Derivatives.

22. Chen, Son-Nan, 2007, Equity Swaps in a LIBOR Market Model, Journal of Futures Markets.

23. 陈松男，林淳瑜, 2006, 荷兰银行美元利率交换评价及分析, 证券柜台月刊.

24. Cheng, Joseph, and Son-Nan Chen , 2005, An Alternative Test of The After-tax CAPM, Advances in Financial Planning and Forecasting.

25. 陈松男，姜一铭, 2004, 汇率连动远期生效亚洲选择权, 经济论文（中央研究院）.

26. 陈松男, 2003, 浮动汇率连动极大值选择权, 风险管理学报.

27. 陈松男，李佳憓, 2003, 汇率连动互换选择权：设计与评价, 中国金融学.

28. 陈松男，林殿一, 2003, 违约风险下数据选择权：评价与避险, 中国金融学.

29. Chen, Son-Nan, 2001, Hedging and Arbitrage Warrants Under Simile Effects: Analysis and Evidence, International Journal of Theoretical and Applied Finance.

30. 陈松男, 2001, 探讨可降低权利金之简单权证创新及评价, 风险管理学报.

31. 陈松男、郑翔尹, 2000, 组合型权证的正确评价及避险方法, 证券市场发展季刊.

32. Chen, Son-Nan, and Kisuk Jeon, 1999, The Mean-Gini International Asset Pricing Model Under Investment Barriers, Advanced in Investment Analysis and Portfolio Management.

33. Chen, Son-Nan, and Kisuk Jeon, 1998, Mean Reversion Behavior of the Returns on currency Assets, International Review of Finance.

34. Chen, Son-Nan, and Jongcook Byun, 1997, On A Firm’s Financing and Investment Decisions Under investment Barriers, Review of Quantitative Finance and Accounting.

35. Byun, Jongcook, and Son-Nan Chen, 1996, International Real interest Rate Parity with Error Correction Models, Global Finance Journal.

36. Chen, Son-Nan, and Kisuk Jeon, 1994, A Macroeconomic- Factor Model of Optimal Portfolio Selection Under Differential Taxation: With Multicollinearity Correction, Advanced in Investment Analysis and Portfolio Management.

37. Chen, Son-Nan, and Hoyoon Jang, 1994, On Selectivity and Market Timing Ability of U.S.- Based International Mutual Funds: Using Refined Jensen’s Measure, Global Finance Journal.

38. Chen, Son-Nan, Suckjeong Chang, and William T. Moore, 1994, The Effect of Uncertain Inflation on Firm Value in a Multiperiod Economy, Review of Quantitative Finance and Accounting.

39. Chen, Son-Nan, and N. Subramanian, 1993, The Determinants of Shifts in Investments Between Domestic and Foreign Risky Assets: With Inflation and Exchange Risk, Journal of Financial Studies.

40. Chen, Son-Nan, 1991, The Tax and Inflation Effects on Optimal Asset Abandonment and Replacement, Financial Review.

41. Chen, Son-Nan, and Suckjeong Chang, 1991, A Practical Procedure for Optimal Portfolio Selection Under Differential Taxation, Advanced in Investment Analysis and Portfolio Management.

42. Chen, Son-Nan, and N. Subramanian, 1991, Interval Effects and Simple Rules for Optimal Portfolio Selection, Advanced in Investment Analysis and Portfolio Management.

43. Chang, Suckjeong, and Son-Nan Chen, 1991, Information Effects of Earnings and Dividend Announcements on Common Stock Returns: Are They Interactive?, Journal of Economics and Business.

44. 陈松男, 1991, 在间断性避险及交易成本下的选择权评价模型：以实务观点修正理论, 风险管理学报.

45. Chang, Eric, and Son-Nan Chen, 1990, Risk and Return in Copper, Platinum and Silver Futures, Journal of Futures Markets.

46. Chang, Suckjeong, and Son-Nan Chen, 1989, Stock Price Adjustment to Earnings and Dividend Announcements, Quarterly Review of Economics and Business.

47. Chang, Suckjeong, and Son-Nan Chen, 1989, A Study of Call Price Behavior Under Stationary Return Generating Process, Financial Review.

48. Chen, Son-Nan, 1988, Estimation Risk and the Demand for Risky Assets Under Uncertain inflation: Heterogeneous vs. Homogeneous Expectations, Quarterly Review of Economics and Business.

49. Keown, A. J., and Son-Nan Chen, 1987, Portfolio Selection Based Upon P/E Ratios: Diversification, Risk Decomposition and implications, Journal of Business Finance and Accounting.

50. Chen, Son-Nan, 1987, Simple Optimal Asset Allocation Under Uncertainty, Journal of Portfolio Management.

51. Chen, Son-Nan, 1986, Optimal Portfolio Selection Under Differential Taxation: Simple Rules, Quarterly Review of Economics and Business.

52. Chen, Son-Nan, 1986, An Intertemporal Capital Asset Pricing Model Under Heterogeneous Beliefs, Journal of Economics and Business.

53. Chen, Son-Nan, and Reena Aggarwal, 1986, Implementation of Optimal Portfolio Selection Under Uncertain Inflation, Journal of Portfolio Management.

54. Chen, Son-Nan, and Cheng-Few Lee, 1986, The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization, Management Science.

55. Chen, Son-Nan, and William T. Moore, 1985, The Expected Net Present Value Rule Under Informative and Noninformative Prior Distributions, Advanced in Financial Planning and Forecasting.

56. Chen, Son-Nan, 1985, Uncertain inflation and Optimal Portfolio Selection: A Simplified Approach, Financial Review.

57. Pairi, Robert A., and Son-Nan Chen, 1985, Estimation Risk and Optimal Portfolios, Journal of Portfolio Management.

58. Chen, Son-Nan, and Arthur J. Keown, 1985, Group Effects and Beta Nonstationarity, Journal of Business Finance and Accounting.

59. Chen, Son-Nan, 1984, Capital Budgeting and Uncertain Inflation, Journal of Economics and Business.

60. Chen, Son-Nan, and William T. Moore, 1984, Multiperiod Asset Pricing: The Effects of Uncertain Inflation, Financial Review.

61. Chen, Son-Nan, and William T. Moore, 1984, The Decision to Lease or Purchase Under Uncertainty: A Bayesian Approach, The Engineering Economist.

62. Pari, Robert A., and Son-Nan Chen, 1984, An Empirical Test of the Arbitrage Pricing Theory, Journal of Financial Research.

63. Moore, William T., and Son-Nan Chen, 1984, Implementing the IRR Criterion When Cash Flow Parameters Are Unknown, Financial Review.

64. Chen, Son-Nan, 1984, On the Measurement Errors and Ranking of Three Alternative Composite Performance Measures, Quarterly Review of Economics and Business.

65. Lee, Cheng F., and Son-Nan Chen, 1983, A Random Coefficient Model for Re-examining Risk Decomposition Method and Risk-Return Relationship Test : A reply, Quarterly Review of Economics and Business.

66. Chen, Son-Nan, and Stephen J. Brown, 1983, Estimation Risk and Simple Rules for Optimal Portfolio Selection, Journal of Finance.

67. Chen, Son-Nan, and William T. Moore, 1983, Project Abandonment Under Uncertainty: A Bayesian Approach, Financial Review.

68. Moore, William T., and Son-Nan Chen, 1983, The Value of Perfect Information in Capital Budgeting Decisions with Unknown Cash Flow Parameters, The Engineering Economist.

69. Chen, Son-Nan, and Arthur J. Keown, 1982, Differencing Interval and Autocorrelation Effects on Portfolio Diversification-Additive vs. Multiplicative Assumptions, Journal of Economics and Business.

70. Chen, Son-Nan, 1982, An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Security Betas, Journal of Financial and Quantitative Analysis.

71. Chen, Son-Nan, and Cheng F. Lee, 1982, Bayesian and Mixed Estimators of Time Varying Betas, Journal of Economics and Business.

72. Chen, Son-Nan, and William T. Moore, 1982, Investment Decisions Under Uncertainty: Application of Estimation Risk in the Hillier Approach, Journal of Financial and Quantitative Analysis.

73. Chen, Son-Nan, 1981, Beta Nonstationarity, Portfolio Residual Risk and Diversification, Journal of Financial and Quantitative Analysis.

74. Chen, Son-Nan, and Cheng F.Lee, 1981, The Sampling Relationship Between Sharp’s Performance Measure and Its Risk Proxy: Sample Size, Investment Horizon and Market Conditions, Management Science.

75. Chen, Son-Nan, and Arthur J. Keown, 1981, Risk Decomposition and Portfolio Diversification When Beta is Nonstationary: A Note, Journal of Finance.

76. Chen, Son-Nan, 1981, Residual Variance heteroskedasticity, Portfolio Diversification, and Trading Rules, Quarterly Review of Economics and Business.

77. Chen, Son-Nan, and John D. Martin, 1980, Beta Nonstationarity and Pure Extra-Market Covariance Effects on Portfolio Risk, Journal of Financial Research.

78. Chen, Son-Nan, 1980, Time Aggregation, Autocorrelation and Systematic Risk Estimates–Additive vs. Multiplicative Assumptions, Journal of Financial and Quantitative Analysis.

79. Lee, Cheng- Few, and Son-Nan Chen , 1980, A Random Coefficient Model for Reexamining Risk Decomposition Method and Risk-Return Relationship Test, Quarterly Review of Economics and Business.

80. Chen, Son-Nan, 1979, Re-Examining the Market Model Given Evidence of Heteroskedasticity, Journal of Financial Research.

81. Chen, Son-Nan, and B. P. Shu, Option pricing and hedging in different structures: A two-dimensional Markov-modulated model.

82. Chen, Son- Nan, and B. P. Shu, Pricing inflation-indexed derivatives with default risk.

83. Chen, Son-Nan, M. H. Chiang, M. C. Chuang, and S. K. Lin, The Empirical Estimation, Test, and Valuation of Treasury Inflation-Linked Bonds Under Correlated Systematic Jump Risk.

84. Chen, Son-Nan, and B. P. Shu, Pricing and hedging barrier options under the Markov-Modulated double exponential jump CIR model.