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In an authoritative review of modern finance (Continuous-Time Methods in Finance: A Review and an Assessment [1]), the Chen model is listed along with the models of Robert C. Merton, Oldrich Vasicek, John C. Cox, Stephen A. Ross, Darrell Duffie, John Hull, Robert A. Jarrow, and Emanuel Derman as a major term structure model. Different variants ...
Chen's original paper gives an example of a relationship and its roles. He describes a relationship "marriage" and its two roles, "husband" and "wife". A person plays the role of husband in a marriage (relationship) and another person plays the role of wife in the (same) marriage. These words are nouns.
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Peter Pin-Shan Chen (Chinese: 陳品山; born 3 January 1947) is a Taiwanese-American computer scientist and applied mathematician.He is a retired distinguished career scientist and faculty member at Carnegie Mellon University and Distinguished Chair Professor Emeritus at Louisiana State University.
When the volatility and drift of the instantaneous forward rate are assumed to be deterministic, this is known as the Gaussian Heath–Jarrow–Morton (HJM) model of forward rates. [ 1 ] : 394 For direct modeling of simple forward rates the Brace–Gatarek–Musiela model represents an example.
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