| Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk N Chen, SG Kou Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009 | 261* | 2009 |
| Contingent capital, tail risk, and debt-induced collapse N Chen, P Glasserman, B Nouri, M Pelger The Review of Financial Studies 30 (11), 3921-3969, 2017 | 145* | 2017 |
| An optimization view of financial systemic risk modeling: Network effect and market liquidity effect N Chen, X Liu, DD Yao Operations Research 64 (5), 1089-1108, 2016 | 123 | 2016 |
| Malliavin greeks without Malliavin calculus N Chen, P Glasserman Stochastic processes and their applications 117 (11), 1689-1723, 2007 | 104 | 2007 |
| Localization and exact simulation of Brownian motion driven stochastic differential equations N Chen, H Zhengyu Mathematics of Operations Research 38, 591-616, 2013 | 94 | 2013 |
| Additive and multiplicative duals for American option pricing N Chen, P Glasserman Finance and Stochastics 11, 153-179, 2007 | 89 | 2007 |
| Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options N Cai, N Chen, X Wan Mathematics of Operations Research 35 (2), 412-437, 2010 | 76 | 2010 |
| Pricing double-barrier options under a flexible jump diffusion model N Cai, N Chen, X Wan Operations Research Letters 37 (3), 163-167, 2009 | 67 | 2009 |
| Exact simulation of the SABR model N Cai, Y Song, N Chen Operations Research 65 (4), 931-951, 2017 | 56 | 2017 |
| A nonzero‐sum game approach to convertible bonds: tax benefit, bankruptcy cost, and early/late calls N Chen, M Dai, X Wan Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013 | 37 | 2013 |
| Monte Carlo simulation in financial engineering N Chen, LJ Hong 2007 Winter Simulation Conference, 919-931, 2007 | 36 | 2007 |
| American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach N Chen, Y Liu Operations Research 62 (3), 616-632, 2014 | 30 | 2014 |
| A new delta expansion for multivariate diffusions via the Itô-Taylor expansion N Yang, N Chen, X Wan Journal of Econometrics 209 (2), 256-288, 2019 | 28 | 2019 |
| Approximate arbitrage-free option pricing under the SABR model N Yang, N Chen, Y Liu, X Wan Journal of Economic Dynamics and Control 83, 198-214, 2017 | 20* | 2017 |
| Unbiased Monte Carlo computation of smooth functions of expectations via taylor expansions JH Blanchet, N Chen, PW Glynn 2015 Winter Simulation Conference (WSC), 360-367, 2015 | 19* | 2015 |
| Optimal double stopping of a Brownian bridge EJ Baurdoux, N Chen, BA Surya, K Yamazaki Advances in Applied Probability 47 (4), 1212-1234, 2015 | 19* | 2015 |
| Brownian meanders, importance sampling and unbiased simulation of diffusion extremes N Chen, Z Huang Operations Research Letters 40 (6), 554-563, 2012 | 18* | 2012 |
| The principle of not feeling the boundary for the SABR model N Chen, N Yang Quantitative Finance 19 (3), 427-436, 2019 | 7 | 2019 |
| Robust Risk Quantification via Shock Propagation in Financial Networks D Ahn, N Chen, KK Kim Accepted by Operations Research. Available at SSRN 4428273, 2023 | 4 | 2023 |
| Game Options Analysis of the Information Role of Call Policies in Convertible Bonds CM Leung, N Chen, YK Kwok Applied Mathematical Finance 22, 297-335, 2015 | 3 | 2015 |
