Research output per year
Research output per year
Personal profile
Research interests
I do research into probability theory and stochastic processes, with applications in physics, mathematical finance and risk modelling.
Specifically, my main areas of research are:
Levy processes and applications
theory and applications of stochastic partial differential equations.
Biography
I obtained a PhD in mathematics from the University of Cambridge in 1990. After a 4-month stint as a Research Associate in Cambridge, I took up my present position at Heriot-Watt in August 1990.
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Dive into the research topics where Terence Chan is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
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On a new class of continuous indices of inequality
Chan, T., Nov 2022, In: Mathematical Social Sciences. 120, p. 8-23 16 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Downloads (Pure) -
Smoothness of scale functions for spectrally negative Lévy processes
Chan, T., Kyprianou, A. E. & Savov, M., Aug 2011, In: Probability Theory and Related Fields. 150, 3-4, p. 691-708 18 p.Research output: Contribution to journal › Article › peer-review
76 Citations (Scopus) -
Pricing Perpetual American options driven by spectrally one-sided levy processes
Chan, T., 2005, Exotic Option Pricing and Advanced Levy Models.Research output: Chapter in Book/Report/Conference proceeding › Chapter
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Some Applications of Levy Process in insurance and finance
Chan, T., 2004, In: Finance. 25, p. 71-94 24 p.Research output: Contribution to journal › Article › peer-review
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On the valuation of constant barrier options under spectrally 1-sided exponential Levy models and Carr's Aproximation of America Puts
Avram, F., Chan, T. & Usabel, M., 2002, In: Stochastic Processes and their Applications. 100, p. 75-107 33 p.Research output: Contribution to journal › Article › peer-review
29 Citations (Scopus)