Baruch College Department of Mathematics | Feng Chen

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Feng Chen

Office: VC 6-285
Phone: +1 (646) 312-4168
Email: feng.chen@baruch.cuny.edu
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Welcome you to my webpage! My research interests are in numerical analysis and scientific computing. I focus on spectral methods and operator splitting methods for partial differential equations, such as the Black-Scholes equation for the pricing of American options and the Navier-Stokes equation in computational fluid dynamics. Recently, I have also been working on differential equations of fractional order. You can find more information about my research on my Google Scholar Page and Research Information.

Course Information – Fall 2019
[Blackboard] [CUNYFirst] [SmartEvals] [LetterGrades]
Research Information – Fall 2019
[Google Scholar] [Google Blog] [Zotero]
  • Funding proposal: Higher-order and High Performance Operator Splitting Methods for Fractional Linear Complementarity Problems on the Pricing of American Options [link]
  • Project 1: Efficient Spectral Methods for Option Pricing Under the Time-space Fractional Black-Scholes Model. [link]
  • Project 2: Stable Algorithms for Computing Implied Volatilites and Intersection Prices Under the Merton Jump Diffusion Model and the Fractional Black-Scholes Model. [link]

Sit-in – Fall 2019
[Baruch MFE] [Form]
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