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School of Mathematical Sciences

Dr Ron Chan

Lecturer in Mathematics

Room Number: Mathematical Sciences Building, Room: MB-515
Office Hours: Every Tuesday from 4 p.m. to 6 p.m. or contact me by email for an appointment please.


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Ron Chan's research focuses on quantitative finance, machine learning and numerical computing. His research has been published in Quantitative Finance, Applied Mathematical Finance and the like.

Prior to joining the School of Mathematical Finance, Chan was a Senior Lecturer in Finance at University of East London, a Risk Specialist at Standard & Poor’s (London) and a Software Engineer at IBM Global.

Chan holds a PhD in Financial Mathematics from Birkbeck College, University of London.  Additionally, he earned an MSc in Finance from Birkbeck College, University of London and a BSc in Computer Science from the Hong Kong University of Science and Technology.


Research Interests:

quantitative finance, machine learning and numerical computing


  • (2014) "Options pricing under the one-dimensional Jump-diffusion model using the radial basis function interpolation scheme," in Review of Derivatives Research, 17:2, 161—189 (with S. Hubbert);
  • (2014) "A radial basis function scheme for option pricing in exponential Lèvy models," in Applied Mathematics Finance, 21:3, 238—269 (with R. Brummelhuis);
  • (2016) “Adaptive radial basis function methods for pricing options under Jump-diffusion models,” in Computational Economics, 47:4, 623—643;
  • (2017) “Option pricing with Legendre polynomials,” in Journal of Computational and Applied Mathematics, 33:2, 25—45 (with J. Hok);
  • (2018) “Singular Fourier—Padé Series Expansion of European Option Prices,” in Quantitative Finance, 18:7, 1149--1171;
  • (2019) "Efficient Computation of European Option Prices and their Sensitivities with the Complex Fourier Series Method”, accepted for publication in The North American Journal of Economics and Finance, available at;
  • (2019) “Hedging and Pricing Early-exercise Options with Complex Fourier Series Expansion,” accepted for publication in The North American Journal of Economics and Finance, available at;
  • (2020) " Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using an Algorithm for the Convolution of Legendre Series,” in Quantitative Finance, 20:8, 1307—1324 (with N. Hale);
  • (2020) "An SFP—FCC Method for Pricing and Hedging Early-exercise Options under Lévy Processes,” in Quantitative Finance 20:8, 1325—1343.
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