It was the first stochastic mean and stochastic volatility model and it was published in 1994 by Lin Chen, economist, theoretical physicist and former lecturer/professor at Beijing Institute of Technology, American University of Beirut, Yonsei University of Korea, and SunYetSan University .
The dynamics of the instantaneous interest rate are specified by the stochastic differential equations:[clarification needed] 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 of Chen model are still being used in financial institutions worldwide.
James and Webber devote a section to discuss Chen model in their book; Gibson et al. devote a section to cover Chen model in their review article.
Andersen et al. devote a paper to study and extend Chen model.