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Duan, Jin-Chuan's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,264 |
Total
Citations
90 |
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1.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Ritchken, Peter H.
Case Western Reserve University - Department of Banking & Finance Sun, Zhiqiang
National City Bank
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14 Dec 03
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Last Revised:
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30 Oct 07
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612
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13
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GARCH option models, stochastic volatility models with jumps, pricing and hedging options
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2.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Simonato, Jean-Guy
HEC Montréal Gauthier, Genevieve
HEC Montreal Zaanoun, Sophia
HEC Montreal
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563
(21,989)
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7
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3.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Yeh, Chung-Ying
National Chung Hsing University
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01 Mar 07
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Last Revised:
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22 Mar 11
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509
(25,190)
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14
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Model-free volatility, stochastic volatility, jump, options, VIX, Constant elasticity of variance
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4.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Yeh, Chung-Ying
National Chung Hsing University
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20 Mar 11
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Last Revised:
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16 Mar 12
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244
(61,400)
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Model-free volatility, stochastic volatility, jumps, options, VIX term structure, Constant elasticity of variance
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5.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
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232
(64,858)
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3
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systematic risk, option prices, implied volatility, skewness
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6.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Zhang, Weiqi
University of Münster - Finance Center Münster
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07 Apr 10
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Last Revised:
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11 Mar 13
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221
(68,252)
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2
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Risk premium, forward looking, GARCH, options, volatility spread, skewness, kurtosis
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7.
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Systematic Risk and the Price Structure of Individual Equity Options
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Show Abstracts |
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Versions (2)
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
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Posted:
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21 May 07
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Last Revised:
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29 Jul 10
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199
(75,913)
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22
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
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0
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G10, G13
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
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199
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22
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systematic risk, implied volatility, option price structure,equity options
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8.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Sun, Jie
Oversea-Chinese Banking Corporation Limited Wang, Tao
National University of Singapore (NUS) - Department of Finance
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26 Mar 11
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Last Revised:
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18 May 12
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179
(84,102)
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4
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default, bankruptcy, forward intensity, maximum pseudo-likelihood, forward default probability, cumulative default probability, accuracy ratio
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9.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Li, Yun
University of Toronto - Rotman School of Management
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177
(85,004)
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10.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
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23 Nov 09
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Last Revised:
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28 Mar 10
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153
(97,208)
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5
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11.
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Fulop, Andras
ESSEC Business School Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
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12 May 11
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Last Revised:
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10 Jul 12
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106
(131,067)
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2
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Particle Filter, MCMC, Sequential Monte Carlo Samplers, Bayesian Methods
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12.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Fulop, Andras
ESSEC Business School
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24 Sep 12
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Last Revised:
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14 Apr 13
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39
(224,119)
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4
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default, forward default intensity, pseudo-bayesian inference, sequential monte carlo, self-normalized asymptotics
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13.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Ritchken, Peter H.
Case Western Reserve University - Department of Banking & Finance Sun, Zhiqiang
National City Bank
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26
(257,390)
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14
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14.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Zhang, Changhao
National University of Singapore (NUS) - Department of Finance
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4
(331,061)
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systematic risk, systemic exposure, systemic fragility, credit risk, operational risk, netting, stress testing, bridge sampling, SIFI
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15.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Wang, Yazhen
University of Wisconsin - Madison - Department of Statistics
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Convergence rate, European option, stochastic volatility
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16.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Pliska , Stanley R.
University of Illinois at Chicago - Department of Finance
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17.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Simonato, Jean-Guy
HEC Montréal
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18.
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Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
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