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Duan, Jin-Chuan


 SSRN Author Rank: 6,697 by Downloads
 Professor
 

National University of Singapore (NUS) - Business School and Risk Management Institute


 1 Business Link
 Singapore, 117592
 Singapore
 email address

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. Duan, Jin-Chuan's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
3,668
Total
Citations
95
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Jump Starting GARCH: Pricing and Hedging Options With Jumps in Returns and Volatilities | Show Abstract | Download |
FRB of Cleveland Working Paper No. 06-19, AFA 2004 San Diego Meetings
Working Paper Series
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
Posted:
14 Dec 03
Last Revised:
30 Oct 07
620
(21,654)
13

2.  
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
Posted:
23 Jun 04
588
(23,318)
7

3.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Yeh, Chung-Ying
National Chung Hsing University
Posted:
01 Mar 07
Last Revised:
22 Mar 11
538
(26,293)
15

4.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Yeh, Chung-Ying
National Chung Hsing University
Posted:
20 Mar 11
Last Revised:
16 Mar 12
296
(55,825)
2

5.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Zhang, Weiqi
University of Münster - Finance Center Münster
Posted:
07 Apr 10
Last Revised:
04 Sep 13
265
(62,817)
2

6.  
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
Posted:
26 Mar 11
Last Revised:
18 May 12
237
(71,021)
4

7.  
Is Systematic Risk Priced in Options? | Show Abstract | Download |
Rotman School of Management Working Paper No. 06-05
Working Paper Series
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
Posted:
16 May 06
235
(71,329)
3

8.   Incl. Electronic Paper
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
Posted:
21 May 07
Last Revised:
29 Jul 10
208
(80,892)
25

9.  
On Diversification Discount - The Effect of Leverage | Show Abstract | Download |
Rotman School of Management Working Paper No. 06-06
Working Paper Series
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Li, Yun
University of Toronto - Rotman School of Management
Posted:
18 May 06
182
(92,317)
 

10.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Posted:
23 Nov 09
Last Revised:
28 Mar 10
168
(99,325)
5

11.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Fulop, Andras
ESSEC Business School
Posted:
12 May 11
Last Revised:
18 Oct 13
122
(130,623)
2

12.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Zhang, Changhao
National University of Singapore (NUS) - Department of Finance
Posted:
13 Jun 13
Last Revised:
09 Nov 13
84
(169,479)
 

13.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Fulop, Andras
ESSEC Business School
Posted:
24 Sep 12
Last Revised:
18 Oct 13
64
(198,342)
4

14.  
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Kim, Baeho
Korea University Business School (KUBS)
Kim, Changki
Korea University Business School (KUBS)
Kim, Woojin
Seoul National University - Business School
Shin, Donghwa
Princeton University - Department of Economics
Posted:
16 Mar 12
Last Revised:
15 Apr 14
35
(256,877)
 

15.  
Approximating Garch-Jump Models, Jump-Diffusion Processes, and Option Pricing | Show Abstract | Download |
Mathematical Finance, Vol. 16, No. 1, pp. 21-52, January 2006
Accepted Paper Series
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
Posted:
21 Jun 06
26
(283,575)
13

16.  
Pricing Discretely Monitored Barrier Options by a Markov Chain | Show Abstract |
Journal of Derivatives, Vol. 10, 2003
Accepted Paper Series
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Dudley, Evan
University of Florida - Department of Finance, Insurance and Real Estate
Gauthier, Genevieve
HEC Montreal
Simonato, Jean-Guy
HEC Montréal
Posted:
08 Oct 13
 

17.  
Convergence Speed of GARCH Option Price to Diffusion Option Price | Show Abstract |
International Journal of Theoretical and Applied Finance, Forthcoming
Accepted Paper Series
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Wang, Yazhen
University of Wisconsin - Madison - Department of Statistics
Posted:
17 May 10
 

18.  
Option Valuation with Co-integrated Asset Prices | Show Abstract |
Journal of Economic Dynamics and Control, Vol. 28, No. 4, pp. 727-754, 2004
Accepted Paper Series
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
Posted:
27 Dec 00
 

19.  
Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter | Show Abstract |
Review of Quantitative Finance and Accounting, Vol. 13, September 1999
Accepted Paper Series
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Simonato, Jean-Guy
HEC Montréal
Posted:
20 Apr 00
 

20.  
Pricing Foreign Currency and Cross-Currency Options Under GARCH | Show Abstract |
Journal of Derivatives, Vol. 7, No. 1, pp. 51-63, 1999
Accepted Paper Series
Duan, Jin-Chuan
National University of Singapore (NUS) - Business School and Risk Management Institute
Wei, Jason Zhanshun
University of Toronto - Rotman School of Management
Posted:
25 Aug 98
 


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