Ke Du

Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE)

Assistant Prof.

55 Guanghuacun St,

Chengdu, Sichuan 610074

China

SCHOLARLY PAPERS

4

DOWNLOADS

308

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Number of pages: 46 Posted: 14 Oct 2014
Rui Chen, Ke Du and Xiaoneng Zhu
Central University of Finance and Economics (CUFE), Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and Shanghai University of Finance and Economics
Downloads 188 (174,160)

Abstract:

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Term structures, Bond market, Arbitrage-free model, Unspanned stochastic volatility, Interest rate derivatives

2.

Dividend Growth Predictability and Stock Price Movement

Number of pages: 30 Posted: 04 Aug 2016
Min Zhu, Rui Chen and Ke Du
University of Queensland, Central University of Finance and Economics (CUFE) and Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE)
Downloads 94 (298,035)

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dividend growth, predictability, return decomposition

3.

Intertemporal Substitution, Precautionary Saving, and the Currency Premium

Number of pages: 26 Posted: 10 May 2018
Rui Chen, Ke Du and Jun Liu
Central University of Finance and Economics (CUFE), Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and University of California, San Diego (UCSD) - Rady School of Management
Downloads 26 (525,512)

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4.

Benchmarked Risk Minimization

Mathematical Finance, Vol. 26, Issue 3, pp. 617-637, 2016
Number of pages: 21 Posted: 10 Jun 2016
Ke Du and Eckhard Platen
Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 0 (719,294)
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risk minimization, incomplete market, pricing, hedging, numéraire portfolio, benchmark approach