Dan Luo

School of Finance, Shanghai University of Finance and Economics

Associate Professor

Shanghai, 200433

China

http://sof.shufe.edu.cn/80/46/c6894a98374/page.htm

  • School of Finance, Shanghai University of Finance and Economics

    • Email
    • Tel: +86-21-65904920
SCHOLARLY PAPERS

7

DOWNLOADS

1,040

SSRN CITATIONS
Rank 48,334

SSRN RANKINGS

Top 48,334

in Total Papers Citations

8

CROSSREF CITATIONS

6

Ideas:
“  Financial Management, Asset Pricing  ”

  • School of Finance, Shanghai University of Finance and Economics

    • Email
    • Tel: +86-21-65904920

Scholarly Papers (7)

Actions:
Email selected abstracts
1.

Tail Risk and Robust Portfolio Decisions

Management Science, Forthcoming
Number of pages: 50 Posted: 07 Nov 2016 Last Revised: 13 Apr 2020
Xing Jin, Dan Luo and Xudong Zeng
University of Warwick - Warwick Business School, School of Finance, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics, School of Finance
Downloads 322 (151,254)
Citation 1

Abstract:

Loading...

Tail risk; Jump ambiguity; Robust decisions; Portfolio selection

2.

Pricing and Integration of Credit Default Swap Index Tranches

Carverhill, Andrew and Dan Luo, 2019. Pricing and Integration of Credit Default Swap Index Tranches, Journal of Futures Markets, Forthcoming.
Number of pages: 49 Posted: 17 Mar 2011 Last Revised: 24 Nov 2019
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 242 (202,492)
Citation 2

Abstract:

Loading...

Credit Default Swap Index, Collateralized Debt Obligation Tranches, Default Intensity, Option Smirk, Market Integration

3.

The Pricing of Jump Propagation: Evidence from Spot and Options Markets

Management Science, Forthcoming
Number of pages: 64 Posted: 29 Jun 2017
Du Du and Dan Luo
Hong Kong University of Science & Technology (HKUST) and School of Finance, Shanghai University of Finance and Economics
Downloads 211 (230,893)
Citation 7

Abstract:

Loading...

Jump Propagation, Joint Pricing, Option Skew

4.

A Little Knowledge Is a Dangerous Thing: Model Specification, Data History, and CDO (Mis)Pricing

Number of pages: 62 Posted: 11 Feb 2016
Dan Luo, Dragon Yongjun Tang and Sarah Qian Wang
School of Finance, Shanghai University of Finance and Economics, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 143 (323,016)
Citation 1

Abstract:

Loading...

CDO; Model Specification; Data History; Default Correlation; Frailty

5.

"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options

Number of pages: 57 Posted: 05 May 2020 Last Revised: 06 May 2020
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 48 (622,866)

Abstract:

Loading...

Levy Jumps, Leverage Effect, Risk Premia, Market Liquidity, Return Predictability

6.

Cross-Affiliation Collaboration and Power Laws for Research Output of Institutions: Evidence from Top Journals in Financial Economics

Number of pages: 44 Posted: 05 May 2020 Last Revised: 05 May 2021
Hui Dong, Dan Luo, Xudong Zeng and Zhentao Zou
Shanghai University of Finance and Economics - School of Accountancy, School of Finance, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics, School of Finance and Wuhan University - Economics and Management School
Downloads 43 (650,989)

Abstract:

Loading...

Research Collaboration, Cross-Affiliation, Power Laws, Accelerated Network, Preferential Attachment

7.

CGMY-Modeling of Equity Index Options: Optimal Econometric Specifications

Number of pages: 33 Posted: 28 Dec 2022
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 31 (728,309)

Abstract:

Loading...

Leverage effect, Lévy jumps, risk premia, market liquidity, return predictability.