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

SCHOLARLY PAPERS

6

DOWNLOADS

605

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Ideas:
“  Asset Pricing, Network Science  ”

Scholarly Papers (6)

1.

Tail Risk and Robust Portfolio Decisions

Number of pages: 50 Posted: 07 Nov 2016 Last Revised: 09 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 202 (158,528)
Citation 1

Abstract:

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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 194 (164,584)
Citation 2

Abstract:

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

3.

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

Number of pages: 62 Posted: 11 Feb 2016
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 107 (266,141)

Abstract:

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

4.

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 102 (275,104)
Citation 2

Abstract:

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Jump Propagation, Joint Pricing, Option Skew

5.

Power Laws for Research Output of Institutions: Evidence from Financial Economics

Number of pages: 46
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 0

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Research collaboration, cross-affiliation, power laws, accelerated network, preferential attachment

6.

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

Number of pages: 57
Andrew P. Carverhill and Dan Luo
City University of Hong Kong and School of Finance, Shanghai University of Finance and Economics
Downloads 0

Abstract:

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Levy jumps, leverage effect, risk premia, market liquidity, return predictability