Likuan Qin

Northwestern University - Department of Industrial Engineering and Management Sciences

Evanston, IL 60208-3119

United States

SCHOLARLY PAPERS

5

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Top 37,092

in Total Papers Downloads

1,670

SSRN CITATIONS
Rank 19,929

SSRN RANKINGS

Top 19,929

in Total Papers Citations

37

CROSSREF CITATIONS

15

Scholarly Papers (5)

1.

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing

Number of pages: 57 Posted: 22 May 2014 Last Revised: 10 Sep 2015
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 596 (58,321)
Citation 19

Abstract:

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Pricing kernel, Arrow-Debreu securities, Recovery theorem, Markov processes

2.

Long Term Risk: A Martingale Approach

Number of pages: 37 Posted: 12 Nov 2014 Last Revised: 06 Oct 2016
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 593 (58,714)
Citation 29

Abstract:

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Stochastic discount factor, pricing kernel, long-term factorization, long bond, long forward measure, long-term risk-neutral measure, principal eigenfunction.

3.

Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums

Number of pages: 19 Posted: 26 Jan 2016
Likuan Qin, Vadim Linetsky and Yutian Nie
Northwestern University - Department of Industrial Engineering and Management Sciences, Northwestern University - Department of Industrial Engineering and Management Sciences and Quantitative Risk Management, Inc.
Downloads 276 (142,010)
Citation 14

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4.

Long-Term Factorization of Affine Pricing Kernels

Number of pages: 24 Posted: 06 Oct 2016 Last Revised: 27 Jul 2017
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 119 (296,406)

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Stochastic discount factor, pricing kernel, affine models, long bond, long-term factorization, long forward measure, principal eigenfunction

5.

The Long Bond, Long Forward Measure and Long-Term Factorization In Heath-Jarrow-Morton Models

Number of pages: 34 Posted: 04 Oct 2016 Last Revised: 27 Jul 2017
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 86 (367,332)

Abstract:

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Stochastic discount factor, pricing kernel, long-term factorization, long bond, long forward measure, term structure, HJM models