Ding Chen

University of Sussex Business School

Lecturer in Finance

214 Jubilee Building

University of Sussex

Brighton, Brighton BN1 9SL

United Kingdom

  • University of Sussex Business School

SCHOLARLY PAPERS

4

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2,061

TOTAL CITATIONS
Rank 35,247

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Top 35,247

in Total Papers Citations

5

Scholarly Papers (4)

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1.

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Downloads 893 (57,562)

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Number of pages: 54 Posted: 23 Jul 2020 Last Revised: 22 Jun 2022
Ding Chen, Biao Guo, Biao Guo and Guofu Zhou
University of Sussex Business School, Renmin University of ChinaRenmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 817 (63,988)

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option implied volatility; volatility skew; firm fundamentals; option puzzle

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Number of pages: 46 Posted: 28 Mar 2022
Ding Chen, Biao Guo and Guofu Zhou
University of Sussex Business School, Renmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 76 (683,834)

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option implied volatility, volatility skew, firm fundamentals, option puzzle

2.

Crypto Quanto and Inverse Options

Forthcoming in Mathematical Finance
Number of pages: 37 Posted: 28 Jul 2021 Last Revised: 13 Aug 2023
Carol Alexander, Ding Chen and Arben Imeraj
University of Sussex Business School, University of Sussex Business School and University of Sussex
Downloads 715 (77,455)
Citation 3

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Inverse option, cryptocurrency, foreign exchange, hedging, incomplete market

3.

The Effects of Mandatory ESG Disclosure on Price Discovery Efficiency Around the World

International Review of Financial Analysis, Forthcoming
Number of pages: 60 Posted: 28 Dec 2022 Last Revised: 12 Jul 2023
Qiyu Zhang, Rong Ding, Ding Chen and XiaoXiang Zhang
University of Sussex Business School, NEOMA Business School, University of Sussex Business School and University of Sussex - School of Business, Management and Economics
Downloads 311 (208,372)
Citation 2

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Mandatory ESG disclosure; Price efficiency; Governance

4.

Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing

Journal of Financial Economics (JFE), Vol. 114, No. 3, 2014
Number of pages: 13 Posted: 24 Jun 2015
Ding Chen, Hannu Hannu Härkönen and David Newton
University of Sussex Business School, Nottingham University Business School and University of Bath - School of Management
Downloads 142 (435,865)

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Numerical integration, Universal quadrature, QUAD, Option pricing, Transition density function, SABR, Heston, CEV