Author Page for Jin-Chuan Duan

Multiperiod Corporate Default Prediction - A Forward Intensity Approach

Number of pages: 48 Posted: 26 Mar 2011 Last Revised: 18 May 2012

Jin-Chuan Duan, Jie Sun and Tao Wang

National University of Singapore (NUS) - Business School and Risk Management Institute, Oversea-Chinese Banking Corporation Limited and National University of Singapore (NUS) - Department of Finance

Downloads 910 (55,431)

Citation 21

Abstract:

2.

Jump Starting GARCH: Pricing and Hedging Options With Jumps in Returns and Volatilities

FRB of Cleveland Working Paper No. 06-19, AFA 2004 San Diego Meetings

Number of pages: 45 Posted: 14 Dec 2003 Last Revised: 30 Oct 2007

Jin-Chuan Duan, Peter H. Ritchken and Zhiqiang Sun

National University of Singapore (NUS) - Business School and Risk Management Institute, Case Western Reserve University - Department of Banking & Finance and National City Bank

Downloads 846 (61,324)

Citation 7

Abstract:

3.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

Number of pages: 25 Posted: 23 Jun 2004

Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier and Sophia Zaanoun

National University of Singapore (NUS) - Business School and Risk Management Institute, HEC Montréal, Department of decision Sciences and GERADaffiliation not provided to SSRN and HEC Montreal

Downloads 844 (61,525)

Citation 25

Abstract:

4.

Jump and Volatility Risk Premiums Implied by VIX

Number of pages: 24 Posted: 01 Mar 2007 Last Revised: 22 Mar 2011

Jin-Chuan Duan, Chung-Ying Yeh and Chung-Ying Yeh

National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing UniversityNational Chung Hsing University - Department of Finance

Downloads 743 (72,895)

Citation 6

Abstract:

5.

Price and Volatility Dynamics Implied by the VIX Term Structure

Number of pages: 40 Posted: 20 Mar 2011 Last Revised: 16 Mar 2012

Jin-Chuan Duan, Chung-Ying Yeh and Chung-Ying Yeh

National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing UniversityNational Chung Hsing University - Department of Finance

Downloads 641 (88,018)

Citation 11

Abstract:

6.

Forward-Looking Market Risk Premium

Number of pages: 41 Posted: 07 Apr 2010 Last Revised: 04 Sep 2013

Jin-Chuan Duan and Weiqi Zhang

National University of Singapore (NUS) - Business School and Risk Management Institute and affiliation not provided to SSRN

Downloads 572 (102,023)

Citation 17

Abstract:

7.

Default Probabilities of Privately Held Firms

Journal of Banking and Finance, Forthcoming

Number of pages: 41 Posted: 16 Mar 2012 Last Revised: 08 Aug 2018

Jin-Chuan Duan, Baeho Kim, Woojin Kim and Donghwa Shin

National University of Singapore (NUS) - Business School and Risk Management Institute, Korea University Business School (KUBS), Seoul National University - Business School and University of North Carolina at Chapel Hill, Kenan-Flagler Business School

Downloads 531 (111,668)

Citation 4

Abstract:

8.

Systematic Risk and the Price Structure of Individual Equity Options

Downloads 345 (184,209)

Citation 18

2

Systematic Risk and the Price Structure of Individual Equity Options

Review of Financial Studies, Forthcoming

Number of pages: 38 Posted: 21 May 2007

Jin-Chuan Duan and Jason Wei

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Downloads 345 (182,663)

Citation 18

Abstract:

Systematic Risk and the Price Structure of Individual Equity Options

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1981-2006, 2009

Posted: 13 Apr 2009

Jin-Chuan Duan and Jason Wei

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Abstract:

9.

Density-Tempered Marginalized Sequential Monte Carlo Samplers

Number of pages: 33 Posted: 12 May 2011 Last Revised: 18 Oct 2013

Jin-Chuan Duan and Andras Fulop

National University of Singapore (NUS) - Business School and Risk Management Institute and ESSEC Business School

Downloads 338 (188,322)

Citation 8

Abstract:

10.

Cascading Defaults and Systemic Risk of a Banking Network

Number of pages: 41 Posted: 13 Jun 2013 Last Revised: 09 Nov 2013

Jin-Chuan Duan and Changhao Zhang

National University of Singapore (NUS) - Business School and Risk Management Institute and GIC Private Limited

Downloads 328 (194,475)

Citation 10

Abstract:

11.

Clustered Defaults

Number of pages: 34 Posted: 23 Nov 2009 Last Revised: 28 Mar 2010

Jin-Chuan Duan

National University of Singapore (NUS) - Business School and Risk Management Institute

Downloads 318 (201,008)

Citation 11

Abstract:

12.

Is Systematic Risk Priced in Options?

Rotman School of Management Working Paper No. 06-05

Number of pages: 41 Posted: 16 May 2006

Jin-Chuan Duan and Jason Wei

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Downloads 288 (223,431)

Citation 2

Abstract:

13.

Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

Number of pages: 37 Posted: 24 Sep 2012 Last Revised: 18 Oct 2013

Jin-Chuan Duan and Andras Fulop

National University of Singapore (NUS) - Business School and Risk Management Institute and ESSEC Business School

Downloads 267 (241,446)

Citation 8

Abstract:

14.

On Diversification Discount - the Effect of Leverage

Rotman School of Management Working Paper No. 06-06

Number of pages: 42 Posted: 18 May 2006

Jin-Chuan Duan and Yun Li

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Downloads 234 (275,249)

Citation 1

Abstract:

15.

Liquidity and Default

Number of pages: 25 Posted: 16 Jun 2014

Jin-Chuan Duan and Qiqi Zou

National University of Singapore (NUS) - Business School and Risk Management Institute and National University of Singapore (NUS) - Department of Finance

Downloads 198 (322,650)

Citation 1

Abstract:

16.

Non-Gaussian Bridge Sampling with an Application

Number of pages: 30 Posted: 19 Oct 2015 Last Revised: 29 Oct 2015

Jin-Chuan Duan and Changhao Zhang

National University of Singapore (NUS) - Business School and Risk Management Institute and GIC Private Limited

Downloads 167 (375,981)

Citation 6

Abstract:

17.

Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning

Downloads 71 (688,970)

2

Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning

USC-INET Research Paper No. 17-27

Number of pages: 24 Posted: 27 Sep 2017

Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh

National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and Amazon

Downloads 71 (700,502)

Abstract:

Data-Cloning SMC ² for Applications to Latent Variable Models

Posted: 23 Jun 2017 Last Revised: 28 Apr 2021

Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh

National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and Amazon

Abstract:

18.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Journal of Derivatives, Vol. 10, 2003

Posted: 08 Oct 2013

Jin-Chuan Duan, Evan Dudley, Geneviève Gauthier and Jean-Guy Simonato

National University of Singapore (NUS) - Business School and Risk Management Institute, Queen's University - Smith School of Business, Department of decision Sciences and GERADaffiliation not provided to SSRN and HEC Montréal

Abstract:

19.

Convergence Speed of GARCH Option Price to Diffusion Option Price

International Journal of Theoretical and Applied Finance, Forthcoming

Posted: 17 May 2010

Jin-Chuan Duan and Yazhen Wang

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Wisconsin-Madison - Department of Statistics

Abstract:

20.

Option Valuation with Co-Integrated Asset Prices

Journal of Economic Dynamics and Control, Vol. 28, No. 4, pp. 727-754, 2004

Posted: 27 Dec 2000

Jin-Chuan Duan and Stanley R. Pliska

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Illinois at Chicago - Department of Finance

Abstract:

21.

Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

Posted: 20 Apr 2000

Jin-Chuan Duan and Jean-Guy Simonato

National University of Singapore (NUS) - Business School and Risk Management Institute and HEC Montréal

Abstract:

22.

Pricing Foreign Currency and Cross-Currency Options Under GARCH

Journal of Derivatives, Vol. 7, No. 1, pp. 51-63, 1999

Posted: 25 Aug 1998

Jin-Chuan Duan and Jason Wei

National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

Jin-Chuan Duan

National University of Singapore (NUS) - Business School and Risk Management Institute

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Scholarly Papers (22)

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