Jin-Chuan Duan

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

Professor

1 Business Link

Singapore, 117592

Singapore

SCHOLARLY PAPERS

23

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5,730

SSRN RANKINGS

Top 5,063

in Total Papers Citations

102

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Scholarly Papers (23)

1.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

EFA 2004 Maastricht Meetings Paper No. 4190
Number of pages: 25 Posted: 23 Jun 2004
National University of Singapore (NUS) - Business School and Risk Management Institute, HEC Montréal, HEC Montreal - Department of Decision Sciences and HEC Montreal
Downloads 734 (32,830)

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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 723 (33,513)

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GARCH option models, stochastic volatility models with jumps, pricing and hedging options

3.

Jump and Volatility Risk Premiums Implied by VIX

Number of pages: 24 Posted: 01 Mar 2007 Last Revised: 22 Mar 2011
Jin-Chuan Duan and Chung-Ying Yeh
National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing University
Downloads 668 (37,340)

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Model-free volatility, stochastic volatility, jump, options, VIX, Constant elasticity of variance

4.

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 553 (47,864)

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default, bankruptcy, forward intensity, maximum pseudo-likelihood, forward default probability, cumulative default probability, accuracy ratio

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 and Chung-Ying Yeh
National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing University
Downloads 548 (48,426)

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Model-free volatility, stochastic volatility, jumps, options, VIX term structure, Constant elasticity of variance

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 University of Münster - Finance Center Münster
Downloads 355 (82,097)

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Risk premium, forward looking, GARCH, options, volatility spread, skewness, kurtosis

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 Princeton University - Department of Economics, Bendheim Center for Finance
Downloads 309 (96,283)

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Default probability; Term structure; Privately held firm; Interest charge

8.

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 Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 253 (118,670)

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systematic risk, option prices, implied volatility, skewness

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 Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 251 (119,113)

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systematic risk, implied volatility, option price structure,equity options

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

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G10, G13

10.

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 241 (124,626)

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11.

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 228 (131,737)

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systematic risk, systemic exposure, systemic fragility, credit risk, operational risk, netting, stress testing, bridge sampling, SIFI

12.

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 223 (134,615)

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Particle Filter, MCMC, Sequential Monte Carlo Samplers, Bayesian Methods

13.

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 206 (145,113)

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14.

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 150 (193,252)

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default, forward default intensity, pseudo-bayesian inference, sequential monte carlo, self-normalized asymptotics

Data-Cloning SMC 2 for Applications to Latent Variable Models

Number of pages: 25 Posted: 23 Jun 2017 Last Revised: 14 Oct 2018
Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh
National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and University of Southern California - Department of Economics
Downloads 88 (285,292)

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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization

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 University of Southern California - Department of Economics
Downloads 16 (555,285)

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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization

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 79 (302,120)

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sequential Monte Carlo, density tempering, Metropolis-Hastings, GARCH, systemic risk, infill estimation

17.

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 78 (304,374)

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market liquidity, funding liquidity, distance-to-default, solvency, forward intensity, logistic regression

18.

Approximating Garch-Jump Models, Jump-Diffusion Processes, and Option Pricing

Mathematical Finance, Vol. 16, No. 1, pp. 21-52, January 2006
Number of pages: 32 Posted: 21 Jun 2006
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 27 (473,727)
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19.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Journal of Derivatives, Vol. 10, 2003
Posted: 08 Oct 2013
National University of Singapore (NUS) - Business School and Risk Management Institute, Queen's University - Smith School of Business, HEC Montreal - Department of Decision Sciences and HEC Montréal

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Barrier option, Markov chain

20.

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

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Convergence rate, European option, stochastic volatility

21.

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

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22.

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

Review of Quantitative Finance and Accounting, Vol. 13, September 1999
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

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23.

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

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