Jin-Chuan Duan

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

Professor

1 Business Link

Singapore, 117592

Singapore

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 7,129

SSRN RANKINGS

Top 7,129

in Total Papers Downloads

4,891

CITATIONS
Rank 5,177

SSRN RANKINGS

Top 5,177

in Total Papers Citations

100

Scholarly Papers (22)

1.

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 643 (28,179)
Citation 13

Abstract:

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

2.

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 641 (27,865)
Citation 7

Abstract:

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 596 (31,178)
Citation 14

Abstract:

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

4.

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 379 (45,151)
Citation 2

Abstract:

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

5.

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 338 (52,554)
Citation 6

Abstract:

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

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 292 (72,771)
Citation 3

Abstract:

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

7.

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 240 (97,633)
Citation 3

Abstract:

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 230 (104,167)
Citation 26

Abstract:

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

Abstract:

G10, G13

9.

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 191 (121,747)

Abstract:

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 177 (122,342)
Citation 5

Abstract:

11.

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 167 (122,922)
Citation 2

Abstract:

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

12.

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 National University of Singapore (NUS) - Department of Finance
Downloads 155 (124,639)

Abstract:

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

13.

Default Probabilities of Privately Held Firms

Number of pages: 46 Posted: 16 Mar 2012 Last Revised: 17 Dec 2015
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 96 (150,204)

Abstract:

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

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 83 (211,884)
Citation 6

Abstract:

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

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 44 (277,239)

Abstract:

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

16.

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 26 (395,710)
Citation 12

Abstract:

17.

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 National University of Singapore (NUS) - Department of Finance
Downloads 0 (304,173)
Citation 1

Abstract:

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

18.

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, HEC Montreal - Department of Decision Sciences and HEC Montréal

Abstract:

Barrier option, Markov chain

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:

Convergence rate, European option, stochastic volatility

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

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

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

Abstract: