Rong Fan

Gifford Fong Associates

Director of Research

3658 Mt. Diablo Blvd.

Suite 200

Lafayette, CA 94549

United States

SCHOLARLY PAPERS

6

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CITATIONS
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14

Scholarly Papers (6)

1.

On Pricing and Hedging in the Swaption Market: How Many Factors, Really?

Number of pages: 41 Posted: 03 Oct 2001
Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 870 (26,092)
Citation 12

Abstract:

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Interest Rate Derivatives, Swaptions, Volatility Structures, Pricing, Hedging

2.

An Index-Based Measure of Liquidity

SCU Leavey School of Business Research Paper No. 11-10
Number of pages: 47 Posted: 10 Mar 2011 Last Revised: 05 Jan 2016
Santa Clara University, Santa Clara University - Leavey School of Business and Gifford Fong Associates
Downloads 473 (58,652)

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ETFs, liquidity, immediacy

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Weatherhead School of Management Finance Department Working Paper
Number of pages: 34 Posted: 15 Aug 2002
Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 336 (87,327)
Citation 30

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Interest Rate Derivatives, Swaptions, Delta and Gamma Neutral Hedging, Unspanned Stochastic Volatility, Spanning

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Journal of Finance, Vol. 58, pp. 2219-2248, October 2003
Posted: 09 Oct 2003
Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance

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Getting the Most Out of a Mandatory Subordinated Debt Requirement

FRB of Cleveland Working Paper No. 02-14
Number of pages: 36 Posted: 27 Apr 2002 Last Revised: 18 Nov 2007
Gifford Fong Associates, Federal Reserve Bank of Cleveland, Case Western Reserve University - Department of Banking & Finance and University of Akron
Downloads 131 (216,259)
Citation 3

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subordinated debt, banks, asset pricing

Getting the Most Out of a Mandatory Subordinated Debt Requirement

Journal of Financial Services Research, Vol. 24, No. 2-3, pp. 149-179
Posted: 17 Feb 2004
Gifford Fong Associates, Federal Reserve Bank of Cleveland, University of Akron and Case Western Reserve University - Department of Banking & Finance

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Subordinated debt, banks, asset pricing

5.

Bayesian Migration in Credit Ratings Based on Probabilities of Default

Journal of Fixed Income, 2002
Posted: 10 Mar 2011 Last Revised: 25 Sep 2015
Santa Clara University - Leavey School of Business, Gifford Fong Associates and Amaranth Advisors llc

Abstract:

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6.

Correlated Default Modeling with a Forest of Binomial Trees

Journal of Fixed Income, Winter 2007
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
affiliation not provided to SSRN, Santa Clara University - Leavey School of Business and Gifford Fong Associates

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