Zhiqiang Sun

National City Bank

National City Center

1900 East Ninth Street

Cleveland, OH 44114-3484

United States

SCHOLARLY PAPERS

3

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CITATIONS
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in Total Papers Citations

27

Scholarly Papers (3)

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 (29,900)
Citation 13

Abstract:

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

2.

On Correlation and Default Clustering in Credit Markets

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 27 Oct 2009
Antje Berndt, Peter H. Ritchken and Zhiqiang Sun
Australian National University, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 444 (50,343)
Citation 2

Abstract:

Markovian HJM Models, Credit Derivatives, Default Clustering, Counterparty Credit Risk

3.

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 (416,486)
Citation 12
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Abstract: