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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1,236

SSRN CITATIONS
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Top 5,689

in Total Papers Citations

15

CROSSREF CITATIONS

175

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 733 (35,043)
Citation 4

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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 (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 476 (61,466)
Citation 2

Abstract:

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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 27 (500,854)
Citation 14
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