Du Du

Hong Kong University of Science & Technology (HKUST)

Assistant Professor

Clearwater Bay

Kowloon, 999999

Hong Kong

  • Hong Kong University of Science & Technology (HKUST)

SCHOLARLY PAPERS

10

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1,561

SSRN CITATIONS
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SSRN RANKINGS

Top 19,291

in Total Papers Citations

14

CROSSREF CITATIONS

29

Scholarly Papers (10)

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1.

Time-Varying Asset Volatility and the Credit Spread Puzzle

Downloads 299 ( 47,670)
Citation 7

Time-Varying Asset Volatility and the Credit Spread Puzzle

Journal of Finance, Forthcoming
Number of pages: 50 Posted: 29 Nov 2016 Last Revised: 21 Mar 2018
Du Du, Redouane Elkamhi and Jan Ericsson
Hong Kong University of Science & Technology (HKUST), University of Toronto - Rotman School of Management and McGill University
Downloads 299 (104,698)
Citation 4

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Asset Volatility, Credit Spread Puzzle, Structural Models

2.

Rare Disasters, Credit and Option Market Puzzles

Rotman School of Management Working Paper No. 2270517
Number of pages: 56 Posted: 22 Aug 2013 Last Revised: 22 Feb 2016
Peter Christoffersen, Du Du and Redouane Elkamhi
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 318 (98,384)
Citation 3

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Credit spreads, volatility, term structure, option skewness, stochastic recovery, consumption risk

3.

How Bad Will the Potential Economic Disasters Be? Evidences from S&P 500 Index Options Data

Number of pages: 65 Posted: 25 Jun 2008
Du Du
Hong Kong University of Science & Technology (HKUST)
Downloads 217 (146,125)
Citation 3

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economic disasters, habit formation, volatility smirk, equity premium

4.

General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

Downloads 176 (177,095)
Citation 1

General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

Number of pages: 55 Posted: 16 Mar 2010
Du Du
Hong Kong University of Science & Technology (HKUST)
Downloads 107 (263,986)
Citation 2

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economic disaster, disaster intensity, risk sharing, forward premium puzzle, stochastic skewness

General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

Number of pages: 56 Posted: 12 Jan 2010
Du Du
Hong Kong University of Science & Technology (HKUST)
Downloads 69 (348,214)
Citation 1

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economic disaster, disaster intensity, risk sharing, forward premium

5.

General Equilibrium Pricing of Options with Habit Formation and Event Risks

Journal of Financial Economics, Forthcoming
Number of pages: 61 Posted: 21 Dec 2009
Du Du
Hong Kong University of Science & Technology (HKUST)
Downloads 151 (201,852)
Citation 2

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habit formation, economic disasters, jump-risk premium, volatility smirk

6.

Rare Macro Disasters in Credit and Option Markets

Number of pages: 54 Posted: 16 Mar 2012
Du Du and Redouane Elkamhi
Hong Kong University of Science & Technology (HKUST) and University of Toronto - Rotman School of Management
Downloads 106 (264,280)

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Peso problem, credit spread, volatility, smirk premium, market integration

7.

The Pricing of Jump Propagation: Evidence from Spot and Options Markets

Management Science, Forthcoming
Number of pages: 64 Posted: 29 Jun 2017
Du Du and Dan Luo
Hong Kong University of Science & Technology (HKUST) and School of Finance, Shanghai University of Finance and Economics
Downloads 99 (276,974)
Citation 2

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Jump Propagation, Joint Pricing, Option Skew

8.

General Formulas for Valuing Stocks and Bonds with Structural Changes

Number of pages: 59 Posted: 14 Apr 2009 Last Revised: 10 Jan 2010
Du Du
Hong Kong University of Science & Technology (HKUST)
Downloads 97 (280,654)
Citation 1

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regime switching, affine processes, within-the-regime jumps, Feyman-Kac theorem

9.

Macroeconomic Conditions, Nature of Competition, and Investment Cyclicality

Number of pages: 51 Posted: 08 Sep 2009
Du Du
Hong Kong University of Science & Technology (HKUST)
Downloads 52 (395,684)

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macroeconomic condition, nature of competition, regime switching effect, investment threshold

10.

Getting Paranoid When Disasters Strike: A Learning-Based Explanation for Asset Pricing Puzzles

Number of pages: 62 Posted: 16 Mar 2012
Redouane Elkamhi and Du Du
University of Toronto - Rotman School of Management and Hong Kong University of Science & Technology (HKUST)
Downloads 46 (416,837)

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