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

DOWNLOADS
Rank 44,170

SSRN RANKINGS

Top 44,170

in Total Papers Downloads

2,451

TOTAL CITATIONS
Rank 25,960

SSRN RANKINGS

Top 25,960

in Total Papers Citations

36

Scholarly Papers (10)

Actions:
Email selected abstracts
1.

Time-Varying Asset Volatility and the Credit Spread Puzzle

Downloads 603 (48,841)
Citation 12

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 603 (96,011)
Citation 12

Abstract:

Loading...

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 407 (156,881)
Citation 5

Abstract:

Loading...

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

3.

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 269 (245,578)
Citation 11

Abstract:

Loading...

Jump Propagation, Joint Pricing, Option Skew

4.

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 251 (263,284)
Citation 1

Abstract:

Loading...

economic disasters, habit formation, volatility smirk, equity premium

5.

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

Downloads 238 (277,488)
Citation 3

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 150 (422,839)
Citation 2

Abstract:

Loading...

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 88 (634,280)
Citation 1

Abstract:

Loading...

economic disaster, disaster intensity, risk sharing, forward premium

6.

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 220 (299,555)
Citation 3

Abstract:

Loading...

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

7.

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 144 (436,772)

Abstract:

Loading...

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

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 138 (451,926)
Citation 1

Abstract:

Loading...

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 95 (597,742)

Abstract:

Loading...

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 86 (635,973)

Abstract:

Loading...