Jin-Chuan Duan

National University of Singapore (NUS) - Business School and Risk Management Institute

Professor

1 Business Link

Singapore, 117592

Singapore

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 9,554

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6,245

SSRN CITATIONS
Rank 4,219

SSRN RANKINGS

Top 4,219

in Total Papers Citations

64

CROSSREF CITATIONS

260

Scholarly Papers (23)

1.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

Number of pages: 25 Posted: 23 Jun 2004
National University of Singapore (NUS) - Business School and Risk Management Institute, HEC Montréal, HEC Montreal - Department of Decision Sciences and HEC Montreal
Downloads 766 (40,654)
Citation 24

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2.

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 756 (41,383)
Citation 7

Abstract:

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

3.

Jump and Volatility Risk Premiums Implied by VIX

Number of pages: 24 Posted: 01 Mar 2007 Last Revised: 22 Mar 2011
Jin-Chuan Duan and Chung-Ying Yeh
National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing University
Downloads 683 (47,483)
Citation 6

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Model-free volatility, stochastic volatility, jump, options, VIX, Constant elasticity of variance

4.

Multiperiod Corporate Default Prediction - A Forward Intensity Approach

Number of pages: 48 Posted: 26 Mar 2011 Last Revised: 18 May 2012
Jin-Chuan Duan, Jie Sun and Tao Wang
National University of Singapore (NUS) - Business School and Risk Management Institute, Oversea-Chinese Banking Corporation Limited and National University of Singapore (NUS) - Department of Finance
Downloads 677 (48,034)
Citation 21

Abstract:

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default, bankruptcy, forward intensity, maximum pseudo-likelihood, forward default probability, cumulative default probability, accuracy ratio

5.

Price and Volatility Dynamics Implied by the VIX Term Structure

Number of pages: 40 Posted: 20 Mar 2011 Last Revised: 16 Mar 2012
Jin-Chuan Duan and Chung-Ying Yeh
National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing University
Downloads 594 (56,906)
Citation 10

Abstract:

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Model-free volatility, stochastic volatility, jumps, options, VIX term structure, Constant elasticity of variance

6.

Forward-Looking Market Risk Premium

Number of pages: 41 Posted: 07 Apr 2010 Last Revised: 04 Sep 2013
Jin-Chuan Duan and Weiqi Zhang
National University of Singapore (NUS) - Business School and Risk Management Institute and affiliation not provided to SSRN
Downloads 416 (88,123)
Citation 7

Abstract:

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Risk premium, forward looking, GARCH, options, volatility spread, skewness, kurtosis

7.

Default Probabilities of Privately Held Firms

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 16 Mar 2012 Last Revised: 08 Aug 2018
Jin-Chuan Duan, Baeho Kim, Woojin Kim and Donghwa Shin
National University of Singapore (NUS) - Business School and Risk Management Institute, Korea University Business School (KUBS), Seoul National University - Business School and University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Downloads 402 (91,443)

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Default probability; Term structure; Privately held firm; Interest charge

Systematic Risk and the Price Structure of Individual Equity Options

Review of Financial Studies, Forthcoming
Number of pages: 38 Posted: 21 May 2007
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 275 (138,044)
Citation 3

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systematic risk, implied volatility, option price structure,equity options

Systematic Risk and the Price Structure of Individual Equity Options

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1981-2006, 2009
Posted: 13 Apr 2009
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

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G10, G13

9.

Clustered Defaults

Number of pages: 34 Posted: 23 Nov 2009 Last Revised: 28 Mar 2010
Jin-Chuan Duan
National University of Singapore (NUS) - Business School and Risk Management Institute
Downloads 262 (145,725)
Citation 8

Abstract:

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10.

Is Systematic Risk Priced in Options?

Rotman School of Management Working Paper No. 06-05
Number of pages: 41 Posted: 16 May 2006
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 259 (147,417)
Citation 2

Abstract:

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systematic risk, option prices, implied volatility, skewness

11.

Cascading Defaults and Systemic Risk of a Banking Network

Number of pages: 41 Posted: 13 Jun 2013 Last Revised: 09 Nov 2013
Jin-Chuan Duan and Changhao Zhang
National University of Singapore (NUS) - Business School and Risk Management Institute and GIC Private Limited
Downloads 258 (147,989)
Citation 10

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systematic risk, systemic exposure, systemic fragility, credit risk, operational risk, netting, stress testing, bridge sampling, SIFI

12.

Density-Tempered Marginalized Sequential Monte Carlo Samplers

Number of pages: 33 Posted: 12 May 2011 Last Revised: 18 Oct 2013
Jin-Chuan Duan and Andras Fulop
National University of Singapore (NUS) - Business School and Risk Management Institute and ESSEC Business School
Downloads 249 (153,239)
Citation 2

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Particle Filter, MCMC, Sequential Monte Carlo Samplers, Bayesian Methods

13.

On Diversification Discount - the Effect of Leverage

Rotman School of Management Working Paper No. 06-06
Number of pages: 42 Posted: 18 May 2006
Jin-Chuan Duan and Yun Li
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management
Downloads 210 (180,338)
Citation 1

Abstract:

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14.

Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

Number of pages: 37 Posted: 24 Sep 2012 Last Revised: 18 Oct 2013
Jin-Chuan Duan and Andras Fulop
National University of Singapore (NUS) - Business School and Risk Management Institute and ESSEC Business School
Downloads 193 (194,872)
Citation 8

Abstract:

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default, forward default intensity, pseudo-bayesian inference, sequential monte carlo, self-normalized asymptotics

15.

Non-Gaussian Bridge Sampling with an Application

Number of pages: 30 Posted: 19 Oct 2015 Last Revised: 29 Oct 2015
Jin-Chuan Duan and Changhao Zhang
National University of Singapore (NUS) - Business School and Risk Management Institute and GIC Private Limited
Downloads 105 (315,203)
Citation 4

Abstract:

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sequential Monte Carlo, density tempering, Metropolis-Hastings, GARCH, systemic risk, infill estimation

16.

Liquidity and Default

Number of pages: 25 Posted: 16 Jun 2014
Jin-Chuan Duan and Qiqi Zou
National University of Singapore (NUS) - Business School and Risk Management Institute and National University of Singapore (NUS) - Department of Finance
Downloads 83 (365,900)

Abstract:

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market liquidity, funding liquidity, distance-to-default, solvency, forward intensity, logistic regression

Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning

USC-INET Research Paper No. 17-27
Number of pages: 24 Posted: 27 Sep 2017
Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh
National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and Amazon
Downloads 29 (591,523)

Abstract:

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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization

Data-Cloning SMC 2 for Applications to Latent Variable Models

Posted: 23 Jun 2017 Last Revised: 28 Apr 2021
Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh
National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and Amazon

Abstract:

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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization

18.

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 28 (582,124)
Citation 25
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19.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Journal of Derivatives, Vol. 10, 2003
Posted: 08 Oct 2013
National University of Singapore (NUS) - Business School and Risk Management Institute, Queen's University - Smith School of Business, HEC Montreal - Department of Decision Sciences and HEC Montréal

Abstract:

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Barrier option, Markov chain

20.

Convergence Speed of GARCH Option Price to Diffusion Option Price

International Journal of Theoretical and Applied Finance, Forthcoming
Posted: 17 May 2010
Jin-Chuan Duan and Yazhen Wang
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Wisconsin - Madison - Department of Statistics

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Convergence rate, European option, stochastic volatility

21.

Option Valuation with Co-Integrated Asset Prices

Journal of Economic Dynamics and Control, Vol. 28, No. 4, pp. 727-754, 2004
Posted: 27 Dec 2000
Jin-Chuan Duan and Stanley R. Pliska
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Illinois at Chicago - Department of Finance

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22.

Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

Posted: 20 Apr 2000
Jin-Chuan Duan and Jean-Guy Simonato
National University of Singapore (NUS) - Business School and Risk Management Institute and HEC Montréal

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23.

Pricing Foreign Currency and Cross-Currency Options Under GARCH

Journal of Derivatives, Vol. 7, No. 1, pp. 51-63, 1999
Posted: 25 Aug 1998
Jin-Chuan Duan and Jason Zhanshun Wei
National University of Singapore (NUS) - Business School and Risk Management Institute and University of Toronto - Rotman School of Management

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