Jin-Chuan DUAN

(Last update: November 23, 2009)


Research Papers

(Refer to Duan's curriculum vitae for the list of published papers)

1. "A Stable Estimator of the Information Matrix under EM for Dependent Data" by J.C. Duan and A. Fulop, to appear in Statistics and Computing, 2009. Click here to link to the Online First copy.

2. "Clustered Defaults" by J.C. Duan, 2009. Click here to download.

3. "Jump and Volatility Risk Premiums Implied by VIX" by J.C. Duan and C. Yeh, 2008. Click here to download.

4. "How Frequently Does the Stock Price Jump? - An Analysis of High-Frequency Data with Microstructure Noises" by J.C. Duan and A. Fulop, 2007. Click here to download.

5. "Jump Starting GARCH: Pricing and Hedging Options with Jumps in Returns and Volatilities" by J.C. Duan, P. Ritchken and Z. Sun, 2007. Click here to download.

6. "On Diversification Discount - the Effect of Leverage" by J.C. Duan and Y. Li, 2006. Click here to download.

7. "On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models" by J.C. Duan, G. Gauthier and J.G. Simonato, 2004. Click here to download.

8. "Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration" by J.C. Duan, G. Gauthier, J.G. Simonato and S. Zaanoun, 2003. Click here to download.

9. "Indexing Executive Stock Options Relatively" by J.C. Duan and J. Wei, 2003. Click here to download.

10. "A Specification Test for Time Series Models by a Normality Transformation" by J.C. Duan, 2003. Click here to download the paper and here to download the computer programs.

11. "Nonparametric Option Pricing by Transformation" by J.C. Duan, 2002. Click here to download.

12. "Risk Premium and Pricing of Derivatives in Complete Markets" by J.C. Duan, 2001. Click here to download.

13. "Conditionally Fat-Tailed Distributions and the Volatility Smile in Options" by J.C. Duan, 1999. Click here to download.

14. "A Unified Theory of Option Pricing under Stochastic Volatility- from GARCH to Diffusion" by J.C. Duan, 1996. Click here to download.

15. "Term Structure and Bond Option Pricing under GARCH" by J.C. Duan, 1996. Click here to download.

16. "Fast Valuation of Derivative Contracts by Simulation" by J.C. Duan, G. Gauthier and J.G. Simonato, 1999. Click here to download.

17. "A Goodness-of-Fit Test Using Relative Entropy (Previous title: Testing Conditional Distributions in Dynamic Models using Relative Entropy)" by J.C. Duan and M. So, 2001. Click here to download.

18. "Semi-parametric Pricing of Derivative Warrants" by J.C. Duan and Y. Yan, 1999. Click here to download.



Computer Programs

1. Estimating the structural credit risk model with a particle filter (in Matlab matrix programming language)

2. Co-integration option pricing model (in GAUSS matrix programming language)

3. GARCH option pricing model and its application to volatility smile (in GAUSS matrix programming language)

4. Analytical approximation to the GARCH option pricing model (in Matlab matrix programming language)

5. Linear and non-linear asymmetric GARCH models (in GAUSS matrix programming language)

6. Augmented GARCH model - an all encompassing framework (in GAUSS matrix programming language)

7. Estimating exponential affine term structure models (in GAUSS matrix programming language)

8. Maximum likelihood estimation method for Merton's deposit insurance pricing model (in GAUSS matrix programming language)



Teaching Material


Other Links ...