Jin-Chuan DUAN
(Last update: July 13, 2008)
Research Papers
(Refer to Duan's curriculum vitae for the list of published papers)
1. "Estimating the Structural Credit Risk Model When Equity Prices Are
Contaminated by Trading Noises" by J.C. Duan and A. Fulop, 2007 (to appear in
Journal of Econometrics). Click here
to download the paper and here
to download the computer programs.
2. "Systematic Risk and the Price Structure of Individual Equity Options"
(previously titled "Is Systematic Risk Priced in Options?") by J.C. Duan and J.
Wei, 2007 (to appear in Review of Financial Studies). 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. "A Stable Estimator for the Information Matrix under EM" by J.C. Duan and
A. Fulop, 2007. Click here
to download.
6. "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.
7. "On Diversification Discount - the Effect of Leverage" by J.C. Duan and
Y. Li, 2006. Click here
to download.
8. "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.
9. "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.
10. "Indexing Executive Stock Options Relatively" by J.C. Duan and J. Wei,
2003. Click here to
download.
11. "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.
12. "Nonparametric Option Pricing by Transformation" by J.C. Duan, 2002.
Click here to
download.
13. "Risk Premium and Pricing of Derivatives in Complete Markets" by J.C.
Duan, 2001. Click here to download.
14. "Conditionally Fat-Tailed Distributions and the Volatility Smile in
Options" by J.C. Duan, 1999. Click here to download.
15. "A Unified Theory of Option Pricing under Stochastic Volatility- from
GARCH to Diffusion" by J.C. Duan, 1996. Click here to download.
16. "Term Structure and Bond Option Pricing under GARCH" by J.C. Duan, 1996.
Click here to
download.
17. "Fast Valuation of Derivative Contracts by Simulation" by J.C. Duan, G.
Gauthier and J.G. Simonato, 1999. Click here to download.
18. "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.
19. "Semi-parametric Pricing of Derivative Warrants" by J.C. Duan and Y.
Yan, 1999. Click here to download.
Computer Programs
1. Co-integration option pricing model (in GAUSS matrix programming
language)
2. GARCH option pricing model and its application to volatility smile (in
GAUSS matrix programming language)
3. Analytical approximation to the GARCH option pricing model (in Matlab
matrix programming language)
4. Linear and non-linear asymmetric GARCH models (in GAUSS matrix
programming language)
5. Augmented GARCH model - an all encompassing framework (in GAUSS matrix
programming language)
6. Estimating exponential affine term structure models (in GAUSS matrix
programming language)
7. Maximum likelihood estimation method for Merton's deposit insurance
pricing model (in GAUSS matrix programming language)
Teaching Material
Other Links
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