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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1343-1376
Persistent link: https://www.econbiz.de/10001527496
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Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - 1999
Persistent link: https://www.econbiz.de/10001388790
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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Volatility information trading in the option market
Ni, Sophie X.; Pan, Jun; Poteshman, Allen M. - In: The journal of finance : the journal of the American … 63 (2008) 3, pp. 1059-1091
Persistent link: https://www.econbiz.de/10003822210
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An equilibrium model of rare-event premia and its implication for option smirks
Liu, Jun; Pan, Jun; Wang, Tan - In: The review of financial studies 18 (2005) 1, pp. 131-164
Persistent link: https://www.econbiz.de/10002646671
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An equilibrium model of rare event premia
Liu, Jun (contributor); Pan, Jun (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001714111
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Dynamic derivative strategies
Liu, Jun; Pan, Jun - In: Journal of financial economics 69 (2003) 3, pp. 401-430
Persistent link: https://www.econbiz.de/10001787696
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Dynamic Asset Allocation with Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....
Persistent link: https://www.econbiz.de/10012787129
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Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure
Hu, Grace Xing - 2017
From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the Michigan Index of Consumer Sentiment (ICS) from Thomson Reuters at 9:54:58, two seconds before its broader release. Focusing on the trading and price behavior in E-mini S&P 500 futures, we find that this tiered...
Persistent link: https://www.econbiz.de/10012973729