J
Jin-Chuan Duan
Researcher at National University of Singapore
Publications - 103
Citations - 6054
Jin-Chuan Duan is an academic researcher from National University of Singapore. The author has contributed to research in topics: Valuation of options & Credit risk. The author has an hindex of 36, co-authored 101 publications receiving 5740 citations. Previous affiliations of Jin-Chuan Duan include Hong Kong University of Science and Technology & McGill University.
Papers
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The garch option pricing model
TL;DR: In this paper, an option pricing model and its corresponding delta formula were developed in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process.
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Maximum likelihood estimation using price data of the derivative contract
TL;DR: In this article, the authors developed a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process and demonstrated the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing.
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Augmented GARCH (p,q) process and its diffusion limit
TL;DR: The strict stationarity of the augmented GARCH process is characterized and this process is shown to contain many existing parametric GARCH models that are commonly used for modeling stochastic volatility in the finance literature.
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Estimating and testing exponential-affine term structure models by Kalman filter
Jin-Chuan Duan,Jean-Guy Simonato +1 more
TL;DR: In this paper, a unified state-space formulation for parameter estimation of exponential-affine term structure models is proposed, which only requires specifying the conditional mean and variance of the system in an approximate sense.
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Multiperiod Corporate Default Prediction - A Forward Intensity Approach
Jin-Chuan Duan,Jie Sun,Tao Wang +2 more
TL;DR: In this paper, a forward intensity model for the prediction of corporate defaults over different future periods is proposed, and maximum pseudo-likelihood analysis is then conducted on a large sample of the US industrial and financial firms spanning the period 1991-2011 on a monthly basis.