Jin-Chuan Duan

Available identifiers

zbMath Open duan.jin-chuanMaRDI QIDQ302201

List of research outcomes

Publication	Date of Publication	Type
PD-Implied Ratings via Referencing a Credit Rating/Scoring Pool’s Default Experience	2021-12-10	Paper
Data-cloning \(SMC^2\): a global optimizer for maximum likelihood estimation of latent variable models	2019-11-22	Paper
Option pricing under regime switching	2019-01-14	Paper
Multiperiod corporate default prediction -- a forward intensity approach	2017-05-12	Paper
Local-momentum autoregression and the modeling of interest rate term structure	2016-09-06	Paper
Estimating the structural credit risk model when equity prices are contaminated by trading noises	2016-07-04	Paper
A stable estimator of the information matrix under EM for dependent data	2012-12-06	Paper
Asymptotic Distribution of the EMS Option Price Estimator	2012-02-19	Paper
Computational Finance: An Introduction	2012-01-10	Paper
CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE	2009-07-14	Paper
Option valuation with co-integrated asset prices	2008-10-24	Paper
APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING	2006-06-12	Paper
https://portal.mardi4nfdi.de/entity/Q4407581	2003-11-10	Paper
Multilevel fuzzy relational systems: Structure and identification	2002-09-25	Paper
https://portal.mardi4nfdi.de/entity/Q4550913	2002-09-04	Paper
American option pricing under GARCH by a Markov chain approximation	2001-08-20	Paper
Augmented GARCH\((p,q)\) process and its diffusion limit	1998-11-03	Paper
A simple long-memory equilibrium interest rate model	1998-07-22	Paper
Empirical Martingale Simulation for Asset Prices	1998-01-01	Paper
THE GARCH OPTION PRICING MODEL	1997-03-20	Paper
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT	1994-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

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