World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
33
Citations
16356
World Ranking
3157
National Ranking
85

Best Publications

  • TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSIONS

    Darrell Duffie;Jun Pan;Kenneth Singleton

  • An Overview of Value at Risk

    Darrell Duffie;Jun Pan

  • The jump-risk premia implicit in options: evidence from an integrated time-series study

    Unknown

  • The Illiquidity of Corporate Bonds

    Jack Bao;Jun Pan;Jiang Wang

  • Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

    Jun Pan;Kenneth J. Singleton

  • The Information in Option Volume for Future Stock Prices

    Unknown

  • Noise as Information for Illiquidity

    Grace Xing Hu;Jun Pan;Jiang Wang

  • DYNAMIC ASSET ALLOCATION WITH EVENT RISK

    Jun Liu;Francis A. Longstaff;Jun Pan

  • An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks

    Unknown

  • Transform Analysis and Asset Pricing for Affine Jump-Diffusions

    Darrell Duffie;Darrell Duffie;Jun Pan;Jun Pan;Kenneth J. Singleton

  • Dynamic derivative strategies

    Unknown

  • Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

    Kenneth J. Singleton;Jun Pan;Jun Pan

  • Volatility Information Trading in the Option Market

    Unknown

  • How Sovereign is Sovereign Credit Risk

    Francis A. Longstaff;Francis A. Longstaff;Jun Pan;Jun Pan;Lasse Heje Pedersen;Kenneth J. Singleton

  • Analytical value-at-risk with jumps and credit risk

    Darrell Duffie;Jun Pan

  • Dynamic Asset Allocation with Event Risk

    Jun Liu;Jun Pan;Francis A. Longstaff

  • Noise as Information for Illiquidity

    Grace Xing Hu;Jun Pan;Jun Pan;Jiang Wang;Jiang Wang

  • Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

    Grace Xing Hu;Jun Pan;Jiang Wang;Haoxiang Zhu

  • The SOE Premium and Government Support in China's Credit Market

    Unknown

  • Liquidity of Corporate Bonds

    Jack Bao;Jun Pan;Jiang Wang

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