Jun Pan

Best Publications

• TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSIONS

  Darrell Duffie;Jun Pan;Kenneth Singleton

  4152
  Citations

• An Overview of Value at Risk

  Darrell Duffie;Jun Pan

  2054
  Citations

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

  Unknown

  1778
  Citations

• The Illiquidity of Corporate Bonds

  Jack Bao;Jun Pan;Jiang Wang

  1384
  Citations

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

  Jun Pan;Kenneth J. Singleton

  1150
  Citations

• The Information in Option Volume for Future Stock Prices

  Unknown

  870
  Citations

• Noise as Information for Illiquidity

  Grace Xing Hu;Jun Pan;Jiang Wang

  624
  Citations

• DYNAMIC ASSET ALLOCATION WITH EVENT RISK

  Jun Liu;Francis A. Longstaff;Jun Pan

  582
  Citations

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

  Unknown

  417
  Citations

• Transform Analysis and Asset Pricing for Affine Jump-Diffusions

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

  406
  Citations

• Dynamic derivative strategies

  Unknown

  325
  Citations

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

  Kenneth J. Singleton;Jun Pan;Jun Pan

  293
  Citations

• Volatility Information Trading in the Option Market

  Unknown

  274
  Citations

• How Sovereign is Sovereign Credit Risk

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

  229
  Citations

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

  Darrell Duffie;Jun Pan

  229
  Citations

• Dynamic Asset Allocation with Event Risk

  Jun Liu;Jun Pan;Francis A. Longstaff

  145
  Citations

• Noise as Information for Illiquidity

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

  111
  Citations

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

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

  86
  Citations

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

  Unknown

  81
  Citations

• Liquidity of Corporate Bonds

  Jack Bao;Jun Pan;Jiang Wang

  70
  Citations