Dr. DU Du (杜渡)

Research Output

  1. 2019
  2. Published

    Time-Varying Asset Volatility and the Credit Spread Puzzle

    DU, D., Elkamhi, R. & Ericsson, J., Aug 2019, In : Journal of Finance. 74, 4, p. 1841-1885

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 9
    Check@CityULib
  3. Published

    The Pricing of Jump Propagation: Evidence from Spot and Options Markets

    Du, D. & Luo, D., 1 May 2019, In : Management Science. 65, 5, p. 2360-2387

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 4
    Check@CityULib
  4. 2017
  5. Published

    Rare disasters, credit, and option market puzzles

    Christoffersen, P., Du, D. & Elkamhi, R., 1 May 2017, In : Management Science. 63, 5, p. 1341-1364

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 4
    Check@CityULib
  6. 2014
  7. Published

    Jump Propagation and Dynamic Derivative Investment

    Du, D. & Luo, D., 11 Jun 2014.

    Research output: Conference Papers (RGC: 31A, 31B, 32, 33)31B_Invited conference paper (non-refereed items)

    Check@CityULib
  8. 2013
  9. Published

    General equilibrium pricing of currency and currency options

    Du, D., Dec 2013, In : Journal of Financial Economics. 110, 3, p. 730-751

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 10
    Check@CityULib
  10. 2011
  11. General equilibrium pricing of options with habit formation and event risks

    Du, D., Feb 2011, In : Journal of Financial Economics. 99, 2, p. 400-426

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

    Scopus citations: 27
    Check@CityULib