Conference Paper
Banks' deposit insurance liabilities: exogenous vs. managerial determinants.
Duan, Jin-Chuan; Sealey, C. W. (1995)
Proceedings , Paper 476

Conference Paper
Regulation banks' interest rate risk when interest rates are stochastic and equity has limited liability
Duan, Jin-Chuan; Moreau, Arthur F.; Sealey, C. W. (1992)
Proceedings , Paper 355

Conference Paper
Deposit insurance and risk-shifting behaviour at commercial banks
Duan, Jin-Chuan; Moreau, Arthur F.; Sealey, C. W. (1990)
Proceedings , Paper 266

Working Paper
Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities
Sun, Zhiqiang; Duan, Jin-Chuan; Ritchken, Peter H. (2006)
This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan?s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and ...
Working Papers (Old Series) , Paper 0619