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Jun Pan
Full-time Visiting Professor of Finance
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  • RESEARCH
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Jun Pan is currently a Visiting Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), and School of Management Distinguished Professor of Finance at MIT Sloan School of Management.

Research Interests
Empirical Research of Asset Pricing, Financial Derivative Market, Credit Risk Model, Risk Management, Term Structure of Interest Rates

Journal Publications & Working Papers
1. Hu, Xing, Jun Pan, and Jiang Wang, 2017, Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure, Journal of Financial Economics.
2. Bao, Jack, and Jun Pan, 2013, Bond Illiquidity and Excess Volatility, Review of Financial Studies.
3. Hu, Xing, Jun Pan, and Jiang Wang, 2013, Noise as Information for Illiquidity, Journal of Finance.
4. Bao, Jack, and Jun Pan, 2012, Relating Equity and Credit Markets through Structural Models: Evidence from Volatilities, Review of Financial Studies.
5. Bao, Jack, Jun Pan, and Jiang Wang, 2011, The Illiquidity of Corporate Bonds, Journal of Finance.
6. Longstaff, Francis A., Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton, 2011, How Sovereign is Sovereign Credit Risk?, American Economic Journal.
7. Pan, Jun, and Kenneth Singleton, 2008, Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, Journal of Finance.
8. Pan, Jun, Sophie Ni, and Allen Poteshman, 2008, Volatility Information Trading in the Option Market, Journal of Finance.
9. Pan, Jun, and Allen Poteshman, 2006, The Information in Option Volume for Future Stock Prices, Review of Financial Studies.
10. Pan, Jun, Jun Liu, and Tan Wang, 2005, An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.
11. Pan, Jun, and Jun Liu, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.
12. Pan, Jun, Jun Liu, and Francis Longstaf, 2003, Dynamic Asset Allocation with Event Risk, Journal of Finance.
13. Pan, Jun, 2003, The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study, Journal of Financial Economics.
14. Pan, Jun, Sergio Pastorello, Valentin Patilea, and Eric Renault, 2003, Comment on “Iterative and Recursive Estimation in Structural Non-Adaptive Mod- els", Journal of Business and Economic Statistics.
15. Pan, Jun, and Darrell Duffie, 2001, An Overview of Value at Risk, Journal of Derivatives.
16. Pan, Jun, and Darrell Duffie, 2001, Analytical Value-At-Risk with Jumps and Credit Risk, Finance and Stochastics.
17. Pan, Jun, Darrell Duffie, and Kenneth Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica.
18. Jun Pan with Jiang Wang and Xing Hu, Early Peek Advantage?.
19. Jun Pan with Sophie Ni, Trading Puts and CDS on Stocks with Short Sale Ban.
20. Jun Pan with Jiang Wang and Xing Hu, Tri-Party Repo Pricing.

Teaching Interests
No current data at this time.

Current Courses
No current courses at this time.

Faculty & Research
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