Jun Pan

School of Management Distinguished Professor of Finance
Professor of Finance

Biography | Selected Publications

“Noise as Information for Illiquidity.” Grace Xing Hu, Jun Pan, and Jiang Wang (December 2013). Journal of Finance, 68(6): 2223-2772. ​

“Bond Illiquidity and Excess Volatility.” Bao, Jack, and Jun Pan. Review of Financial Studies, 26(12): 3068–3101. ​ (2013)

“The Illiquidity of Corporate Bonds.” Bao, Jack, Jun Pan, and Jiang Wang (June 2011). Journal of Finance, 66(3): 911–946. ​

“How Sovereign is Sovereign Credit Risk?” Longstaff, Francis A., Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton (2011). American Economic Journal: Macroeconomics, 3(2): 75– 103. ​ (2011)

How Sovereign is Sovereign Credit Risk? (2011)

“Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads.” Pan, Jun, and Kenneth Singleton (October 2008). Journal of Finance, 63(5): 2345–2384.

“Volatility Information Trading in the Option Market.” Ni, Sophie X., Jun Pan, and Allen M. Poteshman (June 2008). Journal of Finance, 63(3): 1059–1091. ​

“The Information in Option Volume for Future Stock Prices.” Pan, Jun, and Allen M. Poteshman (2006). Review of Financial Studies, 19(3): 871–908. ​ (2006)

“An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks.” Liu, Jun, Jun Pan, and Tan Wang (2005). Review of Financial Studies, 18(1): 131–164. ​ (2005)

“Dynamic Derivative Strategies.” Liu, Jun, and Jun Pan (September 2003). Journal of Financial Economics, 69(3): 401-430.

“Dynamic Asset Allocation with Event Risk.” Liu, Jun, Francis Longstaff, Jun Pan (2003). Journal of Finance, 58: 231–259. ​ (2003)

“The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study.” Pan, Jun (January 2002). Journal of Financial Economics, 63(1): 3–50. ​

“Analytical Value-At-Risk with Jumps and Credit Risk.” Duffie, Darrell, and Jun Pan (April 2001). Finance and Stochastics, 5(2): 155–180 .

“Transform Analysis and Asset Pricing for Affine Jump-Diffusions.” Duffie, Darrell, Jun Pan, and Kenneth Singleton (November 2000). Econometrica, 68(6): 1343–1376. ​

 

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Office: E62-624
Tel: (617) 253-3083
Fax: 617-258-6855
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Name: Miss Bridgette Ann Hayes
Tel: (617) 253-3386
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