Jun Pan
Associate Professor of Finance
MIT Sloan School of Management

50 Memorial Drive, E52-435
Cambridge, MA 02142
phone: (617) 253 3083
fax: (617) 258 6855

junpan@mit.edu

• ``How Sovereign is Sovereign Credit Risk?'' (with Francis Longstaff, Ken Singleton and Lasse H Pedersen), 2008, (link).
  
  
• ``Excess Volatility of Corporated Bonds,'' (with Jack Bao), 2008, (pdf version) .
  
  
• ``Liquidity of Corporate Bonds,'' (with Jack Bao and Jiang Wang), 2008, (pdf version) .
  
  
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• "Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads," (with Kenneth Singleton), Journal of Finance, forthcoming, (pdf version) .
  
  
• "Volatility Information Trading in the Option Market," (With Sophie Ni and Allen Poteshman), Journal of Finance , volume 63, pages 1059--1091, 2008 (pdf version) .
  
  
• "The Information in Option Volume for Future Stock Prices," (with Allen Poteshman), Review of Financial Studies , volume 19, pages 871--908, 2006 (pdf version) , The New York Times 8/13/06.
  
  
• "An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks," (with Jun Liu and Tan Wang), Review of Financial Studies , volume 18, pages 131--164, 2005 (pdf version).
  
  
• "Dynamic Derivative Strategies," (with Jun Liu), Journal of Financial Economics, volume 69, pages 401--430, 2003. (pdf version) .
  
  
• "Dynamic Asset Allocation with Event Risk," (with Jun Liu and Francis Longstaff), Journal of Finance, volume 58, pages 231--259, 2003. (pdf version) .
  
  
• "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study," Journal of Financial Economics, volume 63, pages 3--50, 2002. (pdf version) . Previously circulated under the title "Integrated Time-Series Analysis of Spot and Option Prices."
  
  
• "Analytical Value-At-Risk with Jumps and Credit Risk" (with Darrell Duffie), Finance and Stochastics, Volume 5, pages 155--180, 2001. (ps version) and (pdf version) .
  
  
• "Transform Analysis and Asset Pricing for Affine Jump-Diffusions" (with Darrell Duffie and Kenneth Singleton), Econometrica, Volume 68, pages 1343--1376, 2000. (ps version) and (pdf version) .
  
  
• "An Overview of Value at Risk" (with Darrell Duffie), Journal of Derivatives , Spring 1997, 7-49, reprinted in Options Markets, edited by G. Constantinides and A. G. Malliaris, London: Edward Elgar , 2001. (ps version) Part A ; Part B ; Part C ; Part D . (pdf version) Part A ; Part B ; Part C ; Part D .

• Comment on "Iterative and Recursive Estimation in Structural Non-Adaptive Models" by Sergio Pastorello, Valentin Patilea and Eric Renault, Journal of Business and Economic Statistics (pdf version) .
  
  

• "Stochastic Volatility with Reset at Jumps ," 1997. (ps version) and (pdf version) .