Address
9-238, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34427316
Email
Research Areas
Asset pricing
Qualifications
PhD - Economics (University of Chicago)
Research Grants
PI: "A dynamic model for control-ownership wedge", RGC - RGC Competitive Earmarked Research Grant, Amount: 254572 (2021-2023), Du Du
PI: "What does derivative and credit markets tell us about rare consumption disasters", RGC Competitive Earmarked Research Grant - RGC, Amount: 311216 (2013-2015), Du Du
PI: "Understanding the Common Sources of Event Risk Premium in Financial Markets", RGC Competitive Earmarked Research Grant - RGC, Amount: 262746 (2011-2013), Du Du
PI: "Variable Disasters and Asset Pricing", RGC Competitive Earmarked Research Grant - RGC, Amount: 521488 (2008-2011), Du Du
Publications
Journal Publications and Reviews
DU, Du; Elkamhi, Redouane; Ericsson, Jan / Time-Varying Asset Volatility and the Credit Spread Puzzle. August 2019; In: Journal of Finance. Vol. 74, No. 4, pp. 1841-1885
Du, Du; Luo, Dan / The Pricing of Jump Propagation: Evidence from Spot and Options Markets. May 2019; In: Management Science. Vol. 65, No. 5, pp. 2360-2387
Christoffersen, Peter; Du, Du; Elkamhi, Redouane / Rare disasters, credit, and option market puzzles. May 2017; In: Management Science. Vol. 63, No. 5, pp. 1341-1364
Du, Du / General equilibrium pricing of currency and currency options. December 2013; In: Journal of Financial Economics. Vol. 110, No. 3, pp. 730-751
Du, Du / General equilibrium pricing of options with habit formation and event risks. February 2011; In: Journal of Financial Economics. Vol. 99, No. 2, pp. 400-426
Conference Papers
Du, Du; Luo, Dan / Jump Propagation and Dynamic Derivative Investment. June 2014; 2014 CityU Finance Conference, 11/06/2014 - 12/06/2014, Hong Kong, China.
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