Recent publications
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Alexander, C, Chen, D & Imeraj, A 2023, 'Crypto quanto and inverse options', Mathematical Finance, vol. 33, no. 4, pp. 1005-1043. https://doi.org/10.1111/mafi.12410
Chen, D, Guo, B & Zhou, G 2023, 'Firm fundamentals and the cross-section of implied volatility shapes', Journal of Financial Markets, vol. 63, 100771. https://doi.org/10.1016/j.finmar.2022.100771
Zhang, Q, Ding, R, Chen, D & Zhang, X 2023, 'The effects of mandatory ESG disclosure on price discovery efficiency around the world', International Review of Financial Analysis, vol. 89, 102811. https://doi.org/10.1016/j.irfa.2023.102811
Zhang, Q, Zhang, X, Chen, D & Strange, R 2022, 'Market discipline or rent extraction: Impacts of share trading by foreign institutional investors in different corporate governance and investor protection environments', International Review of Financial Analysis, vol. 79, 101965. https://doi.org/10.1016/j.irfa.2021.101965
Shi, Y, Chen, D, Guo, B, Xu, Y & Yan, C 2022, 'The information content of CDS implied volatility and associated trading strategies', International Review of Financial Analysis, vol. 83, 102295. https://doi.org/10.1016/j.irfa.2022.102295
Zhang, X, Zhang, Q, Chen, D & Gu, J 2019, 'Financial integration, investor protection and imbalanced optimistically biased information timeliness in emerging markets', International Review of Financial Analysis, vol. 64, pp. 38-56. https://doi.org/10.1016/j.irfa.2019.04.006
Su, H, Chen, D & Newton, DP 2017, 'Option pricing via QUAD: From Black-Scholes-Merton to heston with jumps', Journal of Derivatives, vol. 24, no. 3, pp. 9-27. https://doi.org/10.3905/jod.2017.24.3.009
Chen, D, Härkönen, HJ & Newton, DP 2014, 'Advancing the universality of quadrature methods to any underlying process for option pricing', Journal of Financial Economics, vol. 114, no. 3, pp. 600-612. https://doi.org/10.1016/j.jfineco.2014.07.014
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