潘军

联系方式:junpan@saif.sjtu.edu.cn
秘书:樊玮娜
邮箱:wnfan@saif.sjtu.edu.cn

教育背景:
博士学位:斯坦福大学金融学, 2000
博士学位:纽约大学物理学, 1995
硕士学位:西伊利诺伊大学物理学, 1991
学士学位:上海交通大学物理学, 1990
教授介绍:

潘军教授现任上海交通大学上海高级金融学院金融学教授。在2019年正式加入高金之前,曾任麻省理工学院斯隆管理学院金融学讲席教授,同时兼任美国国家经济研究所研究员。潘军教授曾在麻省理工学院斯隆管理学院担任多门金融学课程的教学工作,主要包括:《投资学》,《实证资产定价》等。

潘军教授在众多国际学术著名刊物如Econometrica, Journal of Finance,Review of Financial Studies,Journal of Financial Economics等发表多篇论文,曾担任Review of Financial Studies期刊副编辑。她先后于1995年获得美国女性在科学领域的Luise Meyer-Schutzmeister奖,1996-97年度获得斯坦福大学商学院Jaedicke学者称号,1998-99年度斯坦福大学Lieberman奖学金,2001年西伊利诺伊大学校友成就奖,2003年芝加哥数量联盟年度学术比赛一等奖,2015年The Stephen A. Ross Prize in Financial Economics等多个奖项。

潘军教授1995年获得纽约大学物理学博士学位,2000年获得斯坦福大学金融学博士学位。

资产定价、金融衍生品、信用风险、风险管理、利率模型


1. Hu, Xing, Jun Pan, and Jiang Wang, Forthcoming, Tri-Party Repo Pricing, Journal of Financial and Quantitative Analysis.

2. Hu, Xing, Jun Pan, and Jiang Wang, 2017, Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure, Journal of Financial Economics.

3. Bao, Jack, and Jun Pan, 2013, Bond Illiquidity and Excess Volatility, Review of Financial Studies.

4. Hu, Xing, Jun Pan, and Jiang Wang, 2013, Noise as Information for Illiquidity, Journal of Finance.

5. Bao, Jack, and Jun Pan, 2012, Relating Equity and Credit Markets through Structural Models: Evidence from Volatilities, Review of Financial Studies.

6. Bao, Jack, Jun Pan, and Jiang Wang, 2011, The Illiquidity of Corporate Bonds, Journal of Finance.

7. Longstaff, Francis A., Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton, 2011, How Sovereign is Sovereign Credit Risk?, American Economic Journal.

8. Pan, Jun, and Kenneth Singleton, 2008, Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, Journal of Finance.

9. Pan, Jun, Sophie Ni, and Allen Poteshman, 2008, Volatility Information Trading in the Option Market, Journal of Finance.

10. Pan, Jun, and Allen Poteshman, 2006, The Information in Option Volume for Future Stock Prices, Review of Financial Studies.

11. 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.

12. Pan, Jun, and Jun Liu, 2003, Dynamic Derivative Strategies, Journal of Financial Economics.

13. Pan, Jun, Jun Liu, and Francis Longstaf, 2003, Dynamic Asset Allocation with Event Risk, Journal of Finance.

14. Pan, Jun, 2003, The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study, Journal of Financial Economics.

15. 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.

16. Pan, Jun, and Darrell Duffie, 2001, An Overview of Value at Risk, Journal of Derivatives.

17. Pan, Jun, and Darrell Duffie, 2001, Analytical Value-At-Risk with Jumps and Credit Risk, Finance and Stochastics.

18. Pan, Jun, Darrell Duffie, and Kenneth Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica.

19. Ni, Sophie Xiaoyan and Sophie Ni, Trading Puts and CDS on Stocks with Short Sale Ban.

20. Hu, Xing, Jun Pan, Jiang Wang, and Haoxiang Zhu, Premium for Heightened Uncertainty: Solving the FOMC Puzzle.