Home >> Experts >>Pan, Jun
Pan, Jun

Professor of Finance
Massachusetts Institute of Technology


Educational Background

Ph.D., Finance, Graduate School of Business, Stanford University
Ph.D., Physics, New York University


Professor Pan currently is a Professor of Finance at Sloan School of Management at MIT, where she teaches an MBA level class on Investments and a doctoral level class on Empirical Asset Pricing. She is also a research associate at the National Bureau of Economic Research. Previously, she was the Mitsubishi Career Development Chair Associate Professor and the Zenon Zannetos Career Development Chair Assistant Professor of Finance at MIT.

Honors / Achievements

First Prize in Chicago Quantitative Alliance Annual Academic Competition (2003)
Lieberman Fellowship at Stanford University (1998-99)
Jaedicke Award Scholar in Stanford University (1996-97)
Luise Meyer-Schutzmeister Award in American Women in Science (1995)

Short BIO

Professor Pan’s research interests include derivatives markets, credit risk modeling, risk management, and the term structure of interest rates. She studies the impact of rare events on financial markets, as well as their implications for asset allocation. Her work also explores the informational transmission across the stock and options markets. Recently, her work has been focused on the credit market, including credit derivatives and the corporate bond market rate. Her work has appeared in Econometrica, Journal of Finance,Review of Financial Studies,Journal of Financial Economics, among other leading academic journals. 


  • Jack Bao, Jun Pan, Jiang Wang (2011), The Illiquidity of Corporate BondsThe Journal of Finance.

    Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton (2011), How Sovereign is Sovereign Credit Risk? American Economic Journal: Macroeconomics.

    Jun Pan, Kenneth Singleton (2008), Default and Recovery Implicit in the Term Structure of Sovereign CDS SpreadsJournal of Finance.

    Jun Pan, Sophie Ni, Allen Poteshman (2008), Volatility Information Trading in the Option MarketJournal of Finance.

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

    Jun Pan, Jun Liu, Tan Wang (2005), An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, Review of Financial Studies.

    Jun Pan, Jun Liu (2003), Dynamic Derivative Strategies, Journal of Financial Economics.

    Jun Pan, Jun Liu and Francis Longstaff (2003), Dynamic Asset Allocation with Event RiskJournal of Finance.

    Jun Pan, Nill (2002), The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series StudyJournal of Financial Economics.

    Jun Pan, Darrell Duffie (2001), Analytical Value-At-Risk with Jumps and Credit RiskFinance and Stochastics.

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

    Jun Pan, Darrell Duffie (1997), An Overview of Value at RiskJournal of Derivatives.

Working Paper

  • Noise as Information for Illiquidity
  • Trading Puts and CDS on Stocks with Short Sale Ban