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Dr Sebastian Gehricke

Sebastian Gehricke

Lecturer
BCom(Otago), MBus(Otago)

Office OBS 3.28
Tel +64 3 473 5450
Email sebastian.gehricke@otago.ac.nz

Sebastian joined the Otago team full-time as a Lecturer in June 2018. Before then, he was already part of the department as a PhD student and casual Lecturer/Tutor. He has also done some paid and volunteer financial consulting during his PhD.

Teaching

Current:

  • FINC 204: Personal Finance
  • FINC 206: Corporate Finance

Past:

  • FINC 102: Business Mathematics
  • FINC 306: Derivatives
  • FINC 405: Mathematical Finance

Research Interests

Dr. Gehricke is researching in Derivatives, Climate Finance, Responsible Investing and Financial Literacy.

Masters Supervision

Current

  • Tian Yue, SSE 50 ETF Options, US PhD in Finance, Mar 2014 – present.
  • Wei Guo, SPX and SPY Options, PhD in Finance, April 2018 – present.
  • Connor Stuart, FXA options, Master of Finance
  • Jansson Ford, ESG investment performance, Master of Finance
  • Jack Wynne, Do ETF flows increase implied volatility, Master of Finance

Completed

  • Jianhui Li, How do US option traders smirk on China: evidence from FXI options market, Master of Business in Finance, 2018.

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Publications

Gehricke, S. A., & Zhang, J. E. (2020). The implied volatility smirk in the VXX options market. Applied Economics, 52(8), 769-788. doi: 10.1080/00036846.2019.1646402

Li, J., Gehricke, S. A., & Zhang, J. E. (2019). How do US options traders “smirk” on China? Evidence from FXI options. Journal of Futures Markets, 39, (pp. 1450-1470). doi: 10.1002/fut.22005

Diaz-Rainey, I., Gehricke, S., Roberts, H., & Zhang, R. (2019). Trump vs. Paris: The impact of climate policy and climate risk on US listed oil and gas firm valuation. Proceedings of the 13th Otago Energy Research Centre (OERC) and Otago Climate Change Network (OCCENT) Energy & Climate Change Symposium. (pp. 11). Retrieved from https://www.otago.ac.nz/oerc

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX under jump diffusion with stochastic long-term mean. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2020). The implied volatility smirk in the VXX options market. Applied Economics, 52(8), 769-788. doi: 10.1080/00036846.2019.1646402

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913

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Conference Contribution - Published proceedings: Full paper

Li, J., Gehricke, S. A., & Zhang, J. E. (2019). How do US options traders “smirk” on China? Evidence from FXI options. Journal of Futures Markets, 39, (pp. 1450-1470). doi: 10.1002/fut.22005

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX under jump diffusion with stochastic long-term mean. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Gehricke, S. A., & Zhang, J. E. (2016). Modeling VXX. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/

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Conference Contribution - Published proceedings: Abstract

Diaz-Rainey, I., Gehricke, S., Roberts, H., & Zhang, R. (2019). Trump vs. Paris: The impact of climate policy and climate risk on US listed oil and gas firm valuation. Proceedings of the 13th Otago Energy Research Centre (OERC) and Otago Climate Change Network (OCCENT) Energy & Climate Change Symposium. (pp. 11). Retrieved from https://www.otago.ac.nz/oerc

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Awarded Doctoral Degree

Gehricke, S. A. (2018). VIX futures ETNs and their derivatives (PhD). University of Otago, Dunedin, New Zealand. Retrieved from https://ourarchive.otago.ac.nz/handle/10523/8446

More publications...