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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. (2019). The implied volatility smirk in the VXX options market. Applied Economics. Advance online publication. 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. Advance online publication. doi: 10.1002/fut.22005

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

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

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2019). The implied volatility smirk in the VXX options market. Applied Economics. Advance online publication. 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. Advance online publication. doi: 10.1002/fut.22005

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

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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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...